前沿速递|NBER、IMF最新工作论文一览（No.2438）

   为更快更好地向广大学术爱好者及宏观金融领域研究者提供最新研究成果，“大金融思想”推出全新栏目——“NBER、IMF最新工作论文一览”，每周更新一期，汇集NBER、IMF最新发布的宏观金融领域论文，以飨读者。

本期论文搜索范围：2024.10.08-2024.10.14

  Authors  

Dimitris Georgarakos, Yuriy Gorodnichenko, Olivier Coibion, Geoff Kenny

  Series   

【 Working Papers No.33014】

  DOI  

  10.3386/w33014

  Issue Date  

October 2024

   Abstract   

We implement a survey-based randomized information treatment that generates independent variation in the inflation expectations and the uncertainty about future inflation of European households. This variation allows us to assess how both first and second moments of inflation expectations separately affect subsequent household decisions. We document several key findings. First, higher inflation uncertainty leads households to reduce their subsequent durable goods purchases for several months, while a higher expected level of inflation increases them. Second, an increase in uncertainty about inflation induces households to tilt their portfolios towards safe and away from riskier asset holdings. Third, higher inflation uncertainty encourages household job search, leading to higher subsequent employment among the unemployed and less under-employment among the employed. Finally, we document that the level of inflation expectations has a different effect from uncertainty in inflation expectations and thus it is crucial to take into account both to measure their separate effects on decisions.

我们实施了一种基于调查的随机信息处理，该处理在通胀预期和欧洲家庭未来通胀的不确定性中产生独立变化。这种变化使我们能够评估通胀预期的第一时刻和第二时刻如何分别影响随后的家庭决策。我们记录了几个关键发现。首先，更高的通胀不确定性导致家庭在几个月内减少后续的耐用品购买，而更高的预期通胀水平会增加他们的购买。其次，通胀不确定性的增加促使家庭将投资组合转向安全且远离风险较高的资产持有。第三，更高的通胀不确定性鼓励了家庭求职，导致失业者随后的就业率更高，就业人员的就业不足率更低。最后，我们记录了通胀预期水平与通胀预期的不确定性具有不同的影响，因此将两者考虑在内以衡量它们对决策的不同影响至关重要。

  Authors  

Ruslan Goyenko, Bryan T. Kelly, Tobias J. Moskowitz, Yinan Su & Chao Zhang

  Series  

【 Working Papers No. 33037】

  DOI  

  10.3386/w 33037

  Issue Date  

October 2024

   Abstract   

Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting trading costs is challenging because costs depend on trade size and trader identity, thus impeding a generic solution. We focus on a component of trading costs that applies universally – trading volume. Individual stock trading volume is highly predictable, especially with machine learning. We model the economic benefits of predicting volume through a portfolio framework that trades off tracking error versus net-of-cost performance – translating volume prediction into net-of-cost alpha. The economic benefits of predicting individual stock volume are as large as those from stock return predictability.

投资组合优化侧重于风险和回报预测，但实施成本至关重要。预测交易成本具有挑战性，因为成本取决于交易规模和交易者身份，因此阻碍了通用解决方案。我们专注于普遍适用的交易成本组成部分 – 交易量。个股交易量具有高度可预测性，尤其是在机器学习方面。我们通过一个投资组合框架对预测交易量的经济效益进行建模，该框架在跟踪误差与净成本绩效之间进行权衡——将交易量预测转化为净成本 alpha。预测个股数量的经济效益与股票回报可预测性的经济效益一样大。

  Authors  

Marijn A. Bolhuis, Sonali Das, Bella Yao

  Series  

【Working Paper No. 2024/224】

  Publication Date  

October 11, 2024

   Abstract  

This paper presents a new dataset of monetary policy shocks for 21 advanced economies and 8 emerging markets from 2000-2022. We use daily changes in interest rate swap rates around central bank announcements to identify unexpected shocks to the path of monetary policy. The resulting series can be used to examine cross-country heterogeneity in the impact of monetary policy shocks. We establish a new empirical fact on monetary policy spillovers across countries: the monetary policy decisions of small open economy central banks, and not just major central banks, have substantial spillover effects on swap rates and bond yields in other countries.

本文提供了2000年至2022年21个发达经济体和8个新兴市场货币政策冲击的新数据集。我们利用央行公告前后利率掉期利率的每日变化来识别货币政策路径上的意外冲击。由此产生的序列可用于研究货币政策冲击影响的跨国异质性。我们建立了一个关于各国货币政策溢出效应的新实证事实：小型开放经济体央行的货币政策决策，而不仅仅是主要央行，对其他国家的掉期利率和债券收益率具有重大溢出效应。

  Authors  

Romain Bouis, Gaston Gelos, Fumitaka Nakamura, Paavo A Miettinen, Erlend Nier, Gabriel Soderberg

  Series  

【Working Paper No. 2024/226】

  Publication Date  

October 11, 2024

   Abstract   

This paper offers a comprehensive analysis of the implications for financial stability of a central bank issuing a digital currency to the public at large. We start with a systematic analysis of balance sheet changes that arise from the new liability for the central bank and the banking system, and examine how they depend on preconditions, central bank choices, and banking system responses. Based on this, we discuss the range of implications for financial stability that may arise in steady state, in the context of adoption, and in crisis times. Threats to financial intermediation in steady state arise mainly in situations where the central bank balance sheet expands, and triggers adjustment mechanisms that lead to more costly or less stable funding of the banking system, while in crisis times run risk may increase. Our analysis of policy choices to control these effects considers macroprudential policy, and an expansion of central bank lending to commercial banks, but finds that a main contribution needs to come from a design of the CBDC that encourages its use as a means of payment rather than a store of value.

本文全面分析了中央银行向广大公众发行数字货币对金融稳定的影响。我们首先系统分析了中央银行和银行系统的新负债所引起的资产负债表变化，并研究了它们如何取决于先决条件、中央银行的选择和银行系统的反应。基于此，我们讨论了在稳态、收养和危机时期可能出现的对金融稳定的影响范围。稳态下金融中介的威胁主要出现在中央银行资产负债表扩张的情况下，并触发调整机制，导致银行体系的资金成本更高或更不稳定，而在危机时期，挤兑风险可能会增加。我们对控制这些影响的政策选择的分析考虑了宏观审慎政策，以及央行对商业银行的贷款扩张，但发现主要贡献需要来自 CBDC 的设计，鼓励将其用作支付手段而不是价值储存手段。