というNBER論文が上がっているungated版へのリンクがある著者の一人のページブルッキングス研究所の23年秋のコンファレンスのこの論文のページ)。原題は「Global Transmission of FED Hikes: The Role of Policy Credibility and Balance Sheets」で、著者はṢebnem Kalemli-Özcan(メリーランド大)、Filiz D. Unsal(OECD)。

Contrary to historical episodes, the 2022–2023 tightening of US monetary policy has not yet triggered financial crisis in emerging markets. Why is this time different? To answer this question, we analyze the current situation through the lens of historical evidence. In emerging markets, the financial channel–based transmission of US policy historically led to more adverse outcomes compared to advanced economies, where the trade channel fails to smooth out these negative effects. When the Federal Reserve increases interest rates, global investors tend to shed risky assets in response to the tightening global financial conditions, affecting emerging markets more severely due to their lower credit ratings and higher risk profiles. This time around, the escape from emerging market assets and the increase in risk spreads have been limited. We document that the historical experience of higher risk spreads and capital outflows can be largely explained by the lack of credible monetary policies and dollar-denominated debt. The improvement in monetary policy frameworks combined with reduced levels of dollar-denominated debt have helped emerging markets weather the recent Federal Reserve hikes.
過去の事例に反し、2022-2023年の米金融政策の引き締めは、未だ新興国金融危機を引き起こしていない。なぜ今回は違うのか? この疑問に答えるべく我々は、過去の実証結果のレンズを通して現状を分析した。新興国では過去に、金融経路による米政策の伝播が先進国よりも悪い結果をもたらしてきた。そこでは、貿易経路が負の影響を除去できなかった。FRBが利上げすると、世界の金融環境の引き締まりに応じてグローバル投資家は危険資産を減らす傾向にあり、信用格付けが低くリスクプロファイルが高いために新興国はより深刻な影響を受けた。今回は、新興国市場の資産からの逃避とリスクスプレッドの拡大は限定的だった。過去のリスクスプレッドの拡大と資本流出の経験は、信頼できる金融政策の欠如とドル建ての負債で概ね説明できることを我々は明らかにした。金融政策の枠組みの改善は、ドル建ての負債水準の減少と相俟って、新興国が最近のFRBの利上げを切り抜ける助けとなった。



*1:「Theoretical discussion highlights trade and financial channel, but the relevance of the former is dismissed (too cursorily in my view)」


というNBER論文が上がっている。原題は「Bank Failures and Economic Activity: Evidence from the Progressive Era」で、著者はGary Richardson(UCアーバイン)、Marco Del Angel(カリフォルニア州立大学ロサンゼルス校)、Michael Gou(Tickr, Inc.)。

During the Progressive Era (1900-29), economic growth was rapid but volatile. Boom and busts witnessed the formation and failure of tens of thousands of firms and thousands of banks. This essay uses new data and methods to identify causal links between failures of banks and bankruptcies of firms. Our analysis indicates that bank failures triggered bankruptcies of firms that depended upon banks for ongoing access to commercial credit. Firms that did not depend upon banks for credit did not fail in appreciably larger numbers after banks failed or during financial panics.

著者の一人のHPによると、共著者のうちの2人が書いた別の論文がJournal of Financial Economicsに掲載されている。そちらはこの論文と同じく進歩主義時代の銀行の破綻ないし再編を扱っているが、規制当局の政治からの独立性に焦点を当てている。


というNBER論文が上がっているungated版)。原題は「Monetary Policy, Segmentation, and the Term Structure」で、著者はRohan Kekre(シカゴ大)、Moritz Lenel(プリンストン大)、Federico Mainardi(シカゴ大)。

We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs’ portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and raises term premia. A calibration to the U.S. economy accounts for the transmission of monetary shocks to long rates. We discuss the additional implications of our framework for state-dependence in policy transmission, the volatility and slope of the yield curve, and trends in term premia accompanying trends in the natural rate.

モデルでは、「好みの生息地(preferred habitat*2」モデルを踏まえつつ、裁定取引者の選好が従来モデルのCARA*3ではなくCRRAであるようにし、かつ、瞬間的な生ではなく永遠に若いこと(perpetual youth)を仮定したとの由*4。そのため、裁定取引者の富は、仲介者資産価格付け(intermediary asset pricing)の研究*5におけるのと同様、リスクの価格付けに関連する内生的な状態変数になったという。

「Just as the model implies that the effects of monetary policy along the term structure depend on the level of arbitrageur wealth and thus duration, it implies that the effects of other shocks similarly depend on arbitrageur wealth. Here we focus on our QE experiment used to calibrate the model. As previously noted, we simulate the March 18, 2009 announcement in the model assuming that arbitrageur wealth is initially one third less than its average value, corresponding to the decline in broker/dealer and hedge fund wealth between the fourth quarter of 2007 and first quarter of 2009. ...The model implies that the 10- and 20-year real yields and forward rates would have fallen by 20-30% less had broker/dealers and hedge funds not been so poorly capitalized at the time of the announcement.」
「Table 7 demonstrates how yield volatilities and the slope of the yield curve change when ξ →∞ and thus arbitrageurs’ initial wealth is constant. As is evident from the first row, yield volatility falls when arbitrageurs’ initial wealth is constant, although the effect is very small. The second row demonstrates that there is a more pronounced effect on stochastic volatility: while the model with endogenous wealth features stochastic volatility because short rate and demand shocks have state-dependent effects on yields as arbitrageur wealth varies, the model with exogenous wealth features constant volatilities. Since bond price volatility in the baseline model is high precisely in times with low wealth and thus high marginal utility for arbitrageurs, the final row demonstrates that it accounts for nearly one third of the unconditional slope of the yield curve. Taken together, we conclude that the endogeneity of arbitrageurs’ wealth plays an important role in shaping the unconditional properties of the term structure.」
「the decline in the natural rate in recent years has led to a sustained increase in long bond prices, recapitalizing arbitrageurs with positive duration and lowering their price of bearing risk.」

*2:cf. 需給と金利の期間構造 - himaginary’s diary

*3:cf. リスク回避 - Wikipedia

*4:本文では「Arbitrageurs trade at all maturities as well as at the short rate rt with the central bank. Arbitrageurs are born and die at rate ξ, discount the future at rate ρ, and have separable CRRA preferences over consumption upon death with risk aversion γ. Here we depart from typical preferred habitat models which assume arbitrageurs are alive instantaneously and have CARA preferences over consumption upon death.」と記述されている。

*5:e.g. セグメント化された裁定 - himaginary’s diaryで紹介した論文。


というNBER論文が上がっているungated版)。原題は「Bank Runs, Fragility, and Regulation」で、著者はManuel Amador(ミネソタ大)、Javier Bianchiミネアポリス連銀)。

We examine banking regulation in a macroeconomic model of bank runs. We construct a general equilibrium model where banks may default because of fundamental or self-fulfilling runs. With only fundamental defaults, we show that the competitive equilibrium is constrained efficient. However, when banks are vulnerable to runs, banks’ leverage decisions are not ex-ante optimal: individual banks do not internalize that higher leverage makes other banks more vulnerable. The theory calls for introducing minimum capital requirements, even in the absence of bailouts.

*1:導入部では「Our analysis compares the competitive equilibrium with the solution of a constrained social planner problem that chooses borrowing decisions on behalf of banks in the initial period to maximize banks’ ex-ante welfare. In this constrained-efficient allocation, banks retain the ability to default in the intermediate and final periods, and the price of capital clears the capital market in each period. The critical distinction between the constrained-efficient allocation and the competitive equilibrium is that the planner internalizes how the amount of borrowing in the initial period affects the prices of capital and, in turn, affects the continuation values for banks. In the first part of the paper, we provide welfare theorem-like results in the model where bank runs cannot happen, although banks may still default because of fundamentals. We show that competitive equilibria are constrained efficient, and establish the existence and uniqueness of a competitive equilibrium.」と説明している。

*2:導入部では「The crux of the mechanism is as follows: when banks face runs, they are net sellers of assets because they need liquidity to repay the deposits that are being withdrawn. With higher aggregate bank equity, asset prices remain elevated, making it easier for banks to access liquidity during runs. However, because banks do not account for these positive general equilibrium effects, they take on too much leverage from a social point of view.」と説明している。

*3:結論部では「Echoing previous debates following the Great Financial Crisis of 2008, many proposals for tightening banking regulation are aimed at preventing bank bailouts. In our model, raising banks’ capital requirements is desirable even in the absence of such bailouts. The basic message is that leverage and financial distress result in lower asset prices, and in turn, low asset prices make the economy more vulnerable to the damaging effects of self-fulfilling bank runs.」と説明している。

ノイズの多い専門家? 規制における裁量

というNBER論文が上がっているungated版へのリンクがある著者の一人のページ)。原題は「Noisy Experts? Discretion in Regulation」で、著者はSumit Agarwal(シンガポール国立大)、Bernardo C. Morais(FRB)、Amit Seru(スタンフォード大)、Kelly Shue(イェール大)。

While reliance on human discretion is a pervasive feature of institutional design, human discretion can also introduce costly noise (Kahneman, Sibony, and Sunstein 2021). We evaluate the consequences, determinants, and trade-offs associated with discretion in high-stake decisions assessing bank safety and soundness. Using detailed data on the supervisory ratings of US banks, we find that professional bank examiners exercise significant personal discretion—their decisions deviate substantially from algorithmic benchmarks and can be predicted by examiner identities, holding bank fundamentals constant. Examiner discretion has a large and persistent causal impact on future bank capitalization and supply of credit, leading to volatility and uncertainty in bank outcomes, and a conservative anticipatory response by banks. We identify a novel source of noise: weights assigned to specific issues. Disagreement in ratings across examiners can be attributed to high average weight (50%) assigned to subjective assessment of banks’ management quality, as well as heterogeneity in weights attached to more objective issues such as capital adequacy. Replacing human discretion with a simple algorithm leads to worse predictions of bank health, while moderate limits on discretion can translate to more informative and less noisy predictions.

以下は各項目のウエイトを示した図(前注の金融庁資料から:Capital Adequacy(自己資本)、Asset Quality(資産内容)、Management(経営)、Earnings(収益性)、Liquidity(流動性)、Sensitivity to Market Risk(市場リスクに対する感応性) )。



*2:cf. CAMELS rating system - Wikipedia金融庁資料

*3:裁量の定義について本文では次のように記述している:「We define examiner “directional discretion” as the average of the signed values of discretion across all exams conducted by each examiner. Directional discretion captures how some examiners are predictably more lenient than others. We define examiner “absolute discretion” as the average of the absolute value of discretion across all exams conducted by each examiner. Absolute discretion measures of the extent to which the examiner relies on case-specific soft information, as well as any biases, gut feelings, or intuition. Notably, it is possible for an examiner to exercise zero directional discretion (so she is not more lenient than other examiners) and have high absolute discretion (because she heavily weighs soft information or gut feelings in either direction when evaluating each case).


というNBER論文が上がっているungated(ブルッキングス研究所)版*1)。原題は「Why Do We Dislike Inflation?」で、著者はStefanie Stantcheva(ハーバード大)。

This paper provides new evidence on a long-standing question asked by Shiller (1997): Why do we dislike inflation? I conducted two surveys on representative samples of the US population to elicit people’s perceptions about the impacts of inflation and their reactions to it. The predominant reason for people’s aversion to inflation is the widespread belief that it diminishes their buying power, as neither personal nor general wage increases seem to match the pace of rising prices. As a result, respondents report having to make costly adjustments in their budgets and behaviors, especially among lower-income groups. Inflation also provokes stress, emotional responses, and a sense of inequity, as the wages of high-income individuals are perceived to grow more rapidly amidst inflation. Many respondents believe that firms have considerable discretion in setting wages, opting not to raise them in order to boost profits, rather than being compelled by market dynamics. The potential positive associations of inflation, such as with reduced unemployment or enhanced economic activity, are typically not recognized by respondents. Inflation ranks high in priority among various economic and social issues, with respondents blaming the government and businesses for it. I also highlight a substantial polarization in attitudes towards inflation along partisan lines, as well as across income groups.

*1:cf. 変化しつつある中銀への圧力とインフレ - himaginary’s diaryでリンクしたブルッキングス研究所の2024春コンファレンス論文の一つ。

*2:cf. Why Do People Dislike Inflation?

*3:ブルッキングス研究所のまとめ記事では「However, inflation, as measured by the Consumer Price Index was 3.4% in 2023 while average hourly wages rose 4.1%.」と指摘している。

*4:本文の結論部では「This situation leads to significant reported adjustments in spending habits, particularly among lower-income individuals who often find themselves postponing or reducing the quality and quantity of their purchases.」と記している。

*5:本文の結論部では「There is a clear partisan divide in the responses, with Republicans more likely to blame the government or “Joe Biden,” and Democrats more likely to blame businesses. This closely correlates with whom people feel angry at when they see prices rise, directing blame at businesses, the government, and the “system” in general.」と記している。


というNBER論文が上がっているungated版へのリンクがある著者の一人のサイト)。原題は「What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market」で、著者はFrancesco Bianchi(ジョンズホプキンズ大)、Sydney C. Ludvigson(NYU)、Sai Ma(FRB*1

We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events using a new methodology that synthesizes estimation of a structural asset pricing model with algorithmic machine learning to quantify bias. We estimate that investors systematically overreact to perceptions about multiple fundamental shocks in a macro-dynamic system, generating asymmetric compositional effects when several counteracting shocks occur simultaneously in real-world events. We show that belief overreaction to all shocks can lead the market to over- or underreact to events, amplifying or dampening volatility.

従来の株式市場の過剰反応に関する分析は、アナリストや投資家の予測誤差を予測修正に回帰することが多かったが、そのやり方では、正確にどのニュースイベントに投資家の考えが過剰反応したかが特定できない。実際、株価の変動をもたらす株式市場の資金の出入りは、企業のキャッシュフロー成長とは無関係であることが報告されている。そこで今回の分析では、「構造的AI総合(structural AI synthesis)」と著者たちが呼ぶ手法で以下のように分析を行ったという。

  1. 特定のニュースイベントへの株式市場の反応を測定
  2. そのイベントの結果として生じる、代表的投資家の主観的予想の修正と、その投資家がリスクの源泉と受け止めているものの修正を推計
  3. 市場のニュースへの反応を動かす上での考えの歪みの定量的重要性を測定

その結果は、無関心(inattention)モデルよりも診断的予想(diagnostic expectations*2)モデルに沿うものだったという。ただし従来の利益ないし配当の単変数の診断的予想モデルからは過剰反応による市場変動性の増幅しか出てこないが、経済の動学に関する認識についての複数変数の診断的予想モデルとしたことにより、ショック同士が打ち消しあう効果によって過小反応も導出できたとの由。