The time-varying cost channel of monetary transmission
The time-varying cost channel of monetary transmission
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DOI：
10.1016/j.jimonfin.2008.10.003
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发表时间：
2009-10-01
影响因子：
2.5
通讯作者：
Tillmann, Peter
中科院分区：
文献类型：
--
作者：
Tillmann, Peter
本文研究货币传导成本渠道的时变作用，即基于企业持有营运资本成本的货币政策的供给侧效应。为此，我们提供了增强的新凯恩斯菲利普斯曲线的滚动窗口估计，并表明成本渠道表现出重要的时变动态。我们发现，作为一般模式，成本渠道在前沃尔克时期最为重要，而在沃尔克-格林斯潘时期则不太重要。然而，最近，成本渠道重新变得重要起来。由于成本渠道是基于通过银行贷款传导政策冲动，因此时变成本渠道很可能反映了金融摩擦的周期性。 (C) 2008 Elsevier Ltd. 保留所有权利。
This paper Studies the time-varying role of the cost channel of monetary transmission, i.e. the supply-side effect of monetary policy based on firms' costs of holding working capital. For that purpose, we provide rolling-window estimates of an augmented New Keynesian Phillips curve and show that the cost channel exhibits important time-varying dynamics. We find, as a general pattern, that the cost channel was most important in the pre-Volcker period and less important in the Volcker-Greenspan era. Recently, however, the cost channel regained importance. Since the cost channel is based on the transmission of policy impulses through bank lending, it is likely that the time-varying cost channel reflects the cyclical nature of financial frictions. (C) 2008 Elsevier Ltd. All rights reserved.