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. 40, No. 7, October

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
WE DERIVE A CANONICAL REPRESENTATION for a class of affine models with both observable and unobservable variables, which includes as special cases the models of Ang and Piazzesi (2003), Ang, Dong, and Piazzesi (2004), Ang, Piazzesi, and Wei (2006),...
Energy Price Shocks and the Macroeconomy: The Role of Consumer Durables
As HAMILTON AND HERRERA (2004) and Hamilton (2008) point out, 9 out of 10 of the U.S. recessions since World War II and every recession since 1973 were preceded by a spike in oil prices. However, when one calculates the dollar share of energy expenditure...
Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through
THE OBJECTIVE OF this paper is to examine pass-through effects of the exchange rate changes on the domestic prices among the East Asian countries with special emphasis on an interaction between monetary policy and the exchange rate changes. In order...
Finance, Firm Size, and Growth
ALTHOUGH RESEARCH SHOWS that financial development accelerates economic growth (Levine 2006), economists have not resolved conflicting theoretical predictions about the distributional effects of financial development. Some theories imply that financial...
Incomplete Intertemporal Consumption Smoothing and Incomplete Risk Sharing
EMPIRICAL STUDIES ON risk sharing--i.e., consumption smoothing across states of nature--have grown rapidly in recent years. The formal literature started by testing the null hypothesis of full risk sharing at various aggregation levels, such as among...
Political Regimes and the Cost of Disinflation
THERE IS A SUBSTANTIAL literature analyzing the impact of various factors on the cost, in terms of lost output, of policy-induced disinflations;such authors as Ball (1994), Walsh (1995), Temple (2002), Daniels, Nourzad, and VanHoose (2005), and Razin...
Sticky Information Phillips Curves: European Evidence
FORMATION OF EXPECTATIONS, information transmission, and learning have recently again attracted much interest. (1) Several new papers, including Mankiw and Reis (2002, 2003, 2006), argue that models in which agents update their information occasionally...
Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market
THE TERM STRUCTURE of interest rates defines the array of discount factors on a collection of default-free pure (zero-coupon) discount bonds that differ only in their time to maturity. It is used for a number of purposes. For example, it can be used...
The Intraday Price of Money: Evidence: From the E-MID Interbank Market
IS THERE A MARKET price for "intraday money"? The answer to this question is interesting for banks, as it gives some insights into their liquidity management. It is also informative about the organization of payment systems, and relevant for central...
Time Inconsistency and Free-Riding in a Monetary Union
SINCE THE 1990s, INTEREST has grown in the design of monetary unions--groups of political units (countries or states or provinces) that have a great deal of independence in setting fiscal and other non-monetary policies but that share a central monetary...
What Accounts for the Changes in U.S. Fiscal Policy Transmission?
ONE OF THE MOST PROMINENT ISSUES IN macroeconomics concerns the effects of an increase in government spending. The topic takes center stage in the policy debate and has received great attention in the theoretical literature at least since Keynes' General...