Journal of Money Credit and Banking

Journal of Money, Credit, and Banking
Volume 35, Number 6 (Part 1), December 2003


Articles

    Buch, Claudia M.
  • Information or Regulation: What Drives the International Activities of Commercial Banks?
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    Subject Headings:
    • Banks and banking, International -- European Union countries -- Costs -- Mathematical models.
    • Information services -- European Union countries -- Mathematical models.
    • Banks and banking -- Deregulation -- European Union countries -- Mathematical models.
    Abstract:
      Information costs and regulatory barriers distinguish international financial markets from national ones. Using panel data on bilateral assets and liabilities of commercial banks, I empirically determine the impact of information, costs and regulations, and I isolate intra-EU financial linkages. I confirm that information costs and regulations are important factors influencing international asset choices of banks, but their relative importance differs among countries.
    Jafarey, Saqib.
    Masters, Adrian, 1960-
  • Output, Prices, and the Velocity of Money in Search Equilibrium
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    Subject Headings:
    • Costs, Industrial -- Mathematical models.
    • Quantity theory of money -- Mathematical models.
    • Equilibrium (Economics) -- Mathematical models.
    Abstract:
      A monetary-search model with match specific preferences and traded quantities is analyzed to assess how aggregate output, the price level, and the velocity of money are affected by various forms of technological change. Changes in the productive technology lead to output and prices moving in opposite directions but provide no prediction for monetary velocity. The matching technology directly affects monetary velocity and output but has little impact on prices. Transactions technologies, which affect the fixed cost of trading, are ambiguous with respect to comovements of output and prices but systematically impact velocity.
    Lange, Joe.
    Sack, Brian.
    Whitesell, William C.
  • Anticipations of Monetary Policy in Financial Markets
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    Subject Headings:
    • Monetary policy -- United States -- Mathematical models.
    • Capital market -- United States -- Mathematical models.
    • Federal funds market (United States) -- Mathematical models.
    • United States. Federal Open Market Committee.
    Abstract:
      In recent years, financial markets appear better able to anticipate Federal Open Market Committee (FOMC) policy changes. Beginning in the late 1980s and early 1990s, longer-term interest rates and futures rates have tended to incorporate movements in the federal funds rate several months in advance, in contrast to the largely contemporaneous response typically observed before that time. After identifying these emerging trends, the paper parses the enhanced predictability into a component that can be attributed to the autoregressive behavior of the funds rate and a nonautoregressive component. The paper considers institutional developments in FOMC policy making that may have contributed to each of these components, including gradualism in adjusting the federal funds rate target and transparency regarding the setting of the target and future policy intentions.
    Linnemann, Ludger.
    Schabert, Andreas.
  • Fiscal Policy in the New Neoclassical Synthesis
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    Subject Headings:
    • Fiscal policy -- Mathematical models.
    • Business cycles -- Mathematical models.
    • Prices -- Mathematical models.
    • Monetary policy -- Mathematical models.
    Abstract:
      We analytically derive the cyclical effects of fiscal policy shocks in a New Neoclassical Synthesis model. Price stickiness has the consequence that a rise in government demand affects labor demand, while at the same time the usual wealth effect boosts labor supply. The strength of the demand effect depends on the response of the real interest rate governed by the monetary policy regime. When the central bank controls money growth, fiscal expansions are deflationary and might even be contractionary, whereas output, wages, and, inflation can increase when the rise in the real interest rate is dampened by an interest rate rule. However, price stickiness alone is not sufficient to explain a rise in consumption as predicted by Keynesian theory.
    Peek, Joe.
    Rosengren, Eric S.
    Tootell, Geoffrey M. B. (Geoffrey Matthew Bemis)
  • Identifying the Macroeconomic Effect of Loan Supply Shocks
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    Subject Headings:
    • Bank loans -- United States -- Mathematical models.
    • Monetary policy -- United States -- Mathematical models.
    • United States -- Economic conditions -- Mathematical models.
    Abstract:
      The inability to clearly distinguish the effects of shocks to loan supply from those to loan demand has made it difficult to quantify the economic importance of the credit channel in the transmission mechanism of monetary policy. This study provides an innovative approach to identifying loan supply shocks. Three different results confirm that loan supply shocks have been successfully isolated from shifts in loan demand. Our measure is particularly important for explaining inventory movements, the component of GDP most dependent on bank lending; the effect is present even during periods with strong loan demand; and the effect remains even when the unpredictable part of the loan supply shock is isolated. This identification enables us to show that loan supply shocks have had economically important effects on the U.S. economy.
    Perez, Stephen J.
    Siegler, Mark V.
  • Inflationary Expectations and the Fisher Effect Prior to World War I
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    Subject Headings:
    • Fisher effect (Economics) -- United States -- History -- 1909-1913.
    • Consumer price indexes -- United States -- History -- 1909-1913.
    • Gross national product -- United States -- History -- 1909-1913.
    Abstract:
      We use univariate and multivariate techniques to estimate the expected price level changes for the U.S. during the pre-World War I period. We also examine contemporaneous evidence from agricultural commodity futures markets to measure inflationary expectations. Using previously neglected data on consumer prices and a variety of techniques, we draw three main conclusions not traditionally found for this period: (1) price level changes were not white noise, (2) a significant portion of deflationary and inflationary episodes was indeed expected, and (3) expected inflation is positively and significantly correlated with nominal interest rates, thus providing support for a short-run Fisher effect.
    Rosen, Richard Joseph.
  • Is Three a Crowd? Competition Among Regulators in Banking
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    Subject Headings:
    • Banks and banking -- United States --- State supervision -- Mathematical models.
    • Bank failures -- United States-- Mathematical models.
    • Banks and banking -- Deregulation -- United States -- Mathematical models.
    • United States. Office of the Comptroller of the Currency.
    Abstract:
      Banks are able to switch among three options for a primary federal regulator: the FDIC, the Federal Reserve, and the OCC. We examine why they switch and what the results of switches are. We find support for the hypothesis that competition among regulators has beneficial aspects. Regulators seem to specialize in offering banks that are changing strategy the ability to improve performance by switching regulators. There is also evidence that the ability to switch regulators allows banks to get away from bank examiners who desire a quiet life, that is, examiners who attempt to minimize the effort they spend on work.
    Scott, Jonathan A.
    Dunkelberg, William C.
  • Bank Mergers and Small Firm Financing
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    Subject Headings:
    • Bank mergers -- United States.
    • Small business -- United States -- Finance.
    Abstract:
      In this study the effect of bank mergers on the most recent attempt to obtain financing from a sample U.S. small firms in the mid-1990s is examined. Banking mergers, which affected about 25% of the firms responding to the survey, had no significant effect on the ability of small firms to obtain a loan or the contract loan rate on the most recent loan from a commercial bank. However, the incidence of mergers does appear to increase nonprice loan terms, increase the incidence of related fees for services, raise the frequency of searching for a new bank, and result in deterioration of service quality. Little evidence is found that the most informationally opaque firms (e.g., the smallest firms) bear a higher cost from mergers than do less informationally opaque firms.
    Woo, D. (David)
  • In Search of "Capital Crunch": Supply Factors Behind the Credit Slowdown in Japan
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    Subject Headings:
    • Monetary policy -- Japan -- Mathematical models.
    • Bank loans -- Japan -- Mathematical models.
    • Bank failures -- Japan -- Mathematical models.
    Abstract:
      The seeming failure of loose monetary policy to reactivate Japan's economy has led some observers to suggest that the usual credit channels through which monetary policy affects the real economy are blocked, and this is because of a pervasive shortage of bank capital that has induced a leftward shift in the supply of bank credit. This is the so-called capital crunch hypothesis. This paper finds support for the hypothesis in the bank data for 1997--a year during which the landscape of the Japanese financial system underwent some fundamental changes.



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