共查询到20条相似文献,搜索用时 15 毫秒
1.
We build an euro-area level DSGE model featuring a liquidity shock in the sovereign bonds market to simulate the strong contraction in economic activity observed during the 2008–2009 crisis. In the model, a sudden deterioration of the liquidity property of sovereign bonds is associated with deep recession and deflation. Against this background we characterize optimal monetary and fiscal policy with full commitment. We find that the optimal policy contains three features: (i) the policy rate is lowered until hitting the zero lower bound (ZLB) and then is kept at the ZLB for more periods; (ii) a prolonged central bank’s balance-sheet expansion aimed at restoring the liquidity deteriorated; (iii) a counter-cyclical fiscal stimulus which offsets, to a large extent, the fall in private spending caused by the liquidity shock. Policy regimes involving (i), but not (ii) and (iii), are quite weak in stabilizing output gap and inflation. Monetary policy regimes such as full inflation-targeting or nominal GDP targeting perform remarkably well insofar as they are complemented with an optimally-implemented counter-cyclical fiscal policy. Our results tend to favour the view that, in case of recession, an euro-wide coordinated fiscal policy should supplement the role of the ECB in achieving its primary objective. 相似文献
2.
Abstract This paper examines the optimal appreciation path of an undervalued currency in the presence of speculative capital inflows that are endogenously affected by the appreciation path. A central bank decides its appreciation policy based on three costs: (i) misalignment costs associated with the gap between the actual and long‐run equilibrium exchange rates, (ii) short‐term adjustment costs due to resource reallocation, and (iii) capital losses due to speculative capital inflows. Our model finds (1) when speculators face no liquidity shocks, the central bank tends to appreciate the currency quickly to discourage speculative capital; (2) when speculators face liquidity shocks, the central bank optimally pre‐commits to a slower appreciation path, and the appreciation takes the longest time when the probability of liquidity shocks takes intermediate values; (3) the central bank tends to appreciate the currency more quickly when it conducts discretionary policy. 相似文献
3.
The zero lower bound (ZLB) may restrict the responsiveness of exchange rates to news. A proxy for central bank communication is added as a determinant in a model of exchange rate movements. Two reserve currencies, the British pound and euro, and two currencies of small open economies, the Canadian dollar and Swedish krona, are examined. Reserve currencies are more vulnerable to the ZLB constraint, while the currencies of small open economies become more responsive to foreign central bank announcements. Certain unconventional monetary policy announcements were found to significantly impact exchange rates at the ZLB. 相似文献
4.
Avner Bar-Ilan 《European Economic Review》2006,50(4):1043-1060
We analyze the co-determination of monetary policy and the labor contracts chosen by members of the public, who can either fix or index their nominal wages. Fixed nominal wages allow the central bank to offset productivity shocks, while the public fix nominal wages in response to the central bank offsetting shocks; so there is an equilibrium in which, realistically, nominal wages are fixed and shocks offset: a result which holds in single- as well as in multi-period games. In addition, there may be equilibria in which agents index their nominal wages, and the central bank optimally responds by stabilizing price. In contrast to conventional models, the Ramsey rule may be implemented in a finitely repeated game. The central bank does not deviate for fear that agents would change their labor contracts such that the central bank's least favored equilibrium will subsequently be played. 相似文献
5.
A celebrated result in the theory of tournaments is that relative performance evaluation (tournaments) is a superior compensation
method to absolute performance evaluation (piece rate contracts) when the agents are risk-averse, the principal is risk-neutral
or less risk-averse than the agents and production is subject to common shocks that are large relative to the idiosyncratic
shocks. This is because tournaments get closer to the first best by filtering common uncertainty. This paper shows that, surprisingly,
tournaments are superior even when agents are liquidity constrained so that transfers to them cannot fall short of a predetermined
level. The rationale is that, by providing insurance against common shocks through a tournament, payments to the agents in
unfavorable states increase and payments in favorable states decrease which enables the principal to satisfy tight liquidity
constraints for the agents without paying any ex ante rents to them, while simultaneously providing higher-power incentives
than under piece rates. The policy implication of our analysis is that firms should adopt relative performance evaluation
over absolute performance evaluation regardless of whether the agents are liquidity (wealth) constrained or not. 相似文献
6.
Diemo Dietrich 《The German Economic Review》2003,4(3):365-388
Abstract. The paper investigates how monetary policy shocks influence the composition of firms' external finance given that firms are heterogeneous. Heterogeneity stems from differences in the availability of internal funds and in the monitoring costs associated with bank finance. These costs are determined by the intensity of the lending relationship. By using a delegated monitoring approach it is found that bank loans serve as a substitute for internal funds if the lending relationship is sufficiently close. Moreover, banks with strong credit ties to their customers are not only able to protect borrowers from liquidity constraints following a monetary tightening but are even able to extend their business lending. 相似文献
7.
Abstract In both the canonical and many extended versions of the New Keynesian model, optimal monetary policy under commitment implies price‐level stationarity as long as expectations are rational. We show that this is no longer the case if the central bank and private agents make decisions before observing current shocks. The optimal amount of price‐level drift in response to unexpected innovations to inflation is quantitatively important. This result has important implications for monetary policy, including the design of the optimal loss function for the central bank if it cannot commit to its future policies. 相似文献
8.
We provide empirical evidence on banks’ responses to shocks in the wholesale funding market, using data of 181 euro area banks over the period from August 2007 to June 2013. Responses to funding liquidity shocks for both banks’ lending volumes and loan rates, to households and corporates, are analysed in a panel VAR framework. We thereby distinguish banks by country, extent of Eurosystem borrowing, bank size and capitalization. The results show that shocks in the securities and interbank markets have significant effects on loan rates and credit supply, particularly of banks in stressed countries of the periphery. The results also suggest that central bank liquidity has mitigated this effect on lending volumes. Lending to nonfinancial corporations is more sensitive to wholesale funding shocks than lending to households. Lending volumes of large banks that are typically more dependent on wholesale funding and banks with large exposure to sovereign bonds show stronger responses to wholesale funding shocks. 相似文献
9.
During the 1990s, liquidity was relatively abundant in the European Union and the European central banks mostly developed
a relaxed monetary policy. While the bank lending channel view of the monetary policy would have suggested an increase in
loans to firms in this context, the demand for bank corporate lending, however, slowed down, suggesting that monetary policy
was not effective in this area. This article analyses how the financing behaviour of Spanish firms during 1992–2003 is related
to their liquidity holdings and how this relationship may affect the effectiveness of the bank lending channel. The empirical
evidence provided suggests that firms holding high liquid assets may replace bank lending by other sources of financing. Hence,
higher liquidity holdings allow firms to invest in attractive investment projects in the event of a tightening of monetary
conditions.
相似文献
10.
Ricardo De O. Cavalcanti Andrs Erosa Ted Temzelides 《International Economic Review》2005,46(2):675-706
We build on our earlier model of money in which bank liabilities circulate as a medium of exchange. We investigate optimal bank behavior and the resulting provision of liquidity under a range of central bank regulations. In our model, banks issue inside money under fractional reserves, facing the possibility of excess redemptions. Banks consider the float resulting from money creation and make reserve‐management decisions that affect aggregate liquidity conditions. Numerical examples demonstrate positive bank failure rates when returns to banking are low. Central bank interventions may improve banks' returns and welfare through a reduction in bank failure. 相似文献
11.
We demonstrate that the credit channel of transmission of monetary/financial shocks appears to have aggravated Korea's economic crisis. We use micro-data gathered at the individual bank level to identify this channel of transmission. Our major findings are as follows: i) consistent with banks' autonomous retrenchment in loan supply, monetary tightening broadens the spread between marginal bank lending rates and corporate commercial paper rates; ii) credit limits on overdrafts – arguably a proxy identifying shifts in loan supply – react negatively to the monetary squeeze; iii) large negative capital shocks induce banks to disproportionately slow-down both lending and deposit taking and to disproportionately raise their lending rates. Our findings lend unequivocal support to the hypothesis that banks' autonomous contraction restricted the availability of credit and magnified the increase in its cost. In turn, this compounded the Korean crisis by aggravating liquidity constraints for the vast majority of agents who rely only on bank credit as an external source of funds. 相似文献
12.
Aleksander Berentsen Samuel Huber Alessandro Marchesiani 《International Economic Review》2014,55(3):735-763
Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants. 相似文献
13.
Meixing Dai 《Economic Modelling》2011,28(6):2609-2621
In a model with imperfect money, credit and reserve markets, we examine if an inflation-targeting central bank applying the funds rate operating procedure to indirectly control market interest rates also needs a monetary aggregate as policy instrument. We show that if private agents use information extracted from money and financial markets to form inflation expectations and if interest rate pass-through is incomplete, the central bank can use a narrow monetary aggregate and the discount interest rate as independent and complementary policy instruments to reinforce the credibility of its announcements and the role of inflation target as a nominal anchor for inflation expectations. This study shows how a monetary policy strategy combining inflation targeting and monetary targeting can be conceived to guarantee macroeconomic stability and the credibility of monetary policy. Friedman's k-percent money growth rule, which can generate dynamic instability, and two alternative stabilizing feedback monetary targeting rules are examined. 相似文献
14.
Financial frictions differ across countries and thus cause international differences in the transmission of shocks. This paper shows how the optimal mix of monetary and fiscal policy depends on these country-specific financial frictions. To this end, we build a two-country DSGE-model of a monetary union. Financial frictions are captured by the cost channel approach. We show that the traditional solution to the assignment problem – the common central bank stabilizes the inflation rate at the union level and the national fiscal authorities stabilize the national economies – does not hold in a world with financial frictions. The cost channel decreases the efficiency of monetary policy and increases the need for fiscal stabilization even at the union level. Moreover, the more heterogeneous the union, the more important is fiscal policy in stabilizing shocks. Finally, we evaluate the scenarios in terms of welfare of the representative household. 相似文献
15.
16.
This essay evaluates two central bank policy tools, capital requirements and lending of last resort, designed to avert financial panics in the context of endowment economies with complete markets and limited borrower commitment. Credit panics are self-fulfilling shocks to expected credit conditions which cause transitions from an optimal but fragile steady state to a suboptimal state with zero unsecured credit. The main findings are: (i) Countercyclical reserve policies protect the optimal equilibrium against modest shocks but are powerless against large shocks. (ii) If we ignore private information and central bank inefficiencies, this class of models bears out Bagehot’s 1873 claim in Lombard Street: panics are averted if central banks stand ready to lend at a rate somewhat above the one associated with the optimal state. 相似文献
17.
We study unconventional policy shocks and information shocks associated with central bank announcements in the U.S. While unconventional policy shocks capture the direct influence of announced monetary policy actions, information shocks are associated with central bank information conveyed with the announcement. To disentangle these two types of shocks, we impose sign restrictions on high frequency changes in interest rates and stock prices around announcements. We find that information shocks lead to persistent declines in the 10-year government bond yield, whereas the actual unconventional policy shock induces only small interest rate responses. We also find that expansionary output effects of unconventional monetary policy are to some extent counteracted by the information shock. 相似文献
18.
It is widely debated whether a monetary union has to be accompanied by a fiscal transfer scheme to accommodate asymmetric shocks. We build a model of a monetary union with a central bank and two heterogeneous countries that are linked by a fiscal transfer scheme with repercussions on monetary policy. A central bank aiming at securing the existence of a monetary union in the presence of asymmetric shocks has to compensate single countries for the tax distortions arising from fiscal transfers. Monetary policy may become more expansionary or restrictive depending on asymmetries between member countries' inflation aversion and exit costs. 相似文献
19.
Surplus liquidity,central bank losses and the use of reserve requirements in emerging markets
下载免费PDF全文
![点击此处可从《Review of International Economics》网站下载免费的PDF全文](/ch/ext_images/free.gif)
Since the turn of the millennium, stocks of foreign reserves held by central banks in many emerging markets and developing countries have exceeded currency in circulation. To steer money market rates, these central banks have been absorbing liquidity from, rather than providing it to, the banking sector in their regular monetary policy operations. When interest rates in countries with major reserve currencies are low, the yield on foreign reserves is low. A higher interest rate on liquidity‐absorbing operations may expose central banks to losses. Although a central bank is not a profit‐maximizing institution, central bank losses can undermine the independence of the central bank. Using data for a large panel of central banks, this paper provides some evidence that central banks tend to apply low‐remunerated reserve requirements when profitability is at stake. 相似文献
20.
非均衡博弈、央行的微观独立性与最优金融稳定政策 总被引:9,自引:1,他引:9
本文从当前金融稳定理论发展和中国金融稳定操作现实出发,构建了中央银行-金融机构-居民部门的非均衡博弈模型,试图寻找最优金融稳定规则。本文的基本结论如下:第一,在当前的金融稳定政策框架下,中央银行的货币与稳定政策组合存在多重均衡的可能;第二,基于中央银行和金融机构对于流动性的信息的不对称,金融机构具有隐藏信息和游说央行的负面激励;第三,中央银行出于对未来支付体系稳定的考虑,在与金融机构的博弈中处于被动地位,金融稳定和货币政策均因此而丧失独立性;第四,居民不具备真正的博弈参与权,而只是博弈结果的承担者,其结果是承担真实或隐性的通货膨胀税;第五,根据以上博弈分析,建立最优金融稳定政策必须在微观机制和宏观机制上实施重新设计,包括金融稳定政策的“最后”性、中央银行的监督权赋予和保持距离型制度安排、金融稳定内含于货币政策,以及稳定与改革的分离和成本的重新界定。 相似文献