Transmission of Monetary Policy with Heterogeneity in Household Portfolios

R. Luetticke
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引用次数: 91

Abstract

Monetary policy affects both intertemporal consumption choices and portfolio choices between liquid and illiquid assets. The monetary transmission, in turn, depends on the distribution of marginal propensities to consume and invest. This paper assesses the importance of heterogeneity in these propensities for the transmission of monetary policy in a New Keynesian business cycle model with uninsurable income risk and assets with different degrees of liquidity. Liquidity-constrained households have high propensities to consume but low propensities to invest, which makes consumption more and investment less responsive to monetary shocks compared to complete markets. Redistribution through earnings heterogeneity and the Fisher channel from unexpected inflation further amplifies the consumption response but dampens the investment response.
家庭投资组合异质性下的货币政策传导
货币政策既影响跨期消费选择,也影响流动资产和非流动资产之间的投资组合选择。反过来,货币传导取决于边际消费和投资倾向的分配。本文在具有不可保收入风险和不同流动性程度资产的新凯恩斯经济周期模型中,评估了这些倾向的异质性对货币政策传导的重要性。流动性受限的家庭消费倾向高,但投资倾向低,这使得与完整市场相比,消费对货币冲击的反应更大,投资对货币冲击的反应更弱。通过收入异质性和费雪渠道进行的再分配进一步放大了消费反应,但抑制了投资反应。
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