Monetary Policy with Market Frictions: Theory and Evidence

存在市场摩擦的货币政策：理论与证据

• 批准号: 9975506
• 负责人: Robert King
• 金额: $ 18.2万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-08-01 至 2003-12-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9975506&HistoricalAwards=false
• 关键词: Monetary; Policy; Market; Frictions; Theory

Monetary policy analysis requires the construction of models of macroeconomic activity. Such models need to be realistic, capturing the main features of business cycles. They need to highlight the main channels by which monetary policy affects the economy. Finally, the models need to be used to uncover the main trade-offs facing moentary policy-makers. This project develops detailed macroeconomic models that feature various frictions including imperfect competition, sticky prices and costs of adjusting portfolios. This research consists of theoretical and empirical analysis in the following three areas: Price dynamics and macroeconomic activity; Design of monetary policy rules, and Construction and evaluation of small-scale macroeconomic models.Price dynamics and macroeconomic activity: One part of the proposed research explores empirical implications of state dependent pricing, drawing on recently completed theoretical work by the principal investigator. The theory makes predictions about the form of coefficient instability in standard time dependent pricing models-these predictions can be tested on aggregate data. Another part of this research concerns the dynamics of disinflation experiences. The new research investigates the role of credibility in disinflation using measures of long-term expected inflation extracted from interest rates.Design of monetary policy rules: In fully articulated macroeconomic models, monetary policy rules can be designed to maximize welfare. Previous work by the principal investigator explored optimal policy with imperfect competition and sticky prices; the new research further develops the methodology and applies it to more realistic macroeconomic models. However, there can be multiple equilibria in macroeconomic models if monetary policy is implemented with an interest rate rule. Previous work has found restrictions on interest rate rules which lead to unique equilibria in models without investment and capital. For example, uniqueness requires that rate responses to inflation (either expected or actual) must be very aggressive. The new research investigates the limits on interest rate rules in more realistic economies. The goal is to determine whether unique equilibria obtain for a wider range of parameters within this new class of models. Construction and evaluation of small-scale macroeconomic models: Recent work has also stressed that financial market frictions can lead to liquidity effects of monetary policy on interest rates, but only in models that display very rapid adjustments of the price level. The new research therefore combines financial market frictions with monopolistic competition and sticky prices, a synthesis which promises to overcome key difficulties with each approach. Empirical implications of this model are studied under money stock and interest rate rules, using an econometric approach previously developed by the principal investigator.

货币政策分析需要建立宏观经济活动模型。 这些模型必须切合实际，能够反映商业周期的主要特征。 他们需要突出货币政策影响经济的主要渠道。 最后，需要使用模型来揭示运动决策者面临的主要权衡。 该项目开发了详细的宏观经济模型，其中包括不完全竞争，粘性价格和调整投资组合的成本等各种摩擦。 本研究包括以下三个方面的理论和实证分析： 价格动态和宏观经济活动;货币政策规则的设计，以及小规模宏观经济模型的构建和评估。价格动态和宏观经济活动：拟议研究的一部分是利用首席研究员最近完成的理论工作，探索国家依赖定价的实证意义。该理论对标准时间相关定价模型中系数不稳定性的形式做出了预测，这些预测可以在汇总数据上进行检验。这项研究的另一部分涉及反通货膨胀经验的动态。新研究使用从利率中提取的长期预期通货膨胀的措施来调查可信度在通货紧缩中的作用。货币政策规则的设计：在充分阐述的宏观经济模型中，货币政策规则可以设计为福利最大化。首席研究员以前的工作探索了不完全竞争和粘性价格的最优政策;新的研究进一步发展了该方法，并将其应用于更现实的宏观经济模型。然而，如果货币政策与利率规则一起实施，则宏观经济模型中可能存在多重均衡。以前的工作已经发现限制利率规则，导致唯一的均衡模型中没有投资和资本。例如，独特性要求利率对通胀（预期或实际）的反应必须非常积极。这项新研究调查了利率规则在更现实的经济中的局限性。我们的目标是确定是否独特的均衡获得更广泛的参数范围内，这类新的模型。 小规模宏观经济模型的构建和评估：最近的工作还强调，金融市场摩擦可能导致货币政策对利率的流动性影响，但仅限于显示价格水平非常迅速调整的模型。 因此，新的研究将金融市场摩擦与垄断竞争和粘性价格结合起来，这种综合有望克服每种方法的关键困难。货币存量和利率规则下，这个模型的实证影响进行了研究，使用计量经济学方法以前开发的主要研究者。