Determinacy and expectational stability of equilibrium in a monetary sticky-price model with Taylor rule

• 成果类型: Article
• 署名作者: Kurozumi, Takushi
• 署名单位: Bank of Japan
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.03.011
• 发表日期: 2006
• 页码: 827-846
• 关键词: Determinacy; E-stability; monetary model; Taylor rule; taylor principle

摘要

Recent studies show that the Taylor rule possesses desirable properties in terms of generating determinacy and E-stability of rational expectations equilibria under sticky prices. This paper examines whether this policy rule retains these properties within a discrete-time money-in-utility-function model, employing three timings of money balances Of the utility function that the existing literature contains: end-of-period timing and two types of cash-in-advance timing. This paper shows: (i) even a small degree of non-separability of the utility function between consumption and real balances causes the Taylor rule to be much more likely to induce indeterminacy or E-instability if this rule responds not only to inflation but also to Output Or the Output gap: (ii) differences among the three timings strongly alter conditions for the Taylor rule to ensure both determinacy and E-stability. (c) 2006 Elsevier B.V. All rights reserved.