Banking and interest rates in monetary policy analysis: A quantitative exploration Export

@article{citeulike:1574720, abstract = {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 US 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\% p.a. 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\% p.a. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate.}, author = {Goodfriend, Marvin and Mccallum, Bennett T.}, booktitle = {Carnegie-Rochester Conference Series on Public Policy: Issues in Current Monetary Policy Analysis November 10-11, 2006}, citeulike-article-id = {1574720}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jmoneco.2007.06.009}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VBW-4P12J75-5/2/dd074a44b2d2a47f3ee77fee1f9ca035}, doi = {10.1016/j.jmoneco.2007.06.009}, journal = {Journal of Monetary Economics}, keywords = {banking, macroeconomics, monetary\_policy}, month = {July}, number = {5}, pages = {1480--1507}, posted-at = {2007-08-19 05:51:19}, priority = {3}, title = {Banking and interest rates in monetary policy analysis: A quantitative exploration}, url = {http://dx.doi.org/10.1016/j.jmoneco.2007.06.009}, volume = {54}, year = {2007} }

TY - JOUR ID - citeulike:1574720 L3 - citeulike-article-id:1574720 N2 - 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 US 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% p.a. 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% p.a. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate. IS - 5 JF - Journal of Monetary Economics EP - 1507 TI - Banking and interest rates in monetary policy analysis: A quantitative exploration VL - 54 T2 - Carnegie-Rochester Conference Series on Public Policy: Issues in Current Monetary Policy Analysis November 10-11, 2006 SP - 1480 KW - banking KW - macroeconomics KW - monetary_policy AU - Goodfriend, Marvin AU - Mccallum, Bennett PY - 2007/07// UR - http://dx.doi.org/10.1016/j.jmoneco.2007.06.009 ER -