Monetary Policy with Market Frictions: Theory and Evidence

货币政策分析需要构建宏观经济活动模型。这样的模型需要切合实际，捕捉到商业周期的主要特征。他们需要强调货币政策影响经济的主要渠道。最后，这些模型需要用来揭示情绪激动的政策制定者面临的主要权衡。该项目开发了详细的宏观经济模型，其中包括各种摩擦，包括不完全竞争、粘性价格和调整投资组合的成本。这项研究包括以下三个领域的理论和实证分析：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：拟议研究的一部分探索了国家依赖定价的经验含义，借鉴了主要研究者最近完成的理论工作。该理论对标准时间相关定价模型中系数不稳定的形式进行了预测--这些预测可以在总体数据上进行检验。这项研究的另一部分涉及通缩体验的动态。这项新的研究使用从利率中提取的长期预期通胀指标来调查可信度在抑制通胀中的作用。货币政策规则的设计：在完全清晰的宏观经济模型中，货币政策规则可以设计为福利最大化。首席研究员之前的工作探索了不完全竞争和粘性价格下的最优政策；新的研究进一步发展了这一方法，并将其应用于更现实的宏观经济模型。然而，如果货币政策是在利率规则下实施的，宏观经济模型中可能会有多种均衡。以前的工作已经发现了利率规则的限制，这些限制导致了在没有投资和资本的情况下模型中的唯一均衡。例如，独特性要求利率对通胀的反应(无论是预期的还是实际的)必须非常积极。这项新的研究调查了更现实的经济体对利率规则的限制。我们的目标是确定在这类新的模型中，对于更广泛的参数范围，是否获得唯一均衡。小规模宏观经济模型的构建和评估：最近的工作还强调，金融市场摩擦可以导致货币政策对利率的流动性影响，但只有在显示价格水平非常迅速调整的模型中才会如此。因此，这项新研究将金融市场摩擦与垄断竞争和粘性价格结合在一起，承诺克服每种方法的关键困难。该模型的经验含义是在货币存量和利率规则下，使用主要研究者先前开发的计量经济学方法进行研究的。

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.