Financial Frictions and Optimal Monetary Policy in an Open Economy
Financial Frictions and Optimal Monetary Policy in an Open Economy
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开放经济中的金融摩擦与最优货币政策
DOI：
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发表时间：
2011
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通讯作者：
G. Lombardo
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作者：
Marcin Kolasa;G. Lombardo
越来越多的论文研究了 DSGE 模型中金融摩擦的积极和规范影响。我们通过研究以金融摩擦为特征的两国模型中基于福利的货币政策，以及资本积累、非贸易商品和外币债务面额等许多关键特征，为本文做出了贡献。我们将合作拉姆齐货币政策与标准政策基准（例如 PPI 稳定性）以及货币区的最优拉姆齐政策进行比较。我们表明，两国视角为货币当局面临的权衡提供了新的见解。我们的主要结果如下。首先，严格的 PPI 目标（如果不存在信贷摩擦，在我们的模型中几乎是最优的）在金融摩擦存在的情况下，为了应对积极的生产率冲击而变得过度顺周期。相关的福利损失是不可忽视的，特别是当金融不完善与非贸易生产相互作用时。其次，（不对称）外币债务面额影响最优货币政策，并对汇率制度产生重要影响。特别是，国内生产率冲击相对于国外生产率冲击的方差越大，PPI稳定政策越接近最优政策，货币联盟情况也越远。第三，我们发现央行应该允许价格稳定性出现偏差，以抵消资产负债表冲击的影响。最后，虽然金融摩擦大大降低了所有价格目标制度的吸引力，但它们对货币联盟协议的履行并没有产生重大影响。
A growing number of papers have studied positive and normative implications of financial frictions in DSGE models. We contribute to this literature by studying the welfare-based monetary policy in a two-country model characterized by financial frictions, alongside a number of key features, like capital accumulation, non-traded goods and foreign-currency debt denomination. We compare the cooperative Ramsey monetary policy with standard policy benchmarks (e.g. PPI stability) as well as with the optimal Ramsey policy in a currency area. We show that the two-country perspective offers new insights on the trade-offs faced by the monetary authority. Our main results are the following. First, strict PPI targeting (nearly optimal in our model if credit frictions are absent) becomes excessively procyclical in response to positive productivity shocks in the presence of financial frictions. The related welfare losses are non-negligible, especially if financial imperfections interact with nontradable production. Second, (asymmetric) foreign currency debt denomination affects the optimal monetary policy and has important implications for exchange rate regimes. In particular, the larger the variance of domestic productivity shocks relative to foreign, the closer the PPI-stability policy is to the optimal policy and the farther is the currency union case. Third, we find that central banks should allow for deviations from price stability to offset the effects of balance sheet shocks. Finally, while financial frictions substantially decrease attractiveness of all price targeting regimes, they do not have a significant effect on the performance of a monetary union agreement.