Estimating policy-invariant deep parameters in the financial sector when risk and growth matter
Estimating policy-invariant deep parameters in the financial sector when risk and growth matter
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当风险和增长很重要时，估计金融部门政策不变的深层参数
DOI：
10.1108/s0573-8555(2000)0000245031
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发表时间：
1995
期刊：
影响因子：
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通讯作者：
Meenakshi Pasupathy
中科院分区：
文献类型：
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作者：
W. Barnett;M. Kirova;Meenakshi Pasupathy
本文提供并举例说明了一种估计金融领域技术参数的方法。相关技术是生产内部货币作为产出服务的金融中介机构的技术，以及要求金融服务作为生产技术投入的非金融公司的技术。我们也展示了消费者需求的类似结果，但没有其他地方提供的建模和计量经济学细节。我们试图通过我们的建模和欧拉方程估计的方法来解决的问题是“卢卡斯批评”，以及克里斯特尔和麦克唐纳(1994，第76页)最近所称的“巴尼特批评”。我们还考察了Divisia货币总量和简单和货币总量相对于GMM估计的每种经济主体的精确理性预期货币总量的跟踪能力。在这篇文章中，我们产生并估计了需求或提供金融服务的公司的欧拉方程，作为可用方法的例证，Poterba和Rotemberg(1987)首先就消费者对金融服务的需求为金融部门提出了有力和令人信服的主张。我们不寻求将这三个行业整合为一个完整的经济，在这种经济中，聚合障碍必须跨行业整合。此外，我们不会详细探讨
THIS PAPER provides and illustrates an approach to the estimation of technology parameters in the financial sector. The relevant technologies are those of the financial intermediaries that produce inside money as output services and the nonfinancial firms that demand financial services as inputs to production technology. We also display analogous results for consumer demand, but without the modeling and econometric details, which are available elsewhere. The problems that we seek to solve through our approach to modeling and Euler equation estimation are the "Lucas Critique" and what Chrystal and MacDonald (1994, p. 76) recently have called the "Barnett Critique." We also explore the tracking ability of the Divisia monetary aggregate and simple sum monetary aggregate relative ta the GMM estimated exact rational expectations monetary aggregate for each type of economic agent. In this paper, we produce and estimate Euler equations for firms that demand or supply financial services as an illustration of the available approach, first advocated forcefully and convincingly for the financial sector by Poterba and Rotemberg (1987) with respect to consumer demand for financial services. We do not seek to integrate the three sectors into a complete economy, in which aggregation blockings would have to conform across sectors. In addition, we do not explore in detail the