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. 38, No. 6, September

A Small-Sample Study of the New-Keynesian Macro Model
NEW-KEYNESIAN MODELS have become the benchmark of much of the recent monetary policy literature. A wide variety of this class of models has been formulated, solved, and estimated. One common feature of these works is the high importance attributed...
Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?
THE EXISTING LITERATURE ON EXCHANGE RATES and monetary policy focuses on exchange rate responses on days when actual monetary policy decisions occur (e.g. on FOMC dates). By construction, therefore, the existing literature does not address whether...
Market Discipline in Property/casualty Insurance: Evidence from Premium Growth Surrounding Changes in Financial Strength Ratings
SINCE JENSEN AND MECKLING (1976), the agency cost literature emphasizes possible time-inconsistent incentives and attendant increased risk-taking associated with debt finance. With rational, risk-sensitive lenders, shareholders bear the expected costs...
Money and Risk Sharing
IN THIS PAPER we examine how money can be used to share consumption risk. We construct a model to address two questions related to money and risk sharing. First, can agents use flat money to share risk efficiently and under what conditions? Second,...
Money Demand in Japan and Nonlinear Cointegration
THE THEORY OF money demand implies that the money demand function is almost infinitely elastic at extremely low nominal interest rates. This feature of the money demand function has important implications for monetary policy. For example, it suggests...
On Credit-Spread Slopes and Predicting Bank Risk
POLICYMAKERS ARE ACTIVELY considering the use of subordinated debt as a regulatory tool. A consultative paper issued by the Basel Committee on Banking Supervision (1999) proposes new risk-based capital standards with a view to increased granularity...
On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973
THE THEORY OF purchasing power parity (PPP) makes intuitive sense as a theory on the very long run real exchange rate. While for small deviations in relative prices the theory may require some adjustment for transportation costs and other reasons for...
Purchasing Power Parity and Markov Regime Switching
RECENT IMPORTANT CONTRIBUTIONS on the question of whether purchasing power parity (PPP) holds in the twentieth century yielded mixed results. Taylor (2002) constructed a real exchange rate data set for over 100 years (from 1850 to 1996) for 20 countries,...
Risk-Based Pricing and the Enhancement of Mortgage Credit Availability among Underserved and Higher Credit-Risk Populations
IN THE WAKE OF PERSISTENT housing disparities, ongoing research and policy debate have sought insights and methodologies necessary to boost mortgage and homeownership access among underserved, minority, and higher credit-risk populations. (1) Indeed,...
Simple Monetary Policymaking without the Output Gap
We have as yet devised no method to estimate accurately and readily the natural rate. Milton Friedman (1968) RECENT LITERATURE on monetary policy typically finds that a monetary policy that responds to the output gap will help stabilize inflation...
Technological Progress and the Geographic Expansion of the Banking Industry
OVER THE PAST FEW DECADES, the banking industry has been in a constant process of geographic expansion, both within nations and across nations. At one time, nearly all customers were served by locally based institutions. In contrast, it is now much...
The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey
FOR MOST OF the last 35 years, economists at the Federal Reserve have asked a sample of loan officers at large U.S. banks some version of the following question: Over the past three months, how have your bank's credit standards for approving...