前沿速递|NBER、IMF最新工作论文一览（No.2436）

       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：2024.9.10-2024.9.24

  Authors 

Rohan Kekre & Moritz Lenel

  Series   

【 Working Papers No. 32976】

  DOI  

10.3386/w32976

  Issue Date  

September 2024

   Abstract   

We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10 currency countries implies that persistent shocks to relative demand, reflected in persistent interest rate differentials, account for 75% of the variance in the dollar/G10 exchange rate. Shocks to currency intermediation are important, however, in generating deviations from uncovered interest parity at high frequencies and explaining the dollar appreciation in crises.

我们使用适应商品和金融市场冲击的一般均衡模型来研究汇率波动的来源。这些冲击的不同之处在于它们在汇率、利率和数量之间诱导的共动。来自美国和 G10 货币国的校准匹配数据表明，对相对需求的持续冲击（反映在持续的利差）占美元/G10 汇率差异的 75%。然而，对货币中介的冲击很重要，因为它可以高频地产生与未覆盖的利率平价的偏差，并解释美元在危机中的升值。

  Authors  

Matthew S. Jaremski & David C. Wheelock

  Series   

【 Working Papers No.32987】

  DOI  

 10.3386/w32987

  Issue Date  

September 2024

   Abstract   

The Federal Reserve Act was the outcome of compromises among competing economic and political interests. Numerous studies examine how the act came together but largely take the makeup of Congress and the Administration as given rather than considering the unique circumstances that led to that political distribution. This paper examines how the election of 1912 changed the makeup of Congress and increased the likelihood of central banking legislation and shaped the act. The decision of Theodore Roosevelt and other Progressives to run as third-party candidates split the Republican Party and enabled Democrats to capture the White House and Congress. We show that the election produced a less polarized Congress and that newly-elected members were more likely to vote for the act. Absent their interparty split, Republicans would likely have held the White House and Congress, and any legislation to establish a central bank almost certainly would have been quite different.

《联邦储备法》是相互竞争的经济和政治利益之间妥协的结果。许多研究考察了该法案是如何形成的，但在很大程度上将国会和政府的构成视为既定的，而不是考虑导致这种政治分配的独特情况。本文研究了 1912 年的选举如何改变了国会的构成，增加了中央银行立法的可能性，并塑造了该法案。西奥多·罗斯福 （Theodore Roosevelt） 和其他进步人士决定以第三党候选人的身份参选，这分裂了共和党，使民主党人能够占领白宫和国会。我们表明，这次选举产生了一个不那么两极分化的国会，新当选的议员更有可能投票支持该法案。如果没有他们的党际分裂，共和党人很可能会控制白宫和国会，而任何建立中央银行的立法几乎肯定会大不相同。

  Authors  

Adrien Auclert, Matthew Rognlie & Ludwig Straub

  Series   

【 Working Papers No.32991】

  DOI  

   10.3386/w32991

  Issue Date  

September 2024

   Abstract   

In the past decade, a new paradigm for fiscal and monetary policy analysis has emerged, combining the canonical macro model of income and wealth inequality with the New Keynesian model. These Heterogeneous-Agent New Keynesian (“HANK”) models feature new transmission channels and allow for the joint study of aggregate and distributional effects. We review key developments in this literature through the lens of a unified “canonical HANK model”. Monetary and balanced-budget fiscal policy have similar aggregate effects as in the standard new Keynesian model, while deficit-financed fiscal policy is much more expansionary. We discuss the split between direct and indirect effects of policy, and also the implications of cyclical income risk, maturity structure, nominal assets, behavioral frictions, and many other extensions to the model. Throughout, we highlight the benefits of using sequence-space methods to solve and analyze this class of models.

在过去十年中，出现了一种新的财政和货币政策分析范式，将收入和财富不平等的规范宏模型与新凯恩斯主义模型相结合。这些异质代理新凯恩斯主义 （“HANK”） 模型具有新的传输通道，并允许联合研究聚合效应和分布效应。我们通过统一的“规范 HANK 模型”的视角回顾了这些文献中的关键发展。货币和平衡预算财政政策具有与标准新凯恩斯主义模型相似的综合效应，而赤字融资财政政策则更具扩张性。我们讨论了政策的直接和间接影响之间的划分，以及周期性收入风险、期限结构、名义资产、行为摩擦和模型的许多其他扩展的影响。在整个过程中，我们强调了使用序列空间方法求解和分析此类模型的好处。

  Authors  

Ester Faia, Karen K. Lewis & Haonan Zhou

  Series  

【 Working Papers No.32986】

  DOI  

  10.3386/w32986

  Issue Date  

September 2024

   Abstract   

We re-examine monetary policy spillovers to Emerging Market Economies (EME) in the form of capital flow reversals, using sectoral-level securities holdings data for Euro Area investors. In response to a surprise monetary tightening, active investors such as investment funds re-balance their portfolios away from EME, while more passive, long term investors such as insurance funds and banks exhibit no significant reaction on average. For active investors, the reallocation out of EME appears stronger under synchronized monetary tightening between the Fed and the ECB. However, these investors may even inject more capital to EME securities when the monetary tightening surprises contain positive news about the Euro Area economy. Issuers' monetary-fiscal stability may explain the heterogeneous impact of these spillovers.

我们使用欧元区投资者的行业级证券持有数据，以资本流动逆转的形式重新审视货币政策对新兴市场经济体 （EME） 的溢出效应。为了应对出乎意料的货币紧缩政策，投资基金等主动型投资者将其投资组合从新兴市场市场重新平衡，而保险基金和银行等更被动的长期投资者平均没有表现出明显的反应。对于主动型投资者来说，在美联储和欧洲央行同步收紧货币政策的情况下，新兴市场的重新配置似乎更为强劲。然而，当货币紧缩意外包含有关欧元区经济的利好消息时，这些投资者甚至可能会向 EME 证券注入更多资金。发行人的货币财政稳定性可以解释这些溢出效应的异质性影响。

  Authors  

Damien Ackerer，Julien Hugonnier & Urban Jermann

  Series  

【Working Paper No.32936】

  DOI  

  10.3386/w32936

  Issue Date  

September 2024

   Abstract   

Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and continuous-time. In particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that reflects the intensity of the price anchoring. Furthermore, we identify funding specifications that guarantee the coincidence of futures and spot prices, and show that for such specifications perpetual futures contracts can be replicated by dynamic trading in primitive securities.

永续期货是无到期日的合约，其中通过从多头到空头的定期资金支付来确保期货价格与现货价格的锚定。我们推导出了各种永续合约的无套利价格的显式表达式，包括线性、反向和量子期货，包括离散时间和连续时间。特别是，我们表明期货价格是由在随机时间抽样的现货的风险中性预期给出的，该预期反映了价格锚定的强度。此外，我们确定了保证期货和现货价格重合的资金规格，并表明对于此类规格，可以通过原始证券的动态交易来复制永续期货合约。

  Authors  

Maximilian Fuchs, Johannes Stroebel & Julian Terstegge

  Series  

【Working Paper No.32937】

  DOI  

 10.3386/w32937

  Issue Date  

September 2024

   Abstract   

We study the effects of carbon price uncertainty on firms' decisions to decarbonize their operations. We first use information on the pricing of options on emission allowances in the European Emissions Trading System to create the Carbon VIX, a market-based high-frequency measure of carbon price uncertainty. Carbon price uncertainty is high, varies substantially over time, and experiences persistent shocks around major climate policy events. To explore the effects of carbon price uncertainty on expected aggregate decarbonization investments, we analyze its effect on the stock returns of firms that help other businesses decarbonize. To identify these "carbon solution providers," we extract common types of decarbonization investments from a large survey of firms, and then identify companies that offer the associated goods and services. We find that the stock returns of these carbon solution providers vary positively with carbon prices, but negatively with carbon price uncertainty. The effect of increases in carbon price uncertainty on our proxy for expected decarbonization investments is economically large and of similar magnitude as the effect of declines in carbon prices. These findings support predictions from real options theory that firms may delay investments in decarbonization when faced with uncertainty about the future costs of emissions.

我们研究了碳价格不确定性对公司运营脱碳决策的影响。我们首先使用欧洲排放交易体系中排放配额选项定价的信息来创建碳 VIX，这是一种基于市场的高频碳价格不确定性衡量标准。碳价格的不确定性很高，随时间变化很大，并且在重大气候政策事件周围会受到持续的冲击。为了探讨碳价格不确定性对预期总脱碳投资的影响，我们分析了碳价格不确定性对帮助其他企业脱碳的公司股票回报的影响。为了确定这些“碳解决方案提供商”，我们从对公司的大型调查中提取了常见的脱碳投资类型，然后确定了提供相关商品和服务的公司。我们发现，这些碳解决方案提供商的存量回报率与碳价格呈正相关，而与碳价格不确定性呈负相关。碳价格不确定性的增加对我们预期脱碳投资的影响在经济上是巨大的，与碳价格下跌的影响幅度相似。这些发现支持了实物期权理论的预测，即当面临未来排放成本的不确定性时，公司可能会推迟脱碳投资。

  Authors  

Itzhak Ben-David & Alex Chinco

  Series  

【Working Paper No.32942】

  DOI  

  10.3386/w32942

  Issue Date  

September 2024

   Abstract   

All of asset-pricing theory currently stems from one key assumption: price equals expected discounted payoff. And much of what we think we know about discount rates comes from studying a particular kind of expected payoff: the earnings forecasts in analyst reports. Researchers typically access these numbers through an easy-to-use database and never read the underlying documents. This is unfortunate because the text of each report contains an explicit description of how the analyst priced their own earnings forecast. We study a sample of 513 reports and find that most analysts use a trailing P/E (price-to-earnings) ratio not a discount rate. Instead of computing the present value of a company’s future earnings, they ask: “How would a firm with similar earnings have been priced last year?” Even if other investors do things differently, it does not make sense to put discount rates at the center of every asset-pricing model if market participants do not always use one. There are other options. Trailing twelve-month P/E ratios account for 91% of the variation in analysts’ price targets.We construct a new kind of asset-pricing model around this fact and show that it explains the market response to earnings surprises.

目前，所有资产定价理论都源于一个关键假设：价格等于预期的贴现收益。我们认为我们对贴现率的大部分了解都来自于研究一种特定类型的预期回报：分析师报告中的收益预测。研究人员通常通过易于使用的数据库访问这些号码，从不阅读基础文档。这很遗憾，因为每份报告的文本都包含分析师如何为自己的收益预测定价的明确描述。我们研究了 513 份报告的样本，发现大多数分析师使用追踪 P/E（市盈率）比率，而不是贴现率。他们没有计算公司未来收益的现值，而是问道：“一家收益相似的公司去年的定价会如何？即使其他投资者的做法不同，如果市场参与者并不总是使用贴现率，那么将贴现率置于每个资产定价模型的中心也是没有意义的。还有其他选择。过去 12 个月的市盈率占分析师目标价格变化的 91%。我们围绕这一事实构建了一种新的资产定价模型，并表明它解释了市场对收益意外的反应。

  Authors  

Olena Kostyshyna & Luba Petersen

  Series  

【Working Paper No.32939】

  DOI  

  10.3386/w32939

  Issue Date  

September 2024

   Abstract   

We use a new Canadian household survey to examine how inflation uncertainty influences inflation expectations and spending. Through randomized information interventions, we provide inflation statistics with or without second moments, creating variations in households' inflation uncertainty. All information types effectively lower inflation expectations and uncertainty. While communicating inflation uncertainty does not affect expectations or uncertainty levels, it increases the probability assigned to expected inflation near communicated ranges. Using Nielsen IQ Homescanner data, we find that higher inflation expectations and uncertainty reduce household spending on goods. Communicating inflation statistics with ranges increases spending by lowering expectations and reducing uncertainty.

我们使用一项新的加拿大住户调查来研究通胀不确定性如何影响通胀预期和支出。通过随机信息干预，我们提供有或没有第二时刻的通胀统计数据，从而在家庭的通胀不确定性中产生变化。所有信息类型都有效地降低了通胀预期和不确定性。虽然传达通胀不确定性不会影响预期或不确定性水平，但它会增加分配给预期通胀接近沟通范围的可能性。使用 Nielsen IQ Homescanner 数据，我们发现更高的通胀预期和不确定性减少了家庭在商品上的支出。通过范围传达通胀统计数据可以通过降低预期和减少不确定性来增加支出。

  Authors  

Mark A. Aguiar, Benjamin Moll & Florian Scheuer

  Series  

【Working Paper No.32951】

  DOI  

  10.3386/w32951

  Issue Date  

September 2024

   Abstract   

Standard optimal capital tax theory abstracts from modeling asset prices, making it unsuitable for thinking about capital gains and wealth taxation. We study optimal redistributive taxation in an environment with asset price changes, adopting the modern finance view that asset prices fluctuate not only because of changing cash flows, but also due to other factors (“discount rates”). We show that the optimal tax base (i) generally differs from the case with constant asset prices, and (ii) depends on the sources of asset-price changes. Whenever asset prices fluctuate, and are not exclusively driven by cash flow changes, taxes must target realized trades and generally involve a combination of realization-based capital gains and dividend taxes. This result stands in contrast to the classic Haig-Simons comprehensive income tax concept, as well as recent proposals for wealth or accrual-based capital gains taxes.

标准最优资本税理论从资产价格建模中抽象出来，因此不适合考虑资本利得和财富税。我们研究了资产价格变化环境中的最佳再分配税，采用现代金融观点，即资产价格波动不仅因为现金流的变化，还因为其他因素（“贴现率”）。我们表明，最佳税基 （i） 通常与资产价格不变的情况不同，并且 （ii） 取决于资产价格变化的来源。每当资产价格波动时，并且不完全由现金流变化驱动，税收必须针对已实现的交易，并且通常涉及基于变现的资本利得税和股息税的组合。这一结果与经典的 Haig-Simons 综合所得税概念以及最近提出的基于财富税或权责发生制的资本利得税形成鲜明对比。

  Authors  

Catherine Casanova,Eugenio M Cerutti,Swapan-Kumar Pradhan

  Series  

【Working Paper No.2024/205】

  Issue Date  

September 23, 2024

   Abstract   

While Chinese banks have become the top cross-border lender to EMDEs, their expansion has slowed recently, both in terms of volume and market share. Also, the strong correlation of China’s bilateral trade and its banks’ cross-border lending has weakened, while during 2020-22 lending became more positively correlated with FDI. In our paper, we analyse these patterns and we explore the role of borrower risk variables and foreign policies. Our findings show that, although the shifting correlation from trade to FDI is a general EMDE phenomenon, China’s Belt and Road Initiative reinforces it. By contrast, borrowers that potentially benefit from geoeconomic fragmentation do not display stronger FDI-lending relationships. We also find that Chinese banks exhibit different levels of risk tolerance relative to other bank nationalities as borrower country risk variables are positively correlated with Chinese banks’ market shares, but not with their amounts of cross-border lending.

虽然中国银行已成为新兴市场和发展中经济体 （EMDE） 的最大跨境贷款机构，但最近它们在数量和市场份额方面的扩张速度有所放缓。此外，中国双边贸易与其银行跨境贷款之间的强相关性已经减弱，而在 2020-22 年期间，贷款与 FDI 的正相关关系变得更加正相关。在我们的论文中，我们分析了这些模式，并探讨了借款人风险变量和外交政策的作用。我们的研究结果表明，尽管从贸易到 FDI 的相关性转变是一种普遍的 EMDE 现象，但中国的“一带一路”倡议加强了这种现象。相比之下，可能从地缘经济碎片化中受益的借款国并没有表现出更强的 FDI -贷款关系。我们还发现，相对于其他银行国家，中国银行表现出不同程度的风险承受能力，因为借款国风险变量与中国银行的市场份额呈正相关，但与跨境贷款金额呈正相关。

  Authors  

Caterina Lepore,Junghwan Mok

  Series  

【Working Paper No.2024/197】

  Issue Date  

September 13, 2024

   Abstract   

We assess financial stability risks from floods in the Netherlands using a comprehensive set of flood scenarios considering different factors including geographical regions, flood types, climate conditions, return periods, and adaptation. The estimated damage from each flood scenario is used to calibrate the corresponding macro-financial scenario for bank stress tests. Our results show the importance of considering these heterogeneous factors when conducting physical climate risk stress tests, as the impact of floods on bank capital varies significantly by scenario. We find that climate change amplifies the adverse impact on banks’ capital, but stronger flood defenses in the Netherlands can help mitigate some impacts. Further, we find a non-linear relationship between flood damages and banks’ capital depletion, highlighting the importance of considering extreme scenarios.

我们使用一套全面的洪水情景来评估荷兰洪水带来的金融稳定风险，并考虑了不同的因素，包括地理区域、洪水类型、气候条件、重现期和适应情况。每个洪水情景的估计损失用于校准相应的宏金融情景，以进行银行压力测试。我们的结果表明，在进行物理气候风险压力测试时考虑这些异质性因素的重要性，因为洪水对银行资本的影响因情景而异。我们发现，气候变化放大了对银行资本的不利影响，但荷兰更强大的防洪措施可以帮助减轻一些影响。此外，我们发现洪水损失与银行资本枯竭之间存在非线性关系，突出了考虑极端情景的重要性。

  Authors  

Mario Catalan,Salih Fendoglu,Tomohiro Tsuruga

  Series  

【Working Paper No.2024/196】

  Issue Date  

September 13, 2024

   Abstract   

Do geopolitical tensions between countries influence the cross-border asset allocation of investment funds? Our answer is yes. We estimate gravity models and find that investment funds allocate smaller shares of their portfolios to recipient countries that are geopolitically more distant to their country of origin—with geopolitical distance measured by dissimilarity in countries’ voting behavior in the United Nations General Assembly. We also find an investment diversion effect: a recipient country attracts additional investments when its source countries get geopolitically more distant to third-party countries. These results are robust to instrumenting geopolitical distance and using alternative distance measures.

国家之间的地缘政治紧张局势是否会影响投资基金的跨境资产配置？我们的答案是肯定的。我们估计了引力模型，发现投资基金将其投资组合的较小份额分配给地缘政治上与其原籍国更远的接收国——地缘政治距离是通过各国在联合国大会上投票行为的不同来衡量的。我们还发现了投资转移效应：当其来源国在地缘政治上与第三方国家更加疏远时，接收国会吸引额外的投资。这些结果对于检测地缘政治距离和使用替代距离测量是稳健的。

  Authors  

  Series  

【Working Paper No.2024/188】

  Issue Date  

September 6, 2024

   Abstract   

During the global recession of 2020 food insecurity increased substantially in many countries around the world. Fortunately, the surge in food insecurity quickly came to a halt as the world economy returned to its positive growth path, despite double-digit domestic food inflation in most countries. To shed light on the relative importance of income growth and food inflation in driving food insecurity, we employ a heterogeneous-agent model with income inequality, complemented by novel cross-country data for the period 2001-2021. We use external instruments (changes in commodity terms-of-trade, external economic growth, and harvest shocks) to isolate exogenous variation in domestic income growth and ood inflation. Our findings suggest that income growth is the dominant driver of annual variations in food insecurity, while food price inflation plays a somewhat smaller role, aligning with our model predictions.

在 2020 年全球经济衰退期间，全球许多国家的粮食不安全状况大幅增加。幸运的是，尽管大多数国家的国内食品通胀率达到两位数，但随着世界经济重返正增长轨道，粮食不安全的激增很快停止了。为了阐明收入增长和食品通胀在导致粮食不安全方面的相对重要性，我们采用了收入不平等的异质代理模型，并辅以 2001-2021 年期间的新跨国数据。我们使用外部工具（大宗商品贸易条件的变化、外部经济增长和收成冲击）来隔离国内收入增长的外生变化和通胀。我们的研究结果表明，收入增长是粮食不安全年度变化的主要驱动因素，而食品价格通胀的作用较小，这与我们的模型预测一致。

（选文、整理：寇明珠）