MONEY AND INFORMATION IN A NEW NEOCLASSICAL SYNTHESIS FRAMEWORK

• 成果类型: Article
• 署名作者: Arestis, Philip; Chortareas, Georgios; Tsoukalas, John D.
• 署名单位: University of Cambridge; National & Kapodistrian University of Athens; University of Essex; University of Nottingham
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2009.02339.x
• 发表日期: 2010
• 页码: F101-F128
• 关键词: business cycles; habit formation; monetary; PARTICIPATION; consumption; frictions; shocks; rules; MODEL; US

摘要

We consider an (otherwise standard) New Neoclassical Synthesis theoretical framework that allows a role for money. Money in our model has an informational role which facilitates the estimation of the unobserved shocks that drive potential output and thus the state of the economy. For this purpose we estimate a small-scale sticky price model using Bayesian techniques. Our findings support the view that money has information value. This is reflected in higher precision in terms of unobserved model concepts such as the natural rate of output. Moreover, our results highlight how modelling money demand can provide insights about structural features of the economy that may be important for the design of interest rate rules. Focusing on money also allows for a step towards resolving the price puzzle. Money demand shocks can confound monetary policy shocks to generate a perverse price response in vector autoregressions (VAR).