货币政策的外部约束与金融加速器

M. Gertler, Simon Gilchrist, Fabio Natalucci
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引用次数: 726

摘要

我们开发了一个小型开放经济宏观经济模型,其中金融条件影响总体行为。我们使用这个模型来探讨汇率制度与金融困境之间的联系。我们表明,固定汇率束缚了货币当局的手脚,从而加剧了金融危机。然后,我们通过首先将模型校准为韩国数据,然后显示它在匹配韩国最近金融危机期间的经验方面做得相当好,从而研究了定量意义。特别是,该模型很好地解释了1997-1998年期间贷款利率的急剧上升以及产出、投资和生产率的大幅下降。然后,我们进行了一些反事实的练习,以说明固定汇率与浮动汇率对宏观经济表现和福利的定量意义。总的来说,这些实践表明,相对于灵活汇率,固定汇率下金融危机后的福利损失要大得多。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
External Constraints on Monetary Policy and the Financial Accelerator
We develop a small open economy macroeconomic model where financial conditions influence aggregate behavior. We use this model to explore the connection between the exchange rate regime and financial distress. We show that fixed exchange rates exacerbate financial crises by tieing the hands of the monetary authorities. We then investigate the quantitative significance by first calibrating the model to Korean data and then showing that it does a reasonably good job of matching the Korean experience during its recent financial crisis. In particular, the model accounts well for the sharp increase in lending rates and the large drop in output, investment and productivity during the 1997-1998 episode. We then perform some counterfactual exercises to illustrate the quantitative significance of fixed versus floating rates both for macroeconomic performance and for welfare. Overall, these exercises imply that welfare losses following a financial crisis are significantly larger under fixed exchange rates relative to flexible exchange rates.
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