SMOOTHED INTEREST RATE SETTING BY CENTRAL BANKS AND STAGGERED LOAN CONTRACTS

• 成果类型: Article
• 署名作者: Teranishi, Yuki
• 署名单位: Keio University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12092
• 发表日期: 2015
• 页码: 162-183
• 关键词: optimal monetary-policy; rate pass-through; real exchange-rate; macroeconomic stability; COMPETITION; inflation; BEHAVIOR; credit; rules

摘要

I investigate a new source of economic stickiness: namely, staggered loan interest rate contracts under monopolistic competition. This study introduces this mechanism into a standard new Keynesian model. Simulations show that a response to a financial shock is greatly amplified by the staggered loan contracts, although a response to a productivity, cost-push or monetary policy shock is not much affected. I derive an approximated loss function and analyse optimal monetary policy. Unlike other models, the function includes a quadratic loss of the first-order difference in loan rates. Thus, central banks have an incentive to smooth the policy rate.