Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/23182 
Autor:innen: 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Working Paper No. 2004-03
Verlag: 
Rutgers University, Department of Economics, New Brunswick, NJ
Zusammenfassung: 
Following a contractionary monetary policy shock, the aggregate output decreases over time for six to eight quarters, while the real interest rate increases immediately and remains high for three quarters. Full participation models can hardly replicate the joint response of the aggregate output and the real interest rate, while limited participation models can do so only in the impact period. This paper adopts a segmented markets framework where some households are permanently excluded from financial markets. The monetary authority controls the short-term nominal interest rate, and lets the money supply be determined by the bond market. The aggregate output and the nominal interest rate are modeled as exogenous autoregressive processes, while the real interest rate is determined endogenously. When markets are segmented enough, the model is able to account for both the persistent decreasing path of the aggregate output and the persistent increase in the real interest rate which follow an unanticipated increase in the nominal interest rate. The sign, the size and the persistence of the responses of the real interest rate and the money growth rate are close to those in the data.
Schlagwörter: 
limited participation
market segmentation
monetary policy shocks
real interest rate
JEL: 
E52
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
159.21 kB





Publikationen in EconStor sind urheberrechtlich geschützt.