Monetary aggregates and the business cycle

• 成果类型: Article
• 署名作者: Sustek, Roman
• 署名单位: University of Iowa
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2010.03.003
• 发表日期: 2010
• 页码: 451-465
• 关键词: Monetary aggregates; business cycle; general equilibrium

摘要

A monetary aggregate consisting predominantly of zero-maturity deposits, called MZM, tends to systematically lead output in the US business cycle. Such fluctuations are observed both before and after the 1979 monetary policy change. Similar dynamics are obtained in a model with multi-stage production and purchase-size heterogeneity when agents optimally choose their mix of cash, checkable, and time deposits used in transactions. The causality in the model runs from real activity to money, rather than the other way around. Although the monetary base is endogenous, through a Taylor-type rule, the lead in MZM is primarily driven by deposit creation. (C) 2010 Elsevier B.V. All rights reserved.