Nutahara, Kengo (2010): Asset prices and monetary policy in a sticky-price economy with financial frictions.
Download (85kB) | Preview
A recent study shows that equilibrium indeterminacy arises if monetary policy responds to asset prices, especially share prices, in a sticky-price economy. We show that equilibrium indeterminacy never arises if the working capital of firms is subject to their asset values by financial frictions.
|Item Type:||MPRA Paper|
|Original Title:||Asset prices and monetary policy in a sticky-price economy with financial frictions|
|English Title:||Asset prices and monetary policy in a sticky-price economy with financial frictions|
|Keywords:||asset prices; financial frictions; equilibrium indeterminacy; monetary policy; sticky prices|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C62 - Existence and Stability Conditions of Equilibrium
|Depositing User:||Kengo Nutahara|
|Date Deposited:||26. Jul 2010 20:26|
|Last Modified:||11. Feb 2013 23:02|
Bernanke, B., M. Gertler, and S. Gilchrist, 1999, The financial accelerator in a quantitative business cycle framework, in: J. Taylor and M. Woodford, eds., Handbook of Macroeconomics, Vol. 1C (North-Holland, Amsterdam) 1341--1393.
Bernanke, B., and M. Gertler, 2001, Should central banks respond to movements in asset prices? American Economic Review 91(2), 253--257.
Carlstrom, C. T., and T. S. Fuerst, 1997, Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis, American Economic Review 87, 893--910.
Carlstrom, C. T., and T. S. Fuerst, 1998, Agency costs and business cycles, Economic Theory 12, 583--597.
Carlstrom, C. T. and T. S. Fuerst, 2007, Asset prices, nominal rigidities, and monetary policy, Review of Economics Dynamics 10, 256--275.
Faia, E., and T. Monacelli, 2007, Optimal interest rate rules, asset prices, and credit frictions, Journal of Economics Dynamics and Control 31, 3228--3254.
Gilchrist, S., and J. V. Leahy, 2002, Monetary policy and asset prices, Journal of Monetary Economics 49(1), 75--97.
Harrison, S. G., and M. Wedner, 2010, Sunspots and credit frictions, CDMA Working Paper 10/01.
Iacoviello, M. 2005, House prices, borrowing constraints, and monetary policy in the business cycle, American Economic Review 95(2), 739--764.
Kiyotaki, N., and J. Moore, 1997, Credit cycles, Journal of Political Economy 105(2), 211--248.
Kobayashi, K., T. Nakajima, and M. Inaba, 2007, Collateral constraints and news-driven cycles, RIETI Discussion Paper 07--E--13.
Kobayashi, K., and K. Nutahara, 2007, Collateralized capital and news-driven cycles, Economics Bulletin 5(15), 1--9.
Liu, A., P. Wang, and T. Zha, 2009, Do credit constraints amplify macroeconomic fluctuations?, Emory University Working Paper 09--10.
Monacelli, T., 2009, New Keynesian models, durable goods, and collateral constraints, Journal of Monetary Economics 56, 242--254.