Monetary policy and endogenous time preference
Monetary policy and endogenous time preference
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货币政策与内生时间偏好
DOI：
10.1108/01443580610639893
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Mohammed Mohsin
中科院分区：
文献类型：
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作者：
Eric Kam;Mohammed Mohsin
目的-本文的目的是利用以内生时间偏好为特征的优化模型推导通胀目标制的实际含义。设计/方法/方法-为了确保一致的消费和储蓄行为，时间偏好率被建模为实际财富的增长函数。研究结果-结果并不统一，并取决于一般均衡框架中对货币建模的方法；效用函数中的货币（MIU）和预付现金约束（CIA）。在MIU中，时间偏好财富效应通过内生实际利率将货币和实体部门联系起来。货币增长通过托宾效应提高了稳态资本和消费。然而，如果货币是通过CIA约束引入的，通货膨胀政策对约束本身的结构很敏感。如果约束适用于消费和资本购买，货币增长降低了对这两种商品的稳态需求，并逆转了托宾效应。如果这种约束只适用于消费品，那么同样的货币政策就是超中性的。这种时间偏好规范具有重要的优点。这与将强化财富效应整合到使用临时消费或储蓄函数的聚合模型中的文献是一致的。允许时间偏好率正依赖于实际财富意味着优化行为，而不是临时规范产生的财富效应内化了实际利率并产生了托宾效应。这个时间偏好规范为储蓄作为真实财富的递减函数建模提供了优化基础，这是经验可验证的，并且与消费作为真实财富的递增函数的经验预测相一致。原创性/价值——本文展示了货币政策对以内生时间偏好率为特征的经济体中的稳态资本、消费和实际余额持有的不同影响。
Purpose – The purpose of this paper is to derive the real implications of inflation targeting using optimizing models characterized by endogenous time preference. Design/methodology/approach – To ensure consistent consumption and savings behavior, the rate of time preference is modeled as an increasing function of real wealth. Findings – The results are not uniform and depend on the methods for modeling money in the general equilibrium framework; money in the utility function (MIU) and cash-in-advance constraints (CIA). With MIU, time preference wealth effects link the monetary and real sectors by endogenizing real interest rate. Monetary growth raises steady state capital and consumption by the Tobin effect. However, if money is introduced through CIA constraints, inflation policies are sensitive to the structure of the constraint itself. If the constraint applies to consumption and capital purchases, monetary growth lowers the steady state demand for both commodities and reverses the Tobin effect. If the constraint applies only to consumption goods, the same monetary policy is superneutral. This time preference specification has important advantages. It is consistent with the literature that integrates reinforcing wealth effects into aggregative models using ad-hoc consumption or savings functions. Allowing the rate of time preference to depend positively on real wealth implies that optimizing behavior, not ad-hoc specification yields wealth effects that endogenize the real interest rate and generate a Tobin effect. This time preference specification provides optimizing foundations for modeling savings as a decreasing function of real wealth, which is empirically verifiable and consistent with empirical predictions of consumption as an increasing function of real wealth. Originality/value – This paper demonstrates the different effects that monetary policy maintains on steady state capital, consumption and real balance holdings in economies characterized by an endogenous rate of time preference.