| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5916
|
| DP5916 New Keynesian Models, Durable Goods and Collateral Constraints |
| Tommaso Monacelli
|
| 发表日期 | 2006-10-29
|
| 出版年 | 2006
|
| 语种 | 英语
|
| 摘要 | Econometric evidence suggests that, in response to monetary policy shocks, durable and non-durable spending comove positively, and durable spending exhibits a much larger sensitivity to the policy shocks. A standard two-sector New Keynesian model with free borrowing persistently exhibits a co-movement problem: if spending contracts in one sector, it expands in the other. We argue that, even when durable prices are flexible, the introduction of a collateral constraint on borrowing and the consideration of durables as collateral assets generate both a correct sectoral co-movement and a procyclical response of durable consumption to policy shocks. In this vein, collateral constraints act as a substitute of nominal rigidity in durable prices. However, since in the model nominal non-indexed debt and the collateral constraint generate alternative channels for monetary non-neutrality, our framework leaves room for relaxing the assumption of price stickiness also for nondurable goods prices, in line with some recent micro-based evidence. In a limit case of fully flexible prices in both sectors, a policy shock still generates a sizeable degree of monetary non-neutrality, as well as the correct sectoral co-movement. In this vein, collateral constraints act as a substitute of price stickiness altogether. |
| 主题 | International Macroeconomics
|
| 关键词 | Durable goods
Sticky prices
Collateral constraint
|
| URL | https://cepr.org/publications/dp5916
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534752
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推荐引用方式
GB/T 7714 |
Tommaso Monacelli. DP5916 New Keynesian Models, Durable Goods and Collateral Constraints. 2006.
|
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