Journal of money credit

One of these pre-scriptions was the Basle Accord on risk-based capital, which mandates that international banks operating in the major industrialized nations hold capital in proportion to their perceived credit risks. The paper identifies four broad principles of CBA that have been shared by the majority of countries. However, most important, this work adds to the literature by analytically showing how monetary policy feedback rules affect the incentives faced by firms in allocating attention. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance decomposition for partially identified models. The paper takes a close look at the data at the micro bank level to try to distinguish among the alternative hypotheses, with emphasis on RBC. Il convient toutefois de rappeler que les techniques utilis�es demeurent assez sp�cifiques: l'incertitude strat�gique porte essentiellement sur les croyances de premier degr� des autres acteurs. Our data show that private placements are more likely to have restrictive covenants and are more likely to be issued by smaller and riskier borrowers. Detailed information on how Wiley uses cookies can be found in our Privacy Policy.. I show that there exists a unique price level sequence that is consistent with an equilibrium under interest rate policy, only if beginning-of-period money yields transaction services. Hence, free banking is not inherently unstable. This is the pure role of time. However, the quantitative effects are not substantial. The results can also be interpreted as characterizing the shocks that have hit different types of households over time. We find robust evidence in favour of the presence of a cost channel of monetary policy transmission, proportional to the amount of working capital held by each firm. Forecasts are also inefficient, in that people's forecast errors are correlated with their demographic characteristics and/or aggregate shocks did not hit all people uniformly. Conversely, flexible fiscal targeting rules lead to more desirable welfare outcomes.

Significant differences exist in the area of banking supervision where many central banks have retained a key role. If the monetary authority perfectly stabilizes inflation while the fiscal authority holds constant the real value of debt at maturity, the equilibrium dynamics might be indeterminate. economy, evidence about the effects of borrowing constraints on consumer balance sheets is scarce. The authors state that such theories cannot be easily identified econometrically because they are not associated with observ-able variables on which to base a test. Specifically, we show that the fact that aggregate technology shocks are more volatile than monetary policy shocks induces firms to pay more attention to the former than to the latter. Our analysis confirms that greater CBA has on average helped to maintain low inflation levels. Further, sentiment is found to be useful in forecasting future consumption, even controlling for lagged consumption and macro variables like stock prices. Wiley Online Library requires cookies for authentication and use of other site features; therefore, cookies must be enabled to browse the site. Calibrated versions of the model that match the range of empirical estimates of the size of foreign demand for U.S. Thus, the effect of removing borrowing constraints has quantitatively important implications for the allocation of debt in the household portfolio. This paper examines how competition among MCOs affects the efficiency gains of improved price coordination achieved through integration. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political autonomy of the central banks in emerging market and developing countries. currency circulates abroad. It is possible that all of the theories were correct simultaneously. We find that exchange rates tend to overshoot and term structures have hump-shaped responses to monetary policy shocksAn economic agent who is uncertain of her model updates her beliefs in response to the data. We find the determinants of bond yield spreads to be quite different between private placements and public issues, reflecting the different institutional arrangements between the two markets. Email or Customer ID "Please check your email for instructions on resetting your password.

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. We use our framework to shed light on the properties of a home production model with a low IES. The authors note that the findings do not rule out non-risk related credit crunch expla-nations. price level and inflation are much more responsive to aggregate technology shocks than to monetary policy shocks. But even after controlling for these components, some excess sensitivity persists. Le premier a trait au choix r�sidentiel d'agents qui ont une pr�f�rence "identitaire''. The existing model succeeds at fitting inflation to optimal policy, but fails to link inflation to the economic trade-off at the heart of the story. This suggests that the Fed's model uncertainty is largely overestimated by ignoring data uncertainty. That was a wise choice, I think, for the conduct of monetary policy at or near zero nominal interest rates raises many questions which economists have not thought much about. Understanding this connection is important because there is a large body of empirical evidence suggesting that the IES is small, but little evidence on the size of the SES. More broadly, these results suggest that empirical implementations of forward-looking models need to better account for systematic heterogeneity in forecast errors.More than half of U.S. Higher confidence is correlated with less saving, consistent with precautionary motives and increases in expected future resources. Or, si de mani�re plus g�n�rale on suppose que cette incertitude peut porter sur des ordres plus �lev�s, les conclusions des mod�les peuvent changer.

Journal of Money, Credit & Banking

. However, determinacy can be restored by committing to targeting rules for either monetary or fiscal policy that include a concern for stabilization of the output gap. MCOs offer differentiated services and contract with specialized and complementary upstream providers to supply these services. The findings are strongest in small banks and in banks with cooperative charters. As a result, much of the seignorage income of the United States is generated outside of its borders. While much empirical evidence attests to the importance of liquidity constraints in the U.S. Finally, we discuss the sequencing of reforms to separate the conduct of monetary and fiscal policies. This paper shows that in a separating equilibrium a higher-quality bank offers a lower deposit rate and holds a smaller proportion of risky loans than a lower-quality bank to signal its underlying quality. Except in a fictional world where the economies of yesterday, today, and tomorrow are identical, issues of capital formation and dynamic behaviour must always arise. Le second a trait � la contagion de paniques bancaires d'un pays � un autre. Consistent with these expectations, U.S. Thus, the allocation of credit away from commercial loans may have caused a "credit crunch," which the authors define as a significant reduction in the supply of credit available to commercial borrowers. While it is difficult to disentangle these groups, since large banks tend to have weaker capital ratios and national charters, in none of these groups are most of the decreases attributable to the credit crunch hypothesis directly. I make this point through simple illustrations and then analyze a recent model of the Federal Reserve's role in U.S. The domestically benevolent government finds it optimal to impose an inflation tax as a way to extract resources from the rest of the world in the form of seignorage revenue. Gerer mon compte du credit agricole. Some of the rejection of the PIH is found to be due to the systematic demographic components in forecast errors. We show analytically that once a foreign demand for domestic currency is taken into account, the Friedman rule ceases to be Ramsey optimal. First, the steady-state growth rate of technology must be the same across sectors. That future events are not known with certainty adds another complexity. I modify the model to account for data uncertainty and find that doing so ameliorates the existing problems. This excess sensitivity is counter to the permanent income hypothesis [PIH]. In the absence of such demand, the model implies that the Friedman rule---deflation at the real rate of interest---maximizes the utility of the representative domestic consumer. The efficiency gains achieved depend not only on organizational form but also on the toughness of premium competition. Second, shocks to technology must be sufficiently positively correlated across sectors.Capital theory and dynamics are cornerstones for almost every branch of economics. In this paper we characterize the Ramsey-optimal rate of inflation in an economy with a foreign demand for its currency. A number of alternative explanations for this change in bank behavior have been offered.

Journal of Money, Credit and Banking on JSTOR

. Predetermined real money balances can then serve as a state variable, implying that interest rate setting must be passive - a violation of the Taylor-principle - for unique, stable, and non-oscillatory equilibrium sequences. If this cost is small, banknotes will not circulate, so the question is moot. An additional hypothesis is that the decline in commercial lending reflects continuation of longer term trends in the declining demand for bank intermediation services. Equifax credit report. As an application, we consider an open economy model to investigate the effects of monetary policy on exchange rates and term structures. On peut ainsi garder l'aspect auto-r�alisateur des anticipations mais en restaurant l'unicit� de l'�quilibre et donc un meilleur pouvoir pr�dictif du mod�le. If this cost is large, incentive problems will prevent the issue of banknotes. By continuing to browse this site, you agree to its use of cookies as described in our Cookie Policy.× Journal list menu Follow journal Cookies are disabled for this browser. The updating is sensitive to measurement error which, in many cases of macroeconomic interest, is apparent from the process of data revision. This book focuses mainly on the pure role of time.This paper provides one of the first comprehensive analyses of the household data underlying the Michigan Index of Consumer Sentiment. Journal of money credit. The channel is large enough to have non-trivial monetary policy implications.This paper studies a general equilibrium model that is consistent with recent empirical evidence showing that the U.S. In solving the indeterminacy problem, flexible inflation targeting appears to be more robust than flexible debt targeting to alternative parameter configurations and steady-state fiscal stances. De mani�re plus g�n�rale, tous les jeux qui pr�sentent des compl�mentarit�s strat�giques sont susceptibles d'�tre analys�s au moyen des techniques des "global games''. Unfortunately, all of these hypotheses are roughly consistent with the aggregate data, leaving unknown whether risk-based capital played a major part in the reallocation of bank credit or whether a supply side "credit crunch" even existed. Even if future events are known with certainty, they still influence the current economic state. Finally, in issuing bonds, we find that firms self-select the bond type to minimize both the financing costs and the transaction costs.This paper explores the liquidity constraint on consumer liabilities. We find that such a model must have two fundamental properties in order to match key aspects of the U.S. This data is used to test the rationality of consumer expectations and to assess their usefulness in forecasting expenditure. Nous illustrons ces m�canismes sur deux exemples. We then evaluate the gap between predicted and observed debt for the sample of liquidity-constrained consumers. We show that, contrary to popular thinking, providers and insurers do not earn maximum net revenue when they are monopolies or monopsonies, but rather at an intermediate level of market power. We find that the answer to the question depends critically on the cost of early redemption. The other credit crunch theories examined are somewhat more consistent with the data, given that the relations to the leverage ratio and the "problem" loan categories generally have the predicted signs

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