The Experts below are selected from a list of 894480 Experts worldwide ranked by ideXlab platform
Cheng Hsiao - One of the best experts on this subject based on the ideXlab platform.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of a cointegrating relation among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomena among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data, is less accurate than the prediction based on micro equations, and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading. Copyright © 2005 John Wiley & Sons, Ltd.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of cointegrating relations among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomenon among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading.
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is there a stable money demand function under the low interest rate Policy a panel data analysis
Monetary and and Economic Studies, 2002Co-Authors: Hiroshi Fujiki, Cheng Hsiao, Yan ShenAbstract:We use annual Japanese prefecture data on income, population, demand deposits, and saving deposits from 1992 to 1997 to investigate the issue of whether there exists a stable money demand function under the low interest rate Policy. The evidence appears to support the contention that there does exist a stable money demand function with long-run income elasticity greater than one for M2 and less than one for Ml. Furthermore, we find that Japan's money demand is sensitive to interest rate changes. However, there is no evidence of the presence of a liquidity trap.
Yan Shen - One of the best experts on this subject based on the ideXlab platform.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of a cointegrating relation among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomena among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data, is less accurate than the prediction based on micro equations, and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading. Copyright © 2005 John Wiley & Sons, Ltd.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of cointegrating relations among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomenon among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading.
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is there a stable money demand function under the low interest rate Policy a panel data analysis
Monetary and and Economic Studies, 2002Co-Authors: Hiroshi Fujiki, Cheng Hsiao, Yan ShenAbstract:We use annual Japanese prefecture data on income, population, demand deposits, and saving deposits from 1992 to 1997 to investigate the issue of whether there exists a stable money demand function under the low interest rate Policy. The evidence appears to support the contention that there does exist a stable money demand function with long-run income elasticity greater than one for M2 and less than one for Ml. Furthermore, we find that Japan's money demand is sensitive to interest rate changes. However, there is no evidence of the presence of a liquidity trap.
Hiroshi Fujiki - One of the best experts on this subject based on the ideXlab platform.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of a cointegrating relation among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomena among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data, is less accurate than the prediction based on micro equations, and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading. Copyright © 2005 John Wiley & Sons, Ltd.
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aggregate vs disaggregate data analysis a paradox in the estimation of a money demand function of japan under the low interest rate Policy
Journal of Applied Econometrics, 2005Co-Authors: Yan Shen, Cheng Hsiao, Hiroshi FujikiAbstract:We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of cointegrating relations among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomenon among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations and Policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading.
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is there a stable money demand function under the low interest rate Policy a panel data analysis
Monetary and and Economic Studies, 2002Co-Authors: Hiroshi Fujiki, Cheng Hsiao, Yan ShenAbstract:We use annual Japanese prefecture data on income, population, demand deposits, and saving deposits from 1992 to 1997 to investigate the issue of whether there exists a stable money demand function under the low interest rate Policy. The evidence appears to support the contention that there does exist a stable money demand function with long-run income elasticity greater than one for M2 and less than one for Ml. Furthermore, we find that Japan's money demand is sensitive to interest rate changes. However, there is no evidence of the presence of a liquidity trap.
Masayo Shikimi - One of the best experts on this subject based on the ideXlab platform.
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exceptionally low interest rate Policy risk taking channel and bank competition evidence from loan level data
Social Science Research Network, 2021Co-Authors: Masayo ShikimiAbstract:This study investigates how bank competition affects the transmission of monetary Policy through risk-taking channel. Using Japanese matched bank-firm loan data from the fiscal year 2005 to 2018, we test whether banks with weak balance-sheet lend to risky firms during low interest rate environment than banks with strong balance-sheet and their degree of risky lending is enhanced by bank competition. We find that transmission of monetary Policy through risk taking channel vary according to bank competition. Risky lending by banks with poor capital during the low interest rate period is enhanced by bank competition. After the introduction of negative interest rate Policy, the bank competition has a nonlinear effect on risk taking behavior of banks with abundant liquidity. Our findings remain mostly unchanged after conducting several robustness checks. Our results suggest that the effects of monetary Policy through the risk-taking channel are asymmetrical and depend on bank competition in lending markets.
Vijay Narasiman - One of the best experts on this subject based on the ideXlab platform.
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the consumer spending response to mortgage resets microdata on monetary Policy
Social Science Research Network, 2017Co-Authors: Kanav Bhagat, Diana Farrell, Vijay NarasimanAbstract:In this report, we examine how a sample of US homeowners changed their credit card spending in response to a predictable drop in their mortgage payment driven by the Federal Reserve’s low interest rate Policy that followed the Great Recession. Using a de-identified sample of Chase customers who had a hybrid adjustable-rate mortgages (ARM) and a Chase credit card, we analyze changes in credit card spending and revolving balance leading up to and after mortgage reset. We organize our results into four findings. First, forty-four percent of the homeowners in our sample experienced a large drop in their hybrid ARM payment at reset, which on average represented over 5 percent of their monthly income. Second, homeowners increased their spending by 9 percent in advance of the anticipated drop in their mortgage payments and by 15 percent after reset, despite a considerable drop in housing wealth. Third, homeowners used credit card borrowing to finance 21 percent of their pre-reset anticipatory spending increase, and post–reset they further increased their revolving balances. Over the full two year period, their total spending increase exceeded their mortgage-related savings by 4 percent. Fourth, Homeowners used the savings from lower hybrid ARM payments to make more purchases across all spending categories, notably home improvements and healthcare. Overall, we find that in a declining interest rate environment, the income channel that transmits interest rate Policy to homeowners with ARMs is automatic, the consumer response is considerable, and that there are both anticipatory and contemporaneous increases in consumption. Additional research is needed to understand if the income channel also has the intended and expected contractionary effects on consumer spending as Policy rates move higher. Armed with a full understanding, housing Policy makers could evaluate the policies that influence which type of mortgage (fixed-rate or variable-rate) borrowers choose and should consider the effects these policies will have on the ability of monetary Policy to impact personal consumption through the business cycle.
