Showing papers in "Journal of Monetary Economics in 2019"

TL;DR: In this article, the authors study a dynamic model in which the interaction between debt accumulation and asset prices magnifies credit booms and busts, and show that a Pigouvian tax on borrowing may induce borrowers to internalize these externalities and increase welfare.

TL;DR: In this paper, the authors provide a model of an endowment economy with two competing, but intrinsically worthless currencies (Dollar, Bitcoin) and show that Bitcoin prices form a martingale.

TL;DR: In this article, the effects of unexpected changes in trade policy uncertainty (TPU) on the U.S. economy were studied using newspaper coverage, firms' earnings calls, and tariff rates.

TL;DR: In this article, the authors map ECB policy communication into yield curve changes and study the information flow on policy dates, finding that policy target, forward guidance and quantitative easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference.

TL;DR: This paper showed that an exogenous increase in uncertainty has recessionary effects in both good and bad credit regimes, but its impact on output is three times larger when the economy is experiencing financial distress.

TL;DR: This article used the synthetic control method to construct counterfactuals for countries that joined the European Union (EU) from 1973 to 2004 and found that growth effects from EU membership are large and positive, with Greece as the exception.

TL;DR: In this paper, the authors derive sufficient conditions for equivalence and apply them in the context of the Chicago Plan, cryptocurrencies, the Indian de-monetization experiment, and Central Bank Digital Currency (CBDC).

TL;DR: In this article, the effects of both a tax cut and an increase in government purchases, with and without a binding zero lower bound (ZLB) on the nominal interest rate, were analyzed.

TL;DR: In this article, the authors focus on consumers' perceptions and expectations of inflation and interest rates and confidence therein and find that informed consumers tend to have lower expectations, higher confidence and smaller errors.

TL;DR: This paper studied credit booms exploiting the Spanish matched credit register over 2001-2009 and found that higher bank real-estate exposure increases risk-taking, by relaxing standards of existing borrowers, and by expanding credit on the extensive margin to first-time borrowers that default substantially more.

TL;DR: This article showed that short-lived government investment shocks have a smaller fiscal multiplier than government consumption shocks, which suggests that stimulus packages which contain large government investment components may not be as effective at stimulating aggregate demand as commonly thought.

TL;DR: The authors found that the simplification of language increases public comprehension more than the inclusion of visuals, and that public comprehension can be improved by making monetary policy messages relatable to people's lives.

TL;DR: In this paper, the authors construct and estimate an endogenous growth model with debt and equity financing frictions to understand the relation between business cycle fluctuations and long-term growth, showing that the presence of spillover effects from R&D imply an endogenous relation between productivity growth and the state of the economy.

TL;DR: This article developed a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect, and attribute differences between their measure and often-used alternatives to their econometric procedure, a partial least squares approach, and their using the full maturity spectrum of interest rates in estimating the shock.

TL;DR: In this paper, the authors show that news on economic uncertainty can have increasingly large effects along the yield curve and that communication plays an important role in shaping perceptions of long-run uncertainty.

TL;DR: In this paper, a multi-country DSGE model calibrated to 29 advanced economies generates effects of austerity consistent with the data, and counterfactuals suggest that eliminating austerity would have substantially reduced output losses in Europe.

TL;DR: This article showed that the public release of more precise information about future rates lowers the informativeness of market signals and, as a consequence, may increase uncertainty and amplify the reaction of expectations to macroeconomic news.

TL;DR: In this article, the authors derived policy implications for an inflation-targeting central bank whose credibility is endogenous and depends on its past ability to achieve its targets in a New Keynesian framework with heterogeneous and boundedly rational expectations.

TL;DR: In this article, a commitment to inflate away the debt accumulated during a large recession leads to welfare improvements and lower uncertainty by separating long run fiscal sustainability from the short-run fiscal stimulus.

TL;DR: The Hopenhayn and Rogerson (1993) framework is extended to understand how different forms of taxing capital income affect firms' investment and financial policies over their life cycle.

TL;DR: The authors studied how households adapt to a new environment in their macroeconomic forecasting and found that East Germans expect higher inflation than West Germans decades after reunification, which is likely driven by the persistent effect of the inflation shock after unification, which contrasted strongly with experiences of zero inflation in the GDR.

TL;DR: In this article, the authors formally proved that the stationary wealth distribution in a simple Huggett model with random discounting has power law tails and characterised the Pareto exponents analytically.

TL;DR: The slope factor as discussed by the authors is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns, while the tone of speeches by FOMC members correlates with the slope factor.

TL;DR: In this paper, the authors developed a model of investment with financial constraints and used it to investigate the relation between investment and Tobin's, where insiders earn a quasi-rent on invested capital and this rent is priced into the value of the firm.

TL;DR: In this article, the benefits of capital controls and monetary policy in a small open economy with financial frictions, nominal rigidities, and sudden stops were studied, and the optimal monetary policy should sharply diverge from price stability.

TL;DR: In this paper, the authors estimate from the micro data of the German ifo Business Climate Survey the impact of idiosyncratic volatility on the extensive margin of firm-level price setting behavior, suggesting that, for price setting, the volatility effect dominates the "wait-and-see" effect.

TL;DR: In this article, the authors study the growth of capital income inequality in a general equilibrium portfolio choice model with endogenous information acquisition and heterogeneity across household sophistication and asset riskiness, and show that the model implies a large portion of total income inequality that grows with aggregate information technology.

TL;DR: In this paper, the authors assess empirically whether monetary policy announcements impact firm expectations and find that the response becomes weaker as the surprise becomes bigger, while large surprises, both negative and positive, fail to alter expectations.

TL;DR: In this paper, an asymmetric monetary policy strategy was proposed to correct the above-target inflation bias and reduce the risk of deflationary spirals, which does not entail any history dependence or commitment to overshoot the inflation target.

TL;DR: This paper developed and estimated a model of imperfect central bank communications and used it to measure how effectively the Fed has managed expectations about future interest rates and the influence of its communications on macroeconomic outcomes.