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Endogenous Uncertainty and Monetary Policy 内生不确定性与货币政策
ERN: Monetary Policy (Topic) Pub Date : 2020-08-25 DOI: 10.2139/ssrn.3680434
ShinHyuck Kang, Kwangyong Park
{"title":"Endogenous Uncertainty and Monetary Policy","authors":"ShinHyuck Kang, Kwangyong Park","doi":"10.2139/ssrn.3680434","DOIUrl":"https://doi.org/10.2139/ssrn.3680434","url":null,"abstract":"\u0000 In this paper, we empirically explore the endogeneity of uncertainty and the interaction between different types of uncertainty and monetary policy using a shock-restricted vector-autoregression model. We find that a contractionary monetary policy shock reduces financial uncertainty, opposite to the findings in the previous literature, while at the same time it also heightens real uncertainty. This discrepancy arises because the model allows endogenous shifts in uncertainty. We also show that endogenous responses of uncertainty amplify the effects of monetary policy on real activity.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130458334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal and Currency Union with Default and Exit 有违约和退出的财政和货币联盟
ERN: Monetary Policy (Topic) Pub Date : 2020-08-13 DOI: 10.2139/ssrn.3673917
A. Ferrari, R. Marimon, Chima Simpson-Bell
{"title":"Fiscal and Currency Union with Default and Exit","authors":"A. Ferrari, R. Marimon, Chima Simpson-Bell","doi":"10.2139/ssrn.3673917","DOIUrl":"https://doi.org/10.2139/ssrn.3673917","url":null,"abstract":"Countries which share a common currency potentially have strong incentives to share macroeconomic risks through a system of transfers to compensate for the loss of national monetary policy. However, the option to leave the currency union and regain national monetary policy can place severe limits on the size and persistence of transfers which are feasible inside the union. In this paper, we derive the optimal transfer policy for a currency union as a dynamic contract subject to enforcement constraints, whereby each country has the option to unpeg from the common currency, with or without default on existing obligations. Our analysis shows that the lack of independent monetary policy, or an equivalent independent policy instrument, limits the extent of risk-sharing within a currency union; nevertheless, in the latter, the optimal state-contingent transfer policy take as given the optimal monetary policy as to implement a constrained efficient allocation that minimises the losses of the monetary union. At the steady state welfare is lower than in a fiscal union with independent monetary policies. Nevertheless, in our simulations, the macroeconomic stabilisation effects and the social values achieved, under the two different union regimes, are quantitatively almost the same.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"167 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121218057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Effect of Fiscal Programs with Money Financing and Yield Curve Control 货币融资财政计划与收益率曲线控制的影响
ERN: Monetary Policy (Topic) Pub Date : 2020-07-24 DOI: 10.2139/ssrn.3660071
Ronald R. Mau, J. Rawls
{"title":"The Effect of Fiscal Programs with Money Financing and Yield Curve Control","authors":"Ronald R. Mau, J. Rawls","doi":"10.2139/ssrn.3660071","DOIUrl":"https://doi.org/10.2139/ssrn.3660071","url":null,"abstract":"We study monetary policy in a model where long-term interest rate variability dampens the fiscal multiplier. A fixed money supply limits this variability. Moreover, a flexible money supply rule that only responds to government spending, and is otherwise fixed, further amplifies the fiscal multiplier and improves household welfare. Yield curve control, or reserve management by the central bank to reduce long-term rate variability, is most effective when the money supply responds endogenously to support a Taylor rule interest rate policy. In the fixed and flexible money supply cases, there is limited fiscal multiplier amplification at the zero lower bound.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131420263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Non-linear Effects of the Fed's Asset Purchases 美联储资产购买的非线性效应
ERN: Monetary Policy (Topic) Pub Date : 2020-06-26 DOI: 10.2139/ssrn.3659533
Alessio Anzuini
{"title":"The Non-linear Effects of the Fed's Asset Purchases","authors":"Alessio Anzuini","doi":"10.2139/ssrn.3659533","DOIUrl":"https://doi.org/10.2139/ssrn.3659533","url":null,"abstract":"The Federal Reserve responded to the global financial crisis of 2008 with the deployment of new monetary policy tools, the most notable of them being the expansion of its balance sheet. In a recent paper, Weale and Wiladeck (2016) show that the asset purchases were effective in stimulating economic activity, inflation and asset prices. In this paper, we show that the results of asset purchases are state-dependent: large scale purchases are effective only when financial markets are impaired. Using an estimated threshold vector autoregressive model conditional on the volatility regime, we show that an increase in the balance sheet has expansionary effects on GPD and inflation when volatility is high, but not when it is low (in which case its effects become mostly insignificant). We argue that high volatility can be interpreted as a proxy of market dysfunction, and therefore only when this transmission channel is active is unconventional monetary policy particularly effective. This suggest that models of transmission mechanisms of unconventional policies that are based on asset purchases should focus more on the market functioning channel and not only on the portfolio rebalance channel.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"226 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133038153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Breaking the Zero Lower Bound Period: The Shift Across Two Unconventional Policies 突破零利率下限:两种非常规政策的转变
ERN: Monetary Policy (Topic) Pub Date : 2020-05-28 DOI: 10.2139/ssrn.3613441
Derin Aksit
{"title":"Breaking the Zero Lower Bound Period: The Shift Across Two Unconventional Policies","authors":"Derin Aksit","doi":"10.2139/ssrn.3613441","DOIUrl":"https://doi.org/10.2139/ssrn.3613441","url":null,"abstract":"Abstract The impact of unconventional monetary policies on asset prices can be broken into two distinct time periods in the US. While the impact of large-scale asset purchases was substantial on stock prices and the exchange rate before September 2011, their impact almost fully disappears afterward. On the contrary, the effects of forward guidance on asset prices grow substantially after this date. This shift could be explained by the severe illiquidity in financial markets before September 2011 and the Fed’s explicit communication regarding the initial policy rate hike afterward.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116154315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
More on Money Mining and Price Dynamics: Competing and Divisible Currencies 更多关于货币挖掘和价格动态:竞争和可分割的货币
ERN: Monetary Policy (Topic) Pub Date : 2020-03-19 DOI: 10.2139/ssrn.3632646
Michael Choi, G. Rocheteau
{"title":"More on Money Mining and Price Dynamics: Competing and Divisible Currencies","authors":"Michael Choi, G. Rocheteau","doi":"10.2139/ssrn.3632646","DOIUrl":"https://doi.org/10.2139/ssrn.3632646","url":null,"abstract":"We develop a random-matching model to study the price dynamics of divisible monies produced privately by using a time-consuming mining technology. There exists a unique equilibrium where the value of money increases until it reaches a steady state. There is also a continuum of perfect-foresight equilibria indexed by the starting value of the currency where the price of money inflates and bursts over time. Early on private money is held for a speculative motive and it acquires a transactional role when money supply becomes sufficiently abundant. We study gold- and crypto-mining technologies, fiat and commodity monies, single and competing currencies.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131586123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Intensive and Extensive Margins of Labor Supply in HANK: Aggregate and Disaggregate Implications 汉克劳动供给的集约边际和外延边际:总体和非总体影响
ERN: Monetary Policy (Topic) Pub Date : 2020-03-18 DOI: 10.2139/ssrn.3562041
Eunseong Ma
{"title":"Intensive and Extensive Margins of Labor Supply in HANK: Aggregate and Disaggregate Implications","authors":"Eunseong Ma","doi":"10.2139/ssrn.3562041","DOIUrl":"https://doi.org/10.2139/ssrn.3562041","url":null,"abstract":"This paper focuses on a labor-supply-side story for the monetary transmission mechanism, which has received relatively little attention in the New Keynesian literature. To this end, I develop a heterogeneous-agent New Keynesian (HANK) economy where a nonlinear mapping from hours worked into labor services generates operative adjustment along intensive and extensive margins of labor supply. The model economy quantitatively accounts for the U.S. data, including hours distributions and their transitions, and excels at producing empirically realistic responses of adjustment along both margins to a monetary policy shock. I find that, since the nonlinear mapping breaks the tight link between a curvature parameter and labor supply elasticity, the standard interpretation regarding a New Keynesian Phillips curve may be potentially very misleading from a quantitative perspective. Another important finding is that monetary policy has significantly different effects on earnings inequality, depending on the extent to which margin is dominant, even if it generates similar aggregate responses.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126769534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Collateral Channel of Monetary Policy: Evidence from China 货币政策的抵押品通道:来自中国的证据
ERN: Monetary Policy (Topic) Pub Date : 2020-02-01 DOI: 10.2139/ssrn.3546145
Hanming Fang, Yongqing Wang, Xian Wu
{"title":"The Collateral Channel of Monetary Policy: Evidence from China","authors":"Hanming Fang, Yongqing Wang, Xian Wu","doi":"10.2139/ssrn.3546145","DOIUrl":"https://doi.org/10.2139/ssrn.3546145","url":null,"abstract":"Collateral-based monetary policy tools have been used extensively by major central banks. Lack of proper policy counterfactuals, however, makes it difficult to empirically identify their causal effects on the financial market and the real economy. We exploit a quasi-natural experiment in China, where dual-listed bonds are traded in two mostly segmented markets: the interbank market regulated by the Central Bank, and the exchange market regulated by the securities regulator. During a policy shift in our study period, China's Central Bank included a class of previously ineligible bonds in the interbank market to become eligible collateral for financial institutions to borrow money from its Medium-Term Lending Facility (MLF). This policy shift allows us to implement a triple-difference strategy to estimate the causal impact of the collateral-based unconventional monetary policy. We find that in the secondary market the policy reduced the spreads of the newly collateralizable bonds in the treatment market (the interbank market) by 42-62 basis points. We also find that there is a pass-through effect from the secondary market to the primary market: the spreads of the treated bonds newly issued in the interbank market were reduced by 54 basis points.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129964964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Monetary Policy When Preferences Are Quasi-Hyperbolic 偏好是准双曲线时的货币政策
ERN: Monetary Policy (Topic) Pub Date : 2020-02-01 DOI: 10.2139/ssrn.3542054
Richard Dennis, Oleg A. Kirsanov
{"title":"Monetary Policy When Preferences Are Quasi-Hyperbolic","authors":"Richard Dennis, Oleg A. Kirsanov","doi":"10.2139/ssrn.3542054","DOIUrl":"https://doi.org/10.2139/ssrn.3542054","url":null,"abstract":"We study discretionary monetary policy in an economy where economic agents have quasi-hyperbolic discounting. We demonstrate that a benevolent central bank is able to keep inflation under control for a wide range of discount factors. If the central bank, however, does not adopt the household’s time preferences and tries to discourage early-consumption and delayed-saving, then a marginal increase in steady state output is achieved at the cost of a much higher average inflation rate. Indeed, we show that it is desirable from a welfare perspective for the central bank to quasi-hyperbolically discount by more than households do. Welfare is improved because this discount structure emphasizes the current-period cost of price changes and leads to lower average inflation. We contrast our results with those obtained when policy is conducted according to a Taylor-type rule.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122552189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Identification Robust Empirical Evidence on the Euler Equation in Open Economies 开放经济中欧拉方程的鲁棒经验证据鉴定
ERN: Monetary Policy (Topic) Pub Date : 2020-01-30 DOI: 10.2139/ssrn.3535215
Qazi Haque, L. Magnusson
{"title":"Identification Robust Empirical Evidence on the Euler Equation in Open Economies","authors":"Qazi Haque, L. Magnusson","doi":"10.2139/ssrn.3535215","DOIUrl":"https://doi.org/10.2139/ssrn.3535215","url":null,"abstract":"We investigate the empirical evidence on the Euler equation models using methods that are robust to weak instruments and structural changes for a set of eight countries. We start with the conventional closed economy model and consider extensions that include habits and hand-to-mouth consumers. We then extend the analysis to allow for each country to behave like an open economy. We find that structural changes are informative for the identification of the Euler equation models in some countries. However, in all countries, there is limited responsiveness of output to changes in the interest rate and no evidence of parameter instability, but otherwise aggregate data provide limited information to learn about Euler equation models.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133450541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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