Determinacy and expectational stability of equilibrium in a monetary sticky-price model with Taylor rule
Determinacy and expectational stability of equilibrium in a monetary sticky-price model with Taylor rule
复制标题
泰勒规则货币粘性价格模型均衡的确定性和预期稳定性
DOI：
10.1016/j.jmoneco.2005.03.011
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发表时间：
2006
影响因子：
4.1
通讯作者：
Takushi Kurozumi
中科院分区：
文献类型：
--
作者：
Takushi Kurozumi
最近的研究表明，泰勒规则在粘性价格下理性预期均衡的生成确定性和E稳定性方面具有理想的性质。本文研究了该政策规则是否在离散时间货币效用函数模型中保留了这些属性，采用了现有文献中包含的三种效用函数货币余额计时：期末计时和两种预付现金计时。本文表明：（i）即使消费与实际余额之间的效用函数有很小程度的不可分离性，如果泰勒规则不仅响应通货膨胀，而且还响应产出或产出缺口，那么该规则更有可能引起不确定性或E不稳定； (ii) 三个时间之间的差异极大地改变了泰勒规则的条件，以确保确定性和 E 稳定性。
Recent studies show that the Taylor rule possesses desirable properties in terms of generating determinacy and E-stability of rational expectations equilibria under sticky prices. This paper examines whether this policy rule retains these properties within a discrete-time money-in-utility-function model, employing three timings of money balances of the utility function that the existing literature contains: end-of-period timing and two types of cash-in-advance timing. This paper shows: (i) even a small degree of non-separability of the utility function between consumption and real balances causes the Taylor rule to be much more likely to induce indeterminacy or E-instability if this rule responds not only to inflation but also to output or the output gap; (ii) differences among the three timings strongly alter conditions for the Taylor rule to ensure both determinacy and E-stability.