Journal of Money, Credit and Banking
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Beyond the LTV Ratio: Lending Standards, Regulatory Arbitrage, and Mortgage Default Abstract Booming house prices are historically correlated with loose lending standards. Nonetheless, in Spain the loan‐to‐value (LTV) ratio failed to capture imbalances during the last housing boom. Using loan‐level data from millions of mortgages we show that inflated collateral valuations, used by banks as a mechanism to circumvent regulation, distorted the informative value of LTV, and masked the accumulation of risk. We identify that regulation relying upon a single measure is more prone to suffer from regulatory arbitrage, and that the optimal policy mix varies over the financial cycle. Overall, our study provides useful insights for the implementation of borrower‐based measures.
Journal of Money, Credit and Banking -
Commodity Prices, Money Surprises and Fed Credibilit
Journal of Money, Credit and Banking - Tập 17 Số 4 - Trang 425 - 1985
Changes in the Federal Reserve's Inflation Target: Causes and Consequences This paper estimates a New Keynesian model to draw inferences about the behavior of the Federal Reserve's unobserved inflation target. The results indicate that the target rose from 1 1/4% in 1959 to over 8% in the mid to late 1970s before falling back below 2 1/2% in 2004. The results also provide some support for the hypothesis that over the entire post‐war period, Federal Reserve policy has systematically translated short‐run price pressures set off by supply‐side shocks into more persistent movements in inflation itself, although considerable uncertainty remains about the true source of shifts in the inflation target.
Journal of Money, Credit and Banking - Tập 39 Số 8 - Trang 1851-1882 - 2007
Energy Price Shocks and the Macroeconomy: The Role of Consumer Durables We create a model with a distinction between investment in consumer durables and capital goods, as well as energy use by households and firms, to evaluate the importance of energy price shocks for output fluctuations. Simulation results indicate that this economy has a smaller proportion of output fluctuations attributable to energy price shocks than one without durable goods and household energy use. We show that an energy price hike is absorbed by reducing investment in durables more than in fixed capital. This rebalancing effect cushions the hit to future production. Thus, productivity shocks remain the prime driver for output fluctuations.
Journal of Money, Credit and Banking - Tập 40 Số 7 - Trang 1357-1377 - 2008
Perfect Competition and the Effects of Energy Price Increases on Economic Activity
Journal of Money, Credit and Banking - Tập 32 Số 3 - Trang 400 - 2000
Why Has U.S. Inflation Become Harder to Forecast? We examine whether the U.S. rate of price inflation has become harder to forecast and, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate inflation process is well described by an unobserved component trend‐cycle model with stochastic volatility or, equivalently, an integrated moving average process with time‐varying parameters. This model explains a variety of recent univariate inflation forecasting puzzles and begins to explain some multivariate inflation forecasting puzzles as well.
Journal of Money, Credit and Banking - Tập 39 Số s1 - Trang 3-33 - 2007
Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model
Journal of Money, Credit and Banking - Tập 37 Số 3 - Trang 561-582 - 2005
Trade Credit and the Bank Lending Channel
Journal of Money, Credit and Banking - Tập 34 Số 1 - Trang 226-253 - 2002
Household Debt and Income Inequality, 1963–2003 I construct an economy with heterogeneous agents that mimics the time‐series behavior of the earnings distribution in the United States from 1963 to 2003. Agents face aggregate and idiosyncratic shocks and accumulate real and financial assets. I estimate the shocks that drive the model using data on income inequality, aggregate income, and measures of financial liberalization. I show how the model economy can replicate two empirical facts: the trend and cyclical behavior of household debt and the diverging patterns in consumption and wealth inequality over time. While business cycle fluctuations can account for the short‐run changes in household debt, its prolonged rise of the 1980s and the 1990s can be quantitatively explained only by the concurrent increase in income inequality.
Journal of Money, Credit and Banking - Tập 40 Số 5 - Trang 929-965 - 2008
Technical Progress, Inefficiency, and Productivity Change in U.S. Banking, 1984-1993
Journal of Money, Credit and Banking - Tập 31 Số 2 - Trang 212 - 1999
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