共查询到20条相似文献,搜索用时 15 毫秒
1.
Weimin Wang 《Journal of Monetary Economics》2006,53(3):537-571
We construct a dynamic equilibrium model where there is costly search in the goods market and the labor market. Incorporating shocks to money growth and productivity, we calibrate the model to the US time series data to examine the model's quantitative predictions on aggregate variables and, in particular, on the variability of consumption velocity of money. Despite the fact that money is the only asset, the model captures most of the variability of velocity in the data. It also generates realistic predictions on the moments of other variables and provides persistent propagation of the shocks. The model generates these results largely because costly search gives an important role to the extensive margin of trade. 相似文献
2.
This paper investigates the relationship between money growth, inflation, and productive activity in a dynamic general-equilibrium, multiple-matching framework where trade frictions are manifested by limited consumption variety. Productive activity and matching in the goods market are endogenized by a time allocation decision of work and search effort. We find that a high degree of complementarity between participation in the labor and goods markets creates a channel by which inflation can positively influence production and output. This feature arises when household preferences for consumption variety is sufficiently large and it can also lead to the multiplicity of monetary equilibria. 相似文献
3.
Yiting Li 《Journal of Monetary Economics》2006,53(8):2067-2083
We study competition between inside and outside money in economies with trading frictions and financial intermediation. Claims on banks circulate if the redemption rate is low. When the quantity of fiat money is scarce, coexistence of inside and outside money dominates equilibria with a unique medium of exchange. If outside money is ample, banks choose to redeem claims in outside money, which increases welfare. Under binding reserve requirements, tightening monetary policy leads to credit rationing. Our results support recent trends toward lower reserve requirements. However, we also identify situations where restrictions on note issue are beneficial. 相似文献
4.
Alexei Deviatov 《Journal of Monetary Economics》2009,56(3):283-288
Optimal monetary policy is studied in a model with (i) heterogeneity in the degree to which different people are monitored (have publicly known histories); (ii) idiosyncratic shocks that give rise to heterogeneity in earning and spending realizations; and (iii) central-bank intervention in a “market” in claims or credit in which the participants are those who are heavily monitored. A special case of the model has everyone perfectly monitored. In that case, there is no role for money and no role for central-bank intervention. In the example displayed with imperfect monitoring, optimal intervention is not simple. 相似文献
5.
Alain Delacroix 《Journal of Monetary Economics》2006,53(3):573-596
We develop an equilibrium matching model where unions have an important institutional presence. Monopolistic competition characterizes the goods market, where only some sectors are unionized. Thus, the model can vary the coverage of collective bargaining. It can vary the degree of coordination between unions, and alternatively consider “national” and “sectorial” unions. Calibration to the union premium implies a workers’ rent extraction parameter much lower than assumed in the matching literature. We introduce unemployment insurance to study the interactions of policies with unions and find that unions only push for more generous benefits if this does not entail higher payroll taxes. 相似文献
6.
There is an emerging consensus that money can be largely ignored in making monetary policy decisions. Rudebusch and Svensson [1999, Policy Rules and Inflation Targeting. In Taylor, J.B. (Ed.), Monetary Policy Rules. University of Chicago Press, Chicago, 203-246; 2002, Eurosystem Monetary Targeting: Lessons from US Data. European Economic Review 46, 417-442] provide some empirical support for this view. We reconsider the role of money and find that money is not redundant. More specifically, there is a significant statistical relationship between lagged values of money and the output gap, even when lagged values of real interest rates and lagged values of the output gap are accounted for. We also find that inside and outside money provide significant information in predicting movements in the output gap. 相似文献
7.
This paper analyses the UK interest rate term structure over the period since October 1992, when the United Kingdom adopted an explicit inflation target, using an affine term structure model estimated using both government bond yields and survey data. The model imposes no-arbitrage restrictions across nominal and real yields, which enables interest rates to be decomposed into expected real policy rates, expected inflation, real term premia and inflation risk premia. The model is used to shed light on major developments over the period, including the impact of Bank of England independence and the low real bond yield ‘conundrum’. 相似文献
8.
Commodity money is modeled as one or two of the capital goods in a one-consumption good and one or two capital-good, overlapping generations model. Among the topics addressed using versions of the model are (i) the nature of the inefficiency of commodity money, (ii) the validity of quantity-theory predictions for commodity money systems, (iii) the circumstances under which one commodity emerges naturally as the commodity money, (iv) the role of inside money (money backed by private debt) in commodity money systems and (v) the circumstances under which a government can choose the commodity to serve as the commodity money. 相似文献
9.
David C. Mills 《Journal of Monetary Economics》2006,53(7):1593-1611
I explore alternative central bank policies for liquidity provision in a model of payments. I use a mechanism design approach so that agents’ incentives to default are explicit and contingent on the credit policy designed. In the first policy, the central bank invests in costly enforcement and charges an interest rate to recover costs. I show that the second-best solution is not distortionary. In the second policy, the central bank requires collateral. If collateral does not bear an opportunity cost, then the solution is first best. Otherwise, the second best is distortionary because collateral serves as a binding credit constraint. 相似文献
10.
This note provides an analytical confirmation and a refinement of [Lucas Jr., R.E., 2000. Inflation and welfare. Econometrica 68 (62), 247–274 (March)] numerical findings regarding the characterization of optimality in the shopping-time model presented in that paper. The original numerical analysis concludes that a coefficient of risk aversion (σ) greater than 0.01 is sufficient for optimality. Here we use Arrow’s sufficiency theorem to confirm this result and, more importantly, to show without more calculations how changes in parameters can affect it. 相似文献
11.
Pengfei Wang 《Journal of Monetary Economics》2007,54(7):2004-2031
We document that “persistent and lagged” inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information. 相似文献
12.
This paper analyzes the individual bidding behavior of German banks in the money market auctions conducted by the ECB from the beginning of 2000:IIIQ to the end of 2001:IQ. Our approach takes a variety of characteristics of the individual banks into account, particularly variables that capture the different use of liquidity and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are reflected in banks’ bidding behavior. Thus, our study contributes to a deeper understanding of the way liquidity risk is managed in the banking sector. 相似文献
13.
To understand European and American unemployment during the last 60 years, we use a search-island model and four matching models with workers who have heterogeneous skills and entitlements to government benefits. When there is higher turbulence, in the sense of worse skill transition probabilities for workers who suffer involuntary layoffs, high government mandated unemployment insurance (UI) and employment protection (EP) in Europe increase unemployment rates and durations. But when there is lower turbulence, high European EP suppresses unemployment rates despite high European UI. Four matching models differ in how they assign unemployed workers to matching functions. That affects how strongly unemployment responds to increases in turbulence. Heterogeneity among unemployed workers highlights the central role of adverse labor market externalities in matching models and reveals that the cost of posting vacancies is the lynchpin of a matching model. 相似文献
14.
John Bryant 《Journal of Banking & Finance》1985,9(2):289-295
The stylized monetary facts — (1) money growth causes inflation, (2) inflation is bad, (3) money demand depends upon the nominal interest rate, (4) the real interest rate equals a parametrically fixed rate of time preference, and (5) investment depends upon the real interest rate — are produced in a Grandmont-Younes modified Clower constraint model of money. Inflation is distorting, but is no one's intertemporal rate of substitution. Inflation discourages trade, but not investment. As a by-product the Friedman hypothesis, that the optimal deflation equals the rate of time preference, is confirmed in the model. 相似文献
15.
Dror Goldberg 《Journal of Monetary Economics》2007,54(4):979-993
Partially directed search replaces the total randomness of monetary search models. Agents choose whether to stay in their production location or visit other locations. Each visiting agent randomly chooses one shop among many in each location. As in random matching models, a commodity or fiat object can endogenously become money, but the details are richer and conform better with evidence: any commodity can be money; the “best” commodity is the most likely money; fiat money can totally crowd out commodity money in an asymmetric environment; going shopping is more likely than door-to-door sales. The model nests Walrasian equilibria. 相似文献
16.
This note provides a method to convert the dynamic models in Cysne [Cysne, Rubens P., 2006. A note on the non-convexity problem in some shopping-time and human-capital models. Journal of Banking and Finance 30 (10), 2737–2745] and in Cysne [Cysne, Rubens P., 2008. A note on “inflation and welfare”. Journal of Banking and Finance 32 (9), 1984–1987] to concave optimization problems. We do this by introducing new control and state variables in the models. Cysne (2006, 2008) restrict attention to continuous time models and derive parametric conditions to use Arrow’s sufficiency theorem. When the sufficient conditions presented in Cysne (2006) are satisfied (but not under the sharper sufficient conditions presented in Cysne (2008)) we can rewrite these models as concave optimization problems even if time is discrete. 相似文献
17.
Shouyong Shi 《Journal of Monetary Economics》2008,55(6):1025-1037
In a monetary search model with nominal bonds, agents face matching/taste shocks but they cannot insure, borrow or trade against such shocks. A government imposes a legal restriction that prohibits bonds from being used to buy a subset of goods. I show that this legal restriction can increase the society's welfare. In contrast to the literature, this efficiency role persists in the steady state and even when the households cannot trade assets after receiving the shocks. Moreover, it can exist when the Friedman rule is available and when the restriction is only obeyed by government agents. 相似文献
18.
Federal Reserve nonborrowed reserve supply systematically responded to changes in inflation and in the output gap over the period 1969-2000. While the feedback from output gap is always negative, the response of money supply to changes in inflation varies considerably across time. Nonborrowed reserves decreased with inflation in the post-1979 period and increased in the pre-1979 period. Applying a standard macro-model, the estimated reaction functions are shown to ensure equilibrium determinacy. Viewed through the money supply lens, Federal Reserve policy substantially changed over time, but has never allowed for endogenous fluctuations, which contrasts conclusions drawn from federal funds rate analyses. 相似文献
19.
A simple matching-model of money with the potential for counterfeiting is constructed. In contrast to the existing literature, lotteries are included. These provide scope for the operation of the intuitive criterion of Cho and Kreps. The application of that refinement is shown to imply that there is no equilibrium with counterfeiting. If the cost of producing counterfeits is low enough, then there is no monetary equilibrium. Otherwise, there is a monetary equilibrium without counterfeiting. In other words, the threat of counterfeiting can eliminate the monetary equilibrium. 相似文献
20.
Illiquid nominal government bonds are shown to have two opposing effects on welfare. First, the relatively poor choose to top-up money balances for future consumption by purchasing nominal bonds at a discount. The wealth distribution becomes more centered with a smaller consumption deviation from the first best. Second, the higher inflation tax on monetary wealth to finance interest payments makes money less valuable, so that the quantity of output produced in exchange for money decreases. The trade-off between the welfare-enhancing effect on wealth distribution and the distortionary effect on output implies the socially optimal discount rate and liquidity. 相似文献