Loss aversion and the asymmetric transmission of monetary policy

• 成果类型: Article
• 署名作者: Santoro, Emiliano; Petrella, Ivan; Pfajfar, Damjan; Gaffeo, Edoardo
• 署名单位: University of Copenhagen; Catholic University of the Sacred Heart; University of London; Centre for Economic Policy Research - UK; Tilburg University; University of Trento
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.07.009
• 发表日期: 2014
• 页码: 19-36
• 关键词: asymmetry; monetary policy; business cycle; prospect theory

摘要

There is widespread evidence that monetary policy exerts asymmetric effects on output over contractions and expansions in economic activity, while price responses display no sizeable asymmetry. To rationalize these facts we develop a dynamic general equilibrium model where households' utility depends on consumption deviations from a reference level below which loss aversion is displayed. State-dependent degrees of real rigidity and elasticity of intertemporal substitution in consumption generate competing effects on output and inflation. Contractions face the Central Bank with higher responsiveness of output to interest rate changes, as well as a flatter aggregate supply schedule. 2014 Elsevier B.V. All rights reserved.