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題名:
The Monetary Transmission Mechanism within a Two-sector Model
書刊名:
經濟論文叢刊
作者:
陳一德
/
蔡宜展
作者(外文):
Chen, I-te
/
Tsai, Yi-chan
出版日期:
2021
卷期:
49:1
頁次:
頁1-32
主題關鍵詞:
營運資金
;
消費慣性
;
耐久財
;
貝氏估計
;
Working capital
;
Habit formation
;
Durable good
;
Bayesian estimation business cycle
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:0
本文擴充傳統兩部門隨機動態模型,考慮廠商的借貸行爲及消費者的消費慣性,我們使用貝氏方法去估計其相關參數。估計結果顯示營運資金及消費慣性都是影響貨幣傳導機制的重要因素。此外,在兩部門中因不同部門對營運資金需求的差異,在給定相同的貨幣衝擊下,對兩部門的價格有不同的影響,進而造成其相對價格的變動。這是本文發現新的貨幣傳導機制,相較於傳統的模型,有考慮廠商營運資金及消費慣性的兩部門模型更能貼近現實社會。
以文找文
This paper uses a Bayesian approach to estimate a two-sector sticky price model with working capital and habit formation. The estimated degrees of working capital and habit formation are all well above zero, suggesting the existence of both channels. Furthermore, we identify a new monetary policy transmission mechanism that operates through the inflation dynamics of the relative prices due to the heterogeneous degrees of working capital across sectors. Furthermore the estimated model with working capital and habit formation simultaneously accounts for the co-movement between durables and non-durables and the more sensitive response in the durable goods sector to monetary policy shocks as documented in previous studies. Using log marginal likelihood, the model with working capital and habit formation outperforms its counterpart without either of these mechanisms.
以文找文
期刊論文
1.
Smets, Frank、Wouters, Raf(2007)。Shocks and Frictions in US Business Cycles: A Bayesian Approach。American Economic Review,97(3),586-606。
2.
Christiano, Lawrence J.、Eichenbaum, Martin、Evans, Charles L.(2005)。Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy。Journal of Political Economy,113(1),1-45。
3.
Neumeyer, Pablo A.、Perri, Fabrizio(2005)。Business Cycles in Emerging Economies: The Role of Interest Rates。Journal of Monetary Economics,52(2),345-380。
4.
Barsky, Robert B.、House, Christopher L.、Kimball, Miles S.(2007)。Sticky price models and durable goods。American Economic Review,97(3),984-998。
5.
Carlstrom, Charles T.、Fuerst, Timothy S.(2010)。Nominal rigidities, residential investment, and adjustment costs。Macroeconomic Dynamics,14(1),136-148。
6.
Justiniano, Alejandro、Primiceri, Giorgio E.、Tambalotti, Andrea(2010)。Investment shocks and business cycles。Journal of Monetary Economics,57(2),132-145。
7.
Dedola, Luca、Lippi, Francesso(2005)。The monetary transmission mechanism: Evidence from the industries of five OECD countries。European Economic Review,49(6),1543-1569。
8.
Bils, Mark、Klenow, Peter J.(2004)。Some evidence on the importance of sticky prices。Journal of Political Economy,112(5),947-985。
9.
Khan, Hashmat、Tsoukalas, John(2011)。Investment shocks and the comovement problem。Journal of Economic Dynamics and Control,35(1),115-130。
10.
Fernández-Villaverde, Jesús、Rubio-Ramírez, Juan Francisco(2004)。Comparing dynamic equilibrium models to data: A Bayesian approach。Journal of Econometrics,123(1),153-187。
11.
Smets, Frank、Wouters, Raf(2003)。An estimated dynamic stochastic general equilibrium model of the euro area。Journal of the European economic association,1(5),1123-1175。
12.
Engel, Charles、Wang, Jian(2011)。International trade in durable goods: Understanding volatility, cyclicality, and elasticities。Journal of International Economics,83(1),37-52。
13.
Dey, Jaya、Tsai, Yi-Chan(2017)。Explaining the Durable Goods Co-Movement Puzzle: A Bayesian Approach。Journal of Macroeconomics,52,75-99。
14.
Justiniano, Alejandro、Primiceri, Giorgio E.、Tambalotti, Andrea(2011)。Investment Shocks and the Relative price of Investment。Review of Economic Dynamics,14(1),102-121。
15.
Kim, Kwang Hwan、Katayama, Munechika(2013)。Non-separability and sectoral comovement in a sticky price model。Journal of Economic Dynamics and Control,37(9),1715-1735。
16.
Rabanal, Pau、Tuesta, Vicente(2010)。Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: An Assessment。Journal of Economic Dynamics and Control,34(4),780-797。
17.
Ravenna, Federico、Walsh, Carl E.(2006)。Optimal Monetary Policy with the Cost Channel。Journal of Monetary Economics,53,199-216。
18.
Sudo, Nao(2012)。Sectoral Comovement, Monetary Policy Shocks, and Input--Output Structure。Journal of Money, Credit and Banking,44(6),1225-1244。
19.
Tsai, Yi-Chan(2016)。What Do Working Capital And Habit Tell Us About The Co-Movement Problem?。Macroeconomic Dynamics,20(1),342-361。
圖書論文
1.
Barth, Marvin J. III、Ramey, Valerie A.(2002)。The Cost Channel of Monetary Transmission。NBER Macroeconomics Annual 2001。
2.
Lubik, Thomas、Schorfheide, Frank(2006)。A Bayesian Look at New Open Economy Macroeconomics。NBER Macroeconomics Annual 2005。
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