OPTIMAL MONETARY POLICY IN A MODEL OF THE CREDIT CHANNEL

• 成果类型: Article
• 署名作者: De Fiore, Fiorella; Tristani, Oreste
• 署名单位: European Central Bank
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02558.x
• 发表日期: 2013
• 页码: 906-931
• 关键词: agency costs; prices

摘要

We study a simple extension of the basic new-Keynesian set-up in which we relax the assumption of frictionless financial markets: due to asymmetric information and default risk, bank lending rates incorporate a spread over the deposit rate. We demonstrate that financial frictions affect aggregate dynamics mainly through their impact on firms' financing costs, which increase in both the deposit rate and in the spread between lending and deposit rates. Welfare includes a concern for smoothing these two financial market variables. Our numerical simulations suggest that an aggressive easing of policy is optimal in response to adverse financial market shocks.