Credit Frictions and Optimal Monetary Policy

• 成果类型: Article
• 署名作者: Curdia, Vasco; Woodford, Michael
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Columbia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.10.003
• 发表日期: 2016
• 页码: 30-65
• 关键词: credit spreads; policy rules; Target criterion; Flexible inflation targeting; Quadratic loss function

摘要

The basic (representative-household) New Keynesian model of the monetary transmission mechanism is extended to allow for a spread between the interest rate available to savers and borrowers, and investigate the consequences of a variable credit spread for the effects of a variety of shocks, and for optimal policy responses to those shocks. A simple target criterion continues to provide a good approximation to optimal policy. Such a flexible inflation target can be implemented by a central-bank reaction function that is similar to a forward-looking Taylor rule, but adjusted for changes in current and expected future credit spreads. (C) 2016 Elsevier B.V. All rights reserved.