-
作者：Coimbra, Nuno; Kim, Daisoon; Rey, Helene
作者单位：European Central Bank; Bank of France; North Carolina State University; University of London; London Business School; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary poli...
-
作者：Pierri, Nicola; Timmer, Yannick
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：What are the implications of information technology (IT) in banking for financial stability? Data on US banks' IT equipment and the background of their executives reveals that higher pre-crisis IT adoption led to fewer non-performing loans and more lending during the global financial crisis. Empirical evidence indicates a direct role of IT adoption in strengthening bank resilience; this includes instrumental variable estimates exploiting the historical location of technical schools. Loan-level...
-
作者：Yang, Choongryul
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using a New Zealand firm-level survey, I show that firms producing more goods have both better information about inflation and more frequent but smaller price changes. To explain these empirical findings, I develop a general equilibrium menu cost model with rationally inattentive multi-product firms. I show that the interaction of nominal and informational rigidities leads to a new selection effect: Price adjusters are better informed than non-adjusters. This selection endogenously generates a...
-
作者：Dietrich, Alexander M.; Kuester, Keith; Mueller, Gernot J.; Schoenle, Raphael
作者单位：Eberhard Karls University of Tubingen; University of Bonn; Eberhard Karls University of Tubingen; Leibniz Association; Ifo Institut; Brandeis University
摘要：A tailor-made survey documents consumers' perceptions of the US economy's response to a large shock: the advent of the COVID-19 pandemic. The survey ran at a daily frequency between March 2020 and July 2021. Consumer's perceptions regarding output and inflation react rapidly. Uncertainty is pervasive. A business-cycle model calibrated to the consumers' views provides an interpretation. The rise in household uncertainty accounts for two-thirds of the fall in output. Different perceptions about ...
-
作者：Agarwal, Sumit; Chua, Yeow Hwee; Song, Changcheng
作者单位：National University of Singapore; Nanyang Technological University; Singapore Management University
摘要：Motivated by direct evidence that households tend to purchase higher quality goods over time (consumption upgrading), we use a survey experiment to study the relationship between consumption upgrading and households' beliefs about inflation. We find that providing price information on better-quality products will lead to higher inflation expectations. The effects on inflation expectations are smaller when price information on both higher- and lower-quality products is made available, suggestin...
-
作者：Ascari, Guido; Mavroeidis, Sophocles
作者单位：University of Pavia; European Central Bank; De Nederlandsche Bank NV; University of Oxford
摘要：Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically coherent. Coherency requires restrictions on the parameters or on the support of the distribution of the shocks. In presence of multiple shocks, the support restrictions cannot be independent from each other, so the assumption of orthogonality of structural shocks is incompatible with coherency. Models whose coherency...
-
作者：Donaldson, Jason Roderick; Piacentino, Giorgia
作者单位：Washington University (WUSTL); Columbia University
摘要：In this paper, we develop a model that links the funding role of bank debt in the primary market to its circulation in the secondary market. We uncover a new rationale for why banks do what they do. Banks choose to fund themselves with demandable debt because it commands a high price, even though doing so exposes them to money runs resulting from its failure to circulate. In the model, banks endogenously perform the essential functions of real-world banks: they transform liquidity, transform m...
-
作者：Ivashina, Victoria; Laeven, Luc; Moral-Benito, Enrique
作者单位：Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; European Central Bank; Center for Economic & Policy Research (CEPR); Banco de Espana
摘要：Using credit-registry data for Spain and Peru, we document that four main types of commercial credit-asset-based loans, cash flow loans, trade finance and leasing-are easily identifiable and represent the bulk of corporate credit. We show that credit growth dynamics and bank lending channels vary across these loan types. The effects of monetary policy propagating through banks' balance sheets are primarily driven by cash flow loans, whereas asset-based credit is mostly insensitive to these typ...
-
作者：Anagnostopoulos, Alexios; Atesagaoglu, Orhan Erem; Faraglia, Elisa; Giannitsarou, Chryssi
作者单位：State University of New York (SUNY) System; Stony Brook University; Istanbul Bilgi University; Sabanci University; University of Cambridge; Centre for Economic Policy Research - UK
摘要：Since the 1990s, there has been a simultaneous rise in cross-country stock market corre-lations and FDI positions. We establish an empirical relationship between these two, for pairs of developed economies that survives controlling for relevant factors. At firm level, we find that stock returns of multinationals that invest in technology capital are more cor-related with world stock markets. Using a calibrated two-country asset pricing model with multinationals, we find that the increase in FD...
-
作者：Hoffmann, Mathias; Moench, Emanuel; Pavlova, Lora; Schultefrankenfeld, Guido
作者单位：Deutsche Bundesbank; Frankfurt School Finance & Management; Center for Economic & Policy Research (CEPR); Helmholtz Association; Karlsruhe Institute of Technology
摘要：Yes, they would. In a randomized control trial, we provide groups of respondents from the Bundesbank Online Panel Households with information about a hypothetical alternative ECB monetary policy regime akin to the Federal Reserve's flexible average inflation targeting (AIT). Inflation expectations significantly increase for the treated individuals. When we provide additional information about near-term inflation, for low levels of trust in the ECB the adjustment of inflation expectations tends...
