On the optimality of interest rate smoothing

• 成果类型: Article
• 署名作者: Rebelo, S; Xie, DY
• 署名单位: Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00062-2
• 发表日期: 1999
• 页码: 263-282
• 关键词: inflation; GROWTH; interest rate smoothing; monetary policy

摘要

This paper studies some continuous-time cash-in-advance models in which interest rate smoothing is optimal. We consider both deterministic and stochastic models. In the stochastic case we obtain two results of independent interest: (i) we study what is, to our knowledge, the only version of the neoclassical model under uncertainty that can be solved in closed form in continuous time; and (ii) we show how to characterize the competitive equilibrium of a stochastic continuous time model that cannot be computed by solving a planning problem. We also discuss the scope for monetary policy to improve welfare in an economy with a suboptimal real competitive equilibrium, focusing on the particular example of an economy with externalities. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: E31; E48; E52; O42.