UID:
edoccha_9958126168402883
Umfang:
1 online resource (45 p.)
ISBN:
1-4983-1851-7
,
1-4983-3115-7
,
1-4983-7889-7
Serie:
IMF Working Papers
Inhalt:
The recent global financial crisis illustrates that financial frictions are a significant source of volatility in the economy. This paper investigates monetary policy stabilization in an environment where financial frictions are a relevant source of macroeconomic fluctuation. We derive a measure of output gap that accounts for frictions in financial market. Furthermore we illustrate that, in the presence of financial frictions, a benevolent central bank faces a substantial trade-off between nominal and real stabilization; optimal monetary policy significantly reduces fluctuations in price and wage inflations but fails to alleviate the output gap volatility. This suggests a role for macroprudential policies.
Anmerkung:
Description based upon print version of record.
,
""Cover""; ""CONTENTS""; ""I. INTRODUCTION""; ""II. MODEL""; ""A. Final Goods Producers""; ""B. Intermediate Good Producers""; ""C. Employment Agencies""; ""D. Households""; ""E. Entrepreneurs""; ""F. Central Bank""; ""G. Government""; ""III. EMPIRICAL EVALUATION""; ""A. Bayesian Estimation""; ""B. Variance Decomposition""; ""IV. FRICTIONS AND OUTPUT GAP""; ""A. Potential Output and Output""; ""B. Output Gap""; ""B.1. Monetary Policy Trade-offs""; ""C. Optimal Monetary Policy""; ""V. CONCLUSION""; ""A: APPENDIX - FINANCIAL CONDITION""; ""B: APPENDIX - ESTIMATION CONVERGENCE DIAGNOSTIC""
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""C: APPENDIX - ROBOUSTNESS CHECK""""List of Tables""; ""1 Posterior Modes - Variance of Wage Mark-up Shock""; ""2 Prior Distributions and Posterior Parameter Estimates in the Model""; ""3 Variance Decompositions at Business Cycle Frequency (%)""; ""4 Correlation Between BGG Frictions and Financial Condition""; ""List of Figures""; ""1 Impulse response functions to the financial shocks""; ""2 US GDP and potential outputs implied by the estimated models with and without financial frictions""; ""3 Potential output implied by the estimated models with and without financial frictions""
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""4 Time-varying financial frictions and default risk spread (Normalized series)""""5 Output gap implied by the estimated models with and without financial frictions""; ""6 Output gap implied by the estimated models with and without unemployment""; ""7 Variance decomposition of the shocks - the JPTBGG model""; ""8 Variance decomposition of the shocks - the JPT model""; ""9 (Lack of) Trinity in the model with financial frictions""; ""10 Trinity in the model without financial frictions (JPT (2013))""; ""11 Optimal monetary policy and the financial variables""
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""12 Time-varying nancial frictions and financial condition""""13 Brooks and Gelman's convergence diagnostic""; ""14 Output gaps implied by models with and without financial frictions, estimated before the crisis""
,
English
Weitere Ausg.:
ISBN 1-4983-0532-6
Weitere Ausg.:
ISBN 1-322-07108-X
Sprache:
Englisch
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