Journal of Monetary Economics最新文献

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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

Natural gas and the macroeconomy: Not all energy shocks are alike 天然气和宏观经济：并非所有的能源冲击都是一样的

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.2025.103749

Piergiorgio Alessandri, Andrea Gazzani

How do shocks to the supply of natural gas affect output and inflation? To answer this question, we construct an instrument using daily news on the European gas market and employ it within a VAR model of the euro area. We find that negative supply shocks have sizable stagflationary effects and accounted for nearly 50 percent of the increase in core prices observed between 2021 and 2023. The propagation to core prices appears to be larger compared to oil shocks, suggesting that the structural differences between the two markets matter from an aggregate perspective.

对天然气供应的冲击如何影响产出和通胀？为了回答这个问题，我们利用欧洲天然气市场的每日新闻构建了一个工具，并将其应用于欧元区的VAR模型。我们发现，负面供应冲击具有相当大的滞胀效应，占2021年至2023年间观察到的核心价格涨幅的近50%。与石油危机相比，对核心价格的传导似乎更大，这表明从总体角度来看，两个市场之间的结构性差异很重要。

引用次数: 0

Foreign exchange interventions in the New-Keynesian model: Policy, transmission, and welfare 新凯恩斯主义模型中的外汇干预：政策、传导和福利

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.2025.103763

Yossi Yakhin

The paper introduces foreign exchange interventions (FXIs) into an otherwise standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations from the uncovered interest rate parity (UIP) reflect financial inefficiencies. A policy rule that seeks to stabilize the UIP premium moves the economy toward its optimal allocation, regardless of the type of shocks it faces. Augmenting the rule with foreign reserves smoothing further improves welfare. The paper discusses the conditions under which strict targeting of the UIP premium is optimal. FXIs are transmitted by affecting the UIP premium. Purchasing foreign reserves increases the premium, thereby raising the effective return home agents face and depreciating the domestic currency. Consequently, domestic demand contracts and export expands. The results are robust to a variety of modeling alternatives for the financial sector.

本文将外汇干预（FXIs）引入标准的新凯恩斯主义小型开放经济模型。求解了最优FXI策略，提出了可实施的策略规则，研究了FXI的传导机制。依靠投资组合平衡渠道，偏离未披露利率平价（UIP）反映了财务效率低下。无论面临何种类型的冲击，寻求稳定UIP溢价的政策规则都会使经济朝着其最佳配置方向发展。用外汇储备平滑来扩大规则，将进一步改善福利。本文讨论了在何种条件下，优保价的严格目标是最优的。fxi是通过影响UIP溢价来传递的。购买外汇储备增加了溢价，从而提高了代理人实际回国所面临的压力，并使本币贬值。因此，国内需求收缩，出口扩大。结果对金融部门的各种建模替代方案具有鲁棒性。

引用次数: 0

Announcements, expectations, and stock returns with asymmetric information 信息不对称情况下的公告、预期和股票收益

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.2025.103751

Leyla Jianyu Han

Revisions of consensus macroeconomic and earnings forecasts positively predict announcement-day forecast errors, whereas stock market returns during forecast revision periods negatively predict announcement-day returns. A dynamic noisy rational expectations model with periodic announcements quantitatively accounts for these findings. Under asymmetric information, informed investors’ forecast revisions positively predict forecast errors of the uninformed, causing average beliefs to underreact to new information and positively predict belief errors. Additionally, stock prices are partially driven by noise. Noise impact accumulates into stock prices during revision periods but gets corrected upon announcements. Therefore, revision period price changes negatively predict announcement-day returns.

对宏观经济和盈利预测的修正正向预测公告日预测误差，而在预测修正期间的股票市场回报负向预测公告日回报。一个具有周期性公告的动态噪声理性预期模型定量地解释了这些发现。信息不对称下，知情投资者的预测修正正向预测不知情投资者的预测误差，导致平均信念对新信息反应不足，正向预测信念误差。此外，股价部分受噪音影响。在修正期间，噪音影响会累积到股票价格中，但在公告时得到纠正。因此，修正期价格变化负向预测公告日收益。

引用次数: 0

Sinking ships: Liquidity constraints and return predictability in recessions 沉船：衰退中的流动性约束和回报可预测性

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.2025.103746

Artur Doshchyn

Using the context of the dry-bulk shipping industry, I document that future returns on real assets are strongly predictable and negatively related to current asset prices, earnings, and investment during recessions. However, there is no such relationship outside recessions. This evidence points to significant liquidity constraints faced by firms during downturns, resulting in cash-in-the-market pricing of capital and rising expected returns for buyers. It is puzzling, however, why firms would not exploit opportunities to buy assets cheaply in recessions, e.g. by pre-arranging credit lines. I build and estimate a model of a competitive industry with credit frictions that can quantitatively account for return predictability during downturns, even though firms can use state-contingent contracts to preserve liquidity for when they need it most. Firms’ relative impatience limits their risk management, meaning that even well-capitalized firms can become constrained following adverse shocks. This results in significant asymmetric amplification of shocks in equilibrium.

利用干散货航运业的背景，我证明了实际资产的未来回报具有很强的可预测性，并且与当前资产价格、收益和经济衰退期间的投资负相关。然而，在经济衰退之外并不存在这种关系。这一证据表明，企业在经济低迷时期面临严重的流动性限制，导致资本的市场现金定价和买家的预期回报上升。然而，令人困惑的是，为什么公司不利用在经济衰退时廉价购买资产的机会，例如通过预先安排信贷额度。我建立并估计了一个具有信贷摩擦的竞争性行业的模型，该模型可以定量地说明经济衰退期间的回报可预测性，即使企业可以使用国家或有合同在最需要的时候保留流动性。公司的相对不耐烦限制了他们的风险管理，这意味着即使是资本充足的公司也可能在不利冲击后受到约束。这导致平衡状态下冲击的显著不对称放大。

引用次数: 0

CBDC and the operational framework of monetary policy 中央银行与货币政策的运作框架

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.2025.103762

Jorge Abad , Galo Nuño , Carlos Thomas

We analyze the impact of central bank digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy. We develop a New-Keynesian model with a frictional interbank market, central bank deposit and lending facilities, and household preferences for different liquid assets, calibrated to the euro area. CBDC adoption implies a contraction in bank deposits, which is absorbed by a fall in reserves and, if large enough, increased recourse to central bank credit. The resulting changes in the operational framework (from ‘floor’ to ‘corridor’, and then to ‘ceiling’) thus shape the impact of CBDC on credit, investment and output.

我们分析了中央银行数字货币（CBDC）对货币政策操作框架和宏观经济的影响。我们建立了一个新凯恩斯主义模型，该模型具有摩擦性银行间市场、中央银行存贷便利和家庭对不同流动资产的偏好，并以欧元区为校准对象。采用 CBDC 意味着银行存款萎缩，而存款萎缩会被准备金的下降所吸收，如果准备金下降幅度足够大，则会增加对中央银行信贷的依赖。因此，操作框架的变化（从 "下限 "到 "走廊"，再到 "上限"）决定了 CBDC 对信贷、投资和产出的影响。

引用次数: 0

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