Conventional and Unconventional Monetary Policy with Endogenous Collateral Constraints

• 成果类型: Article
• 署名作者: Araujo, Aloisio; Schommer, Susan; Woodford, Michael
• 署名单位: Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Columbia University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140002
• 发表日期: 2015
• 页码: 1-43
• 关键词: Incomplete markets

摘要

We consider the effects of central bank purchases of a risky asset as an additional dimension of policy alongside conventional interest rate policy in a general-equilibrium model of asset pricing with endogenous collateral constraints. The effects of asset purchases depend on the way that they affect collateral constraints. We show that under some circumstances, central bank purchases relax financial constraints, increase aggregate demand, and may even achieve a Pareto improvement; but in other cases, they tighten financial constraints, reduce aggregate demand, and lower welfare. The latter case is almost certainly the one that arises if central bank purchases are sufficiently large.