Journal of Money, Credit & Banking

Reports major findings in the study of financial institutions, financial markets, monetary and fiscal policy, credit markets, money and banking.

Articles from Vol. 39, No. 2-3, March-April

Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models
DURING THE PAST few decades, the U.S. economy has undergone an important transformation that has likely altered the nature of uncertainty and risk in the economy as well as investors' attitudes and pricing of that risk. A key aspect of this transformation...
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A Long-Run Non-Linear Approach to the Fisher Effect
THE FISHER EQUATION that relates nominal interest rates and expected inflation forms part of the core of macroeconomic analysis. A full Fisher effect in the long run would imply monetary super-neutrality and no money illusion. Also, the Fisher effect...
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Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?
"...[T]he willingness of FOMC members to present their individual perspectives in speeches and other public forums provides the public with useful information about the diversity of views and the balance of opinion on the Committee." B. Bernanke...
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Competition from Large, Multimarket Firms and the Performance of Small, Single-Market Firms: Evidence from the Banking Industry
OVER THE LAST TWO DECADES, retail banking in the U.S. has changed dramatically. Large banks that branch across multiple local markets have significantly increased their share of local markets, and small banks that operate in a single market have experienced...
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Does Monetary Policy Have Asymmetric Effects on Stock Returns?
IT HAS BEEN OF GREAT interest to both macroeconomists and financial economists of whether monetary policy affects stock returns. A number of studies have empirically investigated the effects of monetary policy on stock returns. Using money aggregate...
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Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields
LONG MEMORY HAS a checkered history in financial market research. Many studies have shown that both exchange rate and stock market volatility display long memory. Bollerslev and Mikkelsen (1996), Liu (2000), and Andersen et al. (2001) have all studied...
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External Constraints on Monetary Policy and the Financial Accelerator
OVER THE PAST 25 YEARS there has been a dramatic rise in the frequency of financial crises that have led to significant contractions in economic activity. One feature of these crises, that pertains in particular to open economies, is the strong connection...
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Growth, Income Inequality, and Fiscal Policy: What Are the Relevant Trade-Offs?
THE LAST DECADE has seen a revival of interest in the relationship between income inequality and growth. This research has employed a range of theoretical frameworks and yielded conflicting empirical results. While earlier evidence suggested a negative...
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Heterogeneity and Lotteries in Monetary Search Models
BERENTSEN, MOUCO, AND WRIGHT (2002), hereafter BMW, introduce lotteries into monetary search models to deal with indivisibilities of goods and money. They obtain three key results. First, with indivisible goods and fiat money, goods always change hands...
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Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets
THE FORWARD PREMIUM anomaly in currency markets refers to the well-documented empirical finding that the slope coefficient from the linear projection of the change in the foreign exchange rate on the interest rate differential between home and foreign...
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Inventory Dynamics and Business Cycles: What Has Changed?
FLUCTUATIONS IN U.S. economic activity over the past 20 years have been exceptionally mild compared with previous post-war business cycles. The last two decades saw two of the longest economic expansions and two of the mildest recessions on record,...
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Is Financial Globalization Beneficial?
THE CURRENT ACE OF GLOBALIZATION in the last 50 years is actually the second great wave of globalization of international trade and capital flows. The first occurred from 1870 to 1914, when international trade grew at a 4% rate annually, rising from...
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Prudential Regulation and the "Credit Crunch": Evidence from Japan
THE BALANCE SHEETS of Japanese banks in the late 1990s were damaged by the enormous amount of non-performing loans (NPLs) that had accumulated over the previous decade. NPLs at the end of fiscal year for 1997 (March 1998) reached 30 trillion yen, or...
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Quantifying the Risk of Deflation
AS OF LATE 2002, there was much public debate about whether the risks to price stability were tilted toward deflation in OECD countries. For example, in October 2002 (and again in May 2003), The Economist announced that "the risk of falling prices...
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Technology Shocks and Monetary Policy: Revisiting the Fed's Performance
FOLLOWING THE PROVOCATIVE contribution by (Gali 1999), there has been a renewed interest in technology shocks over the recent years, especially within the theoretical framework of New Keynesian models. The study by Gali, Lopez-Salido, and Valles (2003)...
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Temporal Patterns in Foreign Exchange Returns and Options
DESPITE THE FACT that the foreign exchange market is the largest financial market in the world and the majority of traders in this market are large, professional, institutional investors, tests of the weak form of market efficiency in this market are...
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The Great Inflation of the 1970s
DURING THE 1970s, the inflation rate in the United States reached its 20th century peak, with levels exceeding 10%. The causes of this "great" inflation remain the subject of considerable academic debate. Broadly speaking, the proposed explanations...
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The Slow Adjustment of Aggregate Consumption to Permanent Income
WHY IS AGGREGATE consumption so smooth? The permanent income hypothesis (PIH) provides the usual economic explanation. In the standard version of the PIH due to Hall (1978), the representative economic agent alters consumption only when faced with...
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