G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11499
DP11499 Country Portfolios, Collateral Constraints and Optimal Monetary Policy
Alan Sutherland; Ozge Senay
发表日期2016-09-15
出版年2016
语种英语
摘要Recent literature shows that, when international financial trade is absent, optimal policy deviates significantly from strict inflation targeting, but when there is trade in equities and bonds, optimal policy is close to strict inflation targeting. A separate line of literature shows that collateral constraints can imply that cross-border portfolio holdings act as a shock transmission mechanism which significantly undermines risk sharing. This raises an important question: does asset trade in the presence of collateral constraints imply a greater role for monetary policy as a risk sharing device? This paper finds that the combination of asset trade with collateral constraints does imply a potentially large welfare gain from optimal policy (relative to inflation targeting). However, the welfare gain of optimal policy is even larger when there is no international asset trade (but collateral constraints bind within each country). In other words, the risk sharing role of asset trade tends to reduce the welfare gains from policy optimisation even when collateral constraints act as a shock transmission mechanism. This is true even when there are large and persistent collateral constraint shocks.
主题International Macroeconomics and Finance
关键词Optimal monetary policy Financial market structure Country portfolios Collateral constraints
URLhttps://cepr.org/publications/dp11499
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540313
推荐引用方式
GB/T 7714
Alan Sutherland,Ozge Senay. DP11499 Country Portfolios, Collateral Constraints and Optimal Monetary Policy. 2016.
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