How important is intra-household risk sharing for savings and labor supply?

While it is recognized that the family is a risk-sharing institution, little is known about the quantitative effects of this source of insurance on savings and labor supply. In this paper, we present a model where workers (females and males) are subject to idiosyncratic employment risk and where capital markets are incomplete. A household is formed by a female and a male, who decide on consumption, savings and labor supplies. In a calibrated version of our model we find that intra-household risk sharing has its largest impact among wealth-poor households. While the wealth-rich use mainly savings to smooth consumption across unemployment spells, wealth-poor households rely on spousal labor supply. For instance, for low-wealth households, average hours worked by wives of unemployed husbands are 8% higher than those worked by wives of employed husbands. This response in wives’ hours makes up 9% of lost family income. We also study consumption losses upon an unemployment spell, precautionary savings and the crowding out effects of the public unemployment insurance program on the extent of risk sharing within the household.     

The Labour Market Impact of the Working Families' Tax Credit

In October 1999, the working families' tax credit (WFTC) replaced family credit as the main package of in‐work support for families with children. Among a range of stated aims, the WFTC is intended to‘… improve work incentives, encouraging people without work to move into employment'. In this paper, we consider the impact of WFTC on hours and participation. To simulate labour supply responses, we use a discrete behavioural model of household labour supply with controls for fixed and childcare costs, and unobserved heterogeneity. In simulation, we experiment with a number of scenarios regarding the take‐up of the credit, entry wage level and hourly childcare price. We find participation rates among single mothers to increase by around 2.2 percentage points for the base‐case scenario, while for married women participation rates are modelled to fall. Our simulation results indicate a small increase in overall participation of around 30,000 individuals.     

Macroeconomic Effects of Credit Deepening in Latin America

We augment a standard dynamic general equilibrium model with financial frictions, in order to quantify the macroeconomic effects of the credit deepening process observed in Latin America in the 2000s—most notably in Brazil. In the model, a stylized banking sector intermediates credit from patient households to impatient households and entrepreneurs. Motivated by the Brazilian experience, we allow the credit constraint faced by households to depend on labor income. Our model is designed to isolate the effects of credit deepening through demand-side channels, and abstracts from potential effects of credit supply on total factor productivity. In the calibrated model, credit deepening generates only modest above-trend growth in consumption, investment, and GDP. Since Brazil has experienced one of the most intense credit deepening processes in Latin America, we argue the quantitative effects that hinge on the channels captured by the model are unlikely to be sizable elsewhere in Latin America.     

Capital Requirements,Monetary Policy,and Aggregate Bank Lending: Theory and Empirical Evidence

Capital requirements linked solely to credit risk are shown to increase equilibrium credit rationing and lower aggregate lending. The model predicts that the bank's decision to lend will cause an abnormal runup in the borrower's stock price and that this reaction will be greater the more capital-constrained the bank. I provide empirical support for this prediction. The model explains the recent inability of the Federal Reserve to stimulate bank lending by increasing the money supply. I show that increasing the money supply can either raise or lower lending when capital requirements are linked only to credit risk.     

Consumption,Credit, and the Missing Young

There are more young adults today with either no credit history or insufficient credit history to be scored by one of the major credit bureaus than there were before the Great Recession—a reality that is likely an outcome of the Credit Card Accountability Responsibility and Disclosure (CARD) Act of 2009–10. In regressions that include a rich set of controls, we show that measures of young adults missing a credit score in credit bureau data act as a drag on state-level consumption growth. We demonstrate that this effect is driven by young people's loss of access to credit since the legislation went into effect.     

Central Bank Digital Currency,Credit Supply,and Financial Stability

We examine the implications of central bank digital currency (CBDC) for credit supply and financial stability using a monetary general equilibrium model. The introduction of deposits in CBDC account decreases credit supply by banks, raising the nominal interest rate and lowering a bank's reserve-deposit ratio. This increases the likelihood of bank panic in which banks exhaust cash reserves. However, once the central bank can lend all the deposits in CBDC account to banks, an increase in the quantity of CBDC which does not require reserve holdings can enhance financial stability by increasing credit supply and lowering nominal interest rate.     

我国货币政策对投资和消费的影响——基于VECM的实证研究

本文运用1996—2012年月度数据建立VECM模型,分析了货币政策对投资和消费的影响,结果显示:(1)货币政策对投资及消费的刺激作用存在非对称性,货币政策对投资的刺激作用比对消费的拉动作用强很多。(2)货币和信贷都可以对消费发挥积极作用,信贷的作用稍强,货币对投资的刺激作用几乎为零,而信贷对投资的拉动作用很明显。(3)利率对投资和消费都有一定影响,但不显著。分析表明,我国货币政策主要通过信贷渠道拉动投资来促进经济增长。通过进一步分析投资与消费的关系,发现当前应着力于扩大消费需求,而且目前财政政策对消费的刺激作用比货币政策有效。     

Nonlinear Effects of Mortgage Spreads Over the Business Cycle

This paper provides robust evidence for the nonlinear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth-transition vector autoregression (STVAR) model, we show that mortgage spread shocks hitting in a recessionary phase create significantly deeper and more protracted declines in consumption and housing market variables. In addition, we provide evidence that these mortgage spread shocks could be largely interpreted as credit supply shocks in the mortgage market. Our empirical results imply that unconventional monetary policy, such as the Federal Reserve's mortgage-backed security purchase program, would be a more effective tool for stabilizing the economy during recessions than in expansions.     

An optimal auction with identity‐dependent externalities

We analyze the problem of a seller of multiple identical units of a good who faces a set of buyers with unit demands, private information, and identity‐dependent externalities. We derive the seller's optimal mechanism and characterize its main properties. We show that the probability that a buyer obtains a unit is an increasing function of the externalities he generates and enjoys. Also, the seller's allocation of the units of the good need not be ex post efficient. As an illustration, we apply the model to the problem faced by a developer of a shopping mall who wants to allocate and price its retail space among anchor and non‐anchor stores. We show that a commonly used sequential mechanism is not optimal unless externalities are large enough.     

Institutions,moral hazard and expected government support of banks

We model the expected support of banks with credit ratings from Moody's and Fitch, taking explicitly into account the capacity and willingness of governments to provide support in case of need, as well as their concerns about moral hazard (i.e., that the expected support may induce banks to assume bigger risks). Our results suggest that moral hazard concerns are relatively weak. In addition, a substantial part of the expected support can be attributed to the quality of a country's institutions. These findings have important implications for the dynamics of banking crises, the value of the ‘fair’ insurance premium banks might be called upon to pay for the expected support, as well as for ways to reduce the resulting negative externalities.     

Regulate one service,tame the entire market: Credit cards in Turkey

In credit card markets banks provide both payment and credit services. Two regulations were recently enacted in the Turkish credit card market: one on payment services in 2005 and the other on credit services in 2006. By employing the well-known  and  method and a unique quarterly data set for 21 Turkish banks between 2002 and 2008, we investigate the extent of banks’ market power in the Turkish credit card market before and after the regulations. Unlike most of the existing literature, which considers competition and regulation for either credit or payment services and ignores the externalities between them, we consider the entire market by taking both services into account. Fixed effects estimations reveal that banks enjoyed collusive oligopoly power before the regulations. Although the first regulation did not have much impact, the second led to rises in both banks’ total revenues and competition in the entire market.     

信用卡、风险应对与城镇家庭股市参与

信用卡市场的发展有利于家庭平滑消费,但是否会影响家庭的投资决策尚缺少事实检验。基于中国家庭金融调查(CHFS)2011和2013年的调查数据,本文首次检验了信用卡对城镇家庭股市投资的影响。研究发现:(1)控制家庭财富、融资渠道、社会资本等特征,持有信用卡在边际上促进了家庭的股市参与率,股市投资额取决于信用额度。(2)中国信用卡市场的发展,并未像流动性约束理论预测的可以平滑消费,反而刺激了家庭风险性资产的配置,最终提高了储蓄率。原因在于,中国家庭更多地将信用卡作为应对未来短期突发性风险的金融工具,从而在当期将更多资产配置在风险资产上,以实现资本积累。使用信用卡数目、信用额度等多种衡量方式,并采用工具变量法(IV)和面板数据固定效应模型等解决内生性问题后,该结论稳健。该研究有助于理解信用卡在中国家庭投资决策的作用,并为流动性约束或有限股市参与假说提供中国经验。     

服务能力、信贷环境与银行效率

新兴金融、互联网金融发展不断倒逼着银行业必须提高效率,而服务能力、信贷环境是银行效率提升的关键因素。本文运用数据包络分析方法和广义相加模型,对特定信贷环境中银行效率与服务能力的关系假设进行检验。实证结果表明,银行的信贷供给和服务配送能力对银行效率的提升具有正面影响,但信贷供给能力对银行效率的提升作用存在上限边界约束,而服务配送能力对银行效率的提升作用则受到下限边界约束;银行效率对信贷环境变化的动态响应呈“S”型变动特征。     

Reputation,risk-taking,and macroprudential policy

This paper examines the role of macroprudential capital requirements in preventing inefficient credit booms in a model with reputational externalities. In our model, unprofitable banks have strong incentives to invest in risky assets when macroeconomic fundamentals are good in order to avoid the stigma of being assessed as low ability by the market. We show that across-the-system countercyclical capital requirements that deter such gambling are constrained optimal when fundamentals are neither extremely weak nor extremely strong.     

Banks' Funding Stress,Lending Supply,and Consumption Expenditure

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank funding stress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks report lower levels of nonmortgage liabilities. This, however, only translates into lower levels of consumption for low-income households. Hence, adverse credit supply shocks are associated with significant heterogeneous effects.     

A model of the Federal Reserve Act under the international gold standard system

Freeman (Am. Econom. Rev. 86 (1996a) 1126) shows that an elastic money supply enhances the efficiency of monetary equilibrium by clearing default-free debts at par value in the domestic credit market. This research adds a foreign exchange market to Freeman's model and extends his analysis into a two-country model, in which the arrival rates of agents are not equal between the two countries. In this model, an elastic money supply in the foreign exchange market to clear the exchange of fiat monies at gold standard parity, accompanied by an elastic money supply in the domestic credit market, could improve the efficiency of monetary equilibrium.     

It takes more than two to tango: Multiple bank lending,asset commonality and risk

Multiple-bank lending is the most prevalent form of bank-firm credit relationships in nearly all countries. It results in high asset commonality and interconnectedness, allows idiosyncratic risks to become systemic, and makes the banking system more fragile and vulnerable to shocks. Using detailed, granular-level, supervisory data on large corporate loans, we show that multiple bank lending is driven, inter alia, by regulatory limits on large credit exposures. These limits, aimed at mitigating an individual bank's concentration risk, force firms to explore alternative sources of funding, making the common borrowers' phenomenon more prominent. We find that multiple bank lending is determined endogenously, and its likelihood increases with the level of portfolio similarity between lenders. The size of the original lender and its systemic importance magnifies this effect. We argue that banks do not internalize the systemic effect of their lending decisions and that multiple bank lending constitutes an insurance mechanism related to an implicit "too-many-to-fail" guarantee. Its externalities are suboptimal and should be reinforced with better monitoring by the related authorities.     

Dynamic credit relationships in general equilibrium

We construct a general equilibrium model with private information in which borrowers and lenders enter into long-term dynamic credit relationships. Each new generation of ex ante identical individuals is divided in equilibrium into workers and entrepreneurs. Workers save through financial intermediaries in the form of interest-bearing deposits and supply labor to entrepreneurs in a competitive labor market. Entrepreneurs borrow from financial intermediaries to finance projects which produce privately observed sequences of random returns. Each financial intermediary holds deposits from a large number of workers and operates a portfolio of dynamic contracts with different credit positions. We calibrate the model to the U.S. economy and find that dynamic contracting is very effective at mitigating the effects of private information. Moreover, restricting borrowers and lenders to use static (one-period) contracts with a costly monitoring technology has adverse effects both on the level of aggregate economic activity and on individual welfare unless monitoring costs are very small. Finally, the optimal provision of intertemporal incentives leads to increasing consumption inequality over time within generational cohorts as in U.S. data.     

农业供应链金融视角的农户信用增进研究

基于核心企业的横向选择、横向监督和商业激励行为,采用“主体+债项”的评价方法,综合主成分分析法和Logistic回归方法,考量农业供应链金融的农户信用增进机制。结果表明：农业供应链金融能显著提高农户的守约概率,实现农户的信用增进。鉴此,应转变农户信用风险评价方式,构建内外部增信机制,发展农业供应链金融,缓解农户信贷约束。     

基于SWN-SEIRS模型的供应链金融信用风险传染测度研究

针对供应链金融信用风险传染问题,采用SWN-SEIRS模型进行仿真模拟分析.研究发现:SWN-SEIRS模型可以有效描述供应链金融信用风险传染路径与过程;网络规模扩大增加了信用风险传染的速度,增大了信用风险扩散范围;核心企业数量的上升虽然加快了信用风险传染的速度,但有效控制了信用风险扩散范围.这为供应链金融风险传染问题的研究方法开拓了新的思路,并为金融风险防范提供了决策依据.