| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13207 |
| 来源ID | Working Paper 13207 |
| Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration | |
| Marvin Goodfriend; Bennett T. McCallum | |
| 发表日期 | 2007-06-29 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The paper reconsiders the role of money and banking in monetary policy analysis by including a banking sector and money in an optimizing model otherwise of a standard type. The model is implemented quantitatively, with a calibration based on U.S. data. It is reasonably successful in providing an endogenous explanation for substantial steady-state differentials between the interbank policy rate and (i) the collateralized loan rate, (ii) the uncollateralized loan rate, (iii) the T-bill rate, (iv) the net marginal product of capital, and (v) a pure intertemporal rate. We find a differential of over 3 % pa between (iii) and (iv), thereby contributing to resolution of the equity premium puzzle. Dynamic impulse response functions imply pro-or-counter-cyclical movements in an external finance premium that can be of quantitative significance. In addition, they suggest that a central bank that fails to recognize the distinction between interbank and other short rates could miss its appropriate settings by as much as 4% pa. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w13207 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570876 |
| 推荐引用方式 GB/T 7714 | Marvin Goodfriend,Bennett T. McCallum. Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13207.pdf（744KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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