Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses

This paper addresses the credit channel in Germany by using aggregate data. We present a stylized model of the banking firm in which banks decide on their loan supply in the light of expectations about the future course of monetary policy. Applying a VAR model, we estimate the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. We estimate our model to evaluate the response of bank loans by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. Evidence in support of the credit channel can be reported.     

基于SVEC模型的中国货币政策效应与规则研究:1996M01-2011M02

本文基于SVEC模型框架,分析了1996年1月至2011年2月期间中国人民银行所使用的多种货币政策工具与多重政策目标之间存在的关系.研究结果表明,物价、产出及货币供给冲击均对利率工具和准备金率工具产生持久、显著的影响,这与通过泰勒规则预测得到的结论基本吻合,但与其预测的反应时滞存在一定的差别.利率和准备金率对实体经济有重要影响,但效果、传导时滞存在差异,同时,两种工具对货币供给冲击的反应既不充分、也不及时.针对以上结论,本文一一作了解释,并在此基础上得到了许多有益启示.     

Optimal monetary policy with imperfect common knowledge

This paper determines optimal nominal demand policy in a flexible price economy in which firms pay limited attention to aggregate variables. Firms’ inattentiveness gives rise to idiosyncratic information errors and imperfect common knowledge about the shocks hitting the economy. This is shown to have strong implications for optimal nominal demand policy. In particular, if firms’ prices are strategic complements and economic shocks display little persistence, monetary policy has strong real effects, making it optimal to stabilize the output gap. Weak complementarities or sufficient shock persistence, however, cause price level stabilization to become increasingly optimal. With persistent shocks, optimal monetary policy shifts from output gap stabilization in initial periods following the shock to price level stabilization in later periods, potentially rationalizing the medium-term approach to price stability adopted by some central banks.     

Optimal monetary policy with durable consumption goods

We document that the durable goods sector is much more interest-sensitive than the nondurables sector, and then investigate the implications of these sectoral differences for monetary policy. We formulate a two-sector general equilibrium model that is calibrated both to match the sectoral responses to a monetary shock derived from our empirical VAR and to imply an empirically realistic degree of sectoral output volatility and comovement. While the social welfare function involves sector-specific output gaps and inflation rates, the performance of the optimal policy rule can be closely approximated by a simple rule that targets a weighted average of aggregate wage and price inflation. In contrast, a rule that stabilizes a more narrow measure of final goods price inflation performs poorly in terms of social welfare.     

耐用品、投资专有冲击与货币政策福利

本文构建蕴含耐用品与非耐用品的两部门DSGE模型,研究投资专有冲击对货币政策及社会福利的影响。投资专有技术进步改进了投资转化为生产资本的效率,放大边际成本波动,增加了厂商调价动机和价格水平变动。即使耐用品价格完全灵活,最优货币政策也无法同时稳定价格和实际GDP。研究发现:(1)耐用品相对价格缺口波动率的上升虽然增加了实际GDP波动,但能够有效地降低投资专有技术对边际成本的冲击,减少价格变动的福利损失。所以两部门投资专有冲击时,央行倾向于稳定价格水平。与其相反,在单部门投资专有冲击和两部门生产技术冲击时,最优货币政策应降低耐用品相对价格缺口波动,稳定实际GDP。(2)对比三种泰勒规则:钉住非耐用品PPI、钉住加权平均PPI及钉住CPI,福利分析发现钉住非耐用品PPI最优,钉住CPI次之,钉住加权平均PPI的福利损失最大。就损失程度而言,投资专有冲击的福利损失是生产技术冲击的2倍,表明投资专有冲击加剧了最优货币政策在稳定价格与实际GDP间的权衡。     

货币政策、消费品和投资品通货膨胀——基于金融加速器视角

本文建立一个包含消费品和投资品生产的两部门新凯恩斯DSGE模型,并且引入金融加速器以分析货币政策对消费品和投资品通货膨胀的影响机制,同时使用1999Q1至2015Q4的中国宏观经济数据对模型进行贝叶斯估计。估计结果表明,两个部门的菲利普斯曲线都具有较高的价格粘性。外部融资溢价对两个部门企业投资的影响存在异质性,投资品部门的金融加速器效应更加明显。脉冲响应分析表明货币政策扩张时,投资品部门的产出和通胀膨胀上升幅度比消费品部门更大。理论模型的脉冲响应与VAR实证分析得到的经验事实相一致。金融摩擦导致的消费品和投资品部门需求结构的异质性是解释货币政策对两个部门影响差异的关键。数值模拟分析发现金融加速器机制主要改变货币政策对投资品产出和通货膨胀的影响,对消费品部门影响改变较小。方差分解结果表明加总技术冲击、投资边际效率冲击和货币政策冲击是经济波动的主要来源。     

Futures markets and monetary policy

It has recently been argued that when differentially informed agents trade with one another monetary policy can influence the distribution of output by altering the information content of prices. This paper introduces a futures market into the Barro (1980) model and shows that under certain conditions prices may aggregate information in a manner such that differentially informed agents hold identical beliefs concerning aggregate market conditions. In such cases, monetary policy will be unable to influence the distribution of output. These results then serve as a backdrop for a more general discussion of the relationship between asset prices and the role of monetary policy.     

住房价格、金融稳定与宏观审慎政策

本文通过建立包含异质性家庭、异质性厂商和金融机构的DSGE模型,分析对预期房价作出反应的货币政策和宏观审慎政策的传导机制和政策效果,研究不同政策的选择和协调问题。研究发现,首先,由于政策的作用范围不同,不同政策会对金融稳定和经济稳定产生不同影响。对预期房价作出反应的货币政策能够抑制住房需求和信贷供给,但也会抑制消费需求和产出;而对预期房价作出反应的逆周期LTV政策和逆周期资本充足率政策在应对房价波动导致的金融稳定问题时更加有的放矢。其次,外生冲击的来源会影响政策的选择和协调——当经济波动来源于需求冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、不对预期房价作出反应的货币政策表现最优;当经济波动来源于供给冲击时,固定LTV政策搭配逆周期资本充足率的宏观审慎政策、对预期房价作出反应的货币政策表现最优。     

A Further Look at the Propagation of Monetary Policy Shocks in HANK

We provide quantitative guidance on whether and to what extent different elements of Heterogeneous Agent New Keynesian (HANK) models amplify or dampen the response of aggregate consumption to a monetary policy shock. We emphasize four findings. First, the introduction of capital adjustment costs does not affect the aggregate response, but does change the transmission mechanism so that a larger share of indirect effects originates from equity prices rather than from labor income. Second, incorporating estimated unequal incidence functions for aggregate labor income fluctuations leads to either amplification or dampening, depending on the data and estimation methods. Third, distribution rules for monopoly profits that allocate a larger share to liquid assets lead to greater amplification. Fourth, assumptions about the fiscal reaction to a monetary policy shock have a stronger effect on the aggregate consumption response than any of the other three elements.     

The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan

I investigate the effectiveness of both conventional and unconventional Japanese monetary policy measures targeting either the short-term interest rate or the monetary base. Using a 1985–2014 data set covering 135 variables, the analysis is based on a structural dynamic factor model. An expansionary monetary policy shock, identified via theoretically plausible sign restrictions, is found to significantly increase real and nominal economic activity. With regard to the policy instrument, its effectiveness differs. A shock that decreases the short-term interest rate has a strong positive effect on output and a modest effect on prices. A monetary policy shock that raises the monetary base has a positive – but weak and rather transitory – effect on output, and a strong effect on goods and stock prices.     

Financial integration and business cycles in a small open economy

The purpose of this study is to examine a dynamic, stochastic, general equilibrium framework with financial and informational frictions and foreign borrowing in the case of money growth and technology shocks for a small open economy and to analyze the implications of varying degrees of financial integration for aggregate fluctuations and propagation mechanisms in the economy. The existence of informational asymmetries among the agents in the model necessitates financial intermediation in the economy. Moreover, there is uncertainty involved in the production process which leads to collateralized borrowing by firms and, therefore, has to be taken into account in the design of the loan contracts between firms and financial intermediaries. It is shown that increasing financial integration amplifies the effect of a positive, temporary monetary shock on output, consumption, investment, labor demand and loans; whereas it has barely any implication for the impact of a positive, temporary technology shock on the economy.     

金融创新、基本普尔分析与我国货币政策中介目标选择

本文将金融创新因素纳入基本普尔分析之中,对货币政策中介目标选择问题进行了分析,并得出了两个基本结论:(1)在金融创新发展的初期,总需求冲击方差相对于货币需求冲击方差仍然较大,同时IS曲线相对LM曲线会变得更加陡峭,此时中央银行将优先选择货币供给量作为中介目标;(2)在金融创新的快速发展阶段,货币需求函数将变得极不稳定,以致于货币需求冲击远远超过总需求冲击时,无论IS曲线和LM曲线的斜率如何,选择利率充当中介目标将变得更加有吸引力。就我国而言,现阶段货币供给量作为中介目标还是较优的选择;长期来看,利率作为中介目标也会因金融创新而失效,一个可行的选择是通货膨胀目标制度。     

Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run

This paper studies a popular statistical model of permanent and transitory shocks to output using a set of arguably more plausible structural assumptions. One way to structurally interpret the model is by assuming aggregate demand has no long‐run output effect. However, many economic theories are inconsistent with that assumption. Instead, we reinterpret the statistical model assuming a positive shock to aggregate supply lowers the price level and in the long run raises output while a positive shock to aggregate demand raises the price level. Under these assumptions, a puzzling finding from the empirical literature implies that a positive aggregate demand shock had a long‐run positive effect on output in pre–World War I economies.     

In search of the liquidity effect in a modern monetary model

This paper examines the impact of a monetary policy shock in a dynamic stochastic general equilibrium model with sticky prices and financial market frictions. First, we examine the shortcomings of monetary models emphasizing these frictions individually. The model then is specified to limit the response of prices and savings to a current period monetary disturbance. Our results show that this model can account for the following key responses to an expansionary monetary policy shock: a fall in the nominal interest rate; a rise in output, consumption, and investment; and a gradual increase in the price level. Finally, a detailed sensitivity analysis shows the model's results depend on the parameters assigned to critical structural features.     

Relationship lending and the transmission of monetary policy

Repeated interactions allow lenders to uncover private information about their clients, decreasing the informational asymmetry between a borrower and his lender but introducing one between the lender and competing financiers. This paper constructs a credit-based model of production to analyze how learning through lending relationships affects monetary transmission. I examine how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending and how these changes then shape the response of aggregate output. The results demonstrate that relationship lending prevails in equilibrium, smoothes the steady state output profile, and induces less volatile responses to certain monetary shocks.     

Optimal monetary policy,endogenous supply and rational expectations

In this paper we demonstrate that the choice of monetary policy regime will affect the variability of output when private agents, in forming their supply decisions, take into account the authority's selection of a policy rule. A striking feature of the analysis is that the choice between policy rules in Sargent-Wallace (1975) framework, but with endogenous aggregate supply, depends only on the variability of aggregate demand under each rule and not on the variability of aggregate supply. It follows that the choice of monetary policy rules reduces to the problem analyzed by Poole (1970) in the stochastic Keynesian structure.     

The Bank Lending Channel: A FAVAR Analysis

We examine the bank lending channel (BLC) of monetary transmission in a factor‐augmented vector autoregression (FAVAR). A FAVAR exploits large numbers of macro‐economic indicators and allows us to consider an alternative identification of monetary shocks and analyze the lending response of banks at the aggregate and individual levels. We find that the existence of the BLC is more prevalent than previously thought using aggregated lending data, while the lending response of individual banks are driven more by specific innovations than monetary shocks. Nonetheless, the average individual bank response to a monetary shock is consistent with the existence of a BLC.     

Housing-market heterogeneity in a monetary union

This paper studies the implications of cross-country housing-market heterogeneity in a monetary union for both shock transmission and welfare. I develop a two-country new Keynesian general equilibrium model with housing and collateral constraints to explore this issue. The conventional wisdom is that welfare would be higher in a monetary union if mortgage markets were homogeneous. This paper shows instead that welfare is higher only when homogenization does not result in higher aggregate volatility (because of financial accelerator effects) or does not redistribute too much wealth from borrowers to savers.     

UK Stock Returns and the Impact of Domestic Monetary Policy Shocks

Abstract:  We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors.     

Monetary policy matters: Evidence from new shocks data

The evidence suggests that monetary policy post 1988 became more forward-looking, invalidating the identifying assumptions in conventional methods of measuring monetary policy's effects, leading to spurious and unlikely results for this period. We propose a new identification scheme that uses factors extracted from Fed Funds futures to measure exogenous changes in policy. Using this shock series in a VAR, we recover the contractionary effect of monetary tightening on output. Moreover, we find that as much as half of the variability in output was driven by monetary policy shocks, and that there is a mild price puzzle.