Limited asset markets participation, monetary policy and (inverted) aggregate demand logic

• 成果类型: Article
• 署名作者: Bilbiie, Florin O.
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; University of Oxford
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.07.008
• 发表日期: 2008
• 页码: 162-196
• 关键词: limited asset markets participation; Dynamic general equilibrium; aggregate demand; taylor principle; optimal monetary policy; real (in)determinacy

摘要

This paper incorporates limited asset markets participation in dynamic general equilibrium and develops a simple analytical framework for monetary policy analysis. Aggregate dynamics and stability properties of an otherwise standard business cycle model depend nonlinearly on the degree of asset market participation. While 'moderate' participation rates strengthen the role of monetary policy, low enough participation causes an inversion of results dictated by conventional wisdom. The slope of the 'IS' curve changes sign, the 'Taylor principle' is inverted, optimal welfare-maximizing discretionary monetary policy requires a passive policy rule and the effects and propagation of shocks are changed. However, a targeting rule implementing optimal policy under commitment delivers equilibrium determinacy regardless of the degree of asset market participation. Our results may justify Fed's behavior during the 'Great Inflation' period. (c) 2007 Elsevier Inc. All rights reserved.