Agency costs, net worth, and the transmission mechanism of monetary policy:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin
VWF, Verl. für Wiss. und Forschung
2000
|
| Edition: | 1. Aufl. |
| Series: | Akademische Abhandlungen zu den Wirtschaftswissenschaften
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Bonn, Univ., Diss., 2000 |
| ISBN: | 3897002876 |
Staff View
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| 245 | 1 | 0 | |a Agency costs, net worth, and the transmission mechanism of monetary policy |c Christian Fachat |
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Record in the Search Index
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| adam_text | Contents
1 Introduction and Motivation 1
2 The Monetary Transmission Mechanism 5
2.1 Theoretical Observations 5
2.1.1 Money Channel 5
2.1.2 Credit Channel 7
2.1.2.1 Balance Sheet Channel 7
2.1.2.2 Bank Lending Channel 9
2.1.3 Other Transmission Channels 11
2.2 Empirical Evidence 12
2.2.1 Measuring Monetary Policy 13
2.2.2 Data Sets 15
2.2.2.1 Aggregate Data 15
2.2.2.2 Cross Sectional Data 20
2.3 Conclusion 22
3 The Stochastic Growth Model 25
3.1 The Basic RBC Model 26
3.1.1 Environment 27
3.1.1.1 Households 27
3.1.1.2 Firm 29
3.1.1.3 Stochastic Process 29
3.1.2 Equilibrium 30
3.1.3 Solution and Approximation 31
I
11 CONTESTS
3.1.4 Simulation 36
3.2 Monetary Models 42
3.2.1 A Cash in Advance Model 43
3.2.1.1 Environment 43
3.2.1.2 Calibration 45
3.2.1.3 Simulation 45
3.2.2 A Limited Participation Model 55
3.2.2.1 Environment 55
3.2.2.2 Calibration 56
3.2.2.3 Simulation 56
3.3 Credit Market Imperfections 62
I 3.3.1 The Microtheoretical Literature on Credit Market Imper¬
fections 62
3.3.2 RBC Models with Credit Market Frictions 65
4 Investment Model 71
4.1 Introduction 71
4.2 The Financial Contracts 73
4.3 The Computable General Equilibrium Model 78
4.3.1 Households 81
4.3.2 Firms g4
4.3.3 Entrepreneurs 85
4.3.4 Financial Intermediary 87
4.3.5 General Equilibrium 89
4.4 Quantitative Properties 92
4.4.1 Calibration 92
4.4.2 Solution 94
4.4.3 Simulation 95
4.4.3.1 Monetary Shock 96
4.4.3.2 Technology Shock 107
4.4.3.3 Second Moment Properties 112
4.5 Conclusion 114
CONTENTS III
5 Output Model 117
5.1 Introduction 117
5.2 A General Equilibrium Model of the Credit Channel 118
5.2.1 Households 119
5.2.2 Firms 121
5.2.3 Financial Intermediary 124
5.2.4 Monetary Authority 127
5.2.5 General Equilibrium 128
5.3 Quantitative Properties 131
5.3.1 Calibration 132
5.3.2 Solution 133
5.3.3 Simulation 134
5.3.3.1 Monetary Shock 136
5.3.3.2 Second Moment Properties 145
5.4 Conclusion 147
6 Concluding Remarks 149
Bibliography 154
List of Figures
3.1 Impulse response of technology 0 to a shock in technology in the
basic RBC model 38
3.2 Impulse response of labor to a shock in technology in the basic
RBC model 39
3.3 Impulse response of output to a shock in technology in the basic
RBC model 39
3.4 Impulse response of consumption to a shock in technology in the
basic RBC model 40
3.5 Impulse response of investment to a shock in technology in the
basic RBC model 40
3.6 Impulse response of capital to a shock in technology in the basic
RBC model 41
3.7 Impulse response of technology 0 to a shock in technology in the
cash in advance model 47
3.8 Impulse response of labor to a shock in technology in the cash in
advance model 47
3.9 Impulse response of output to a shock in technology in the cash
in advance model 48
3.10 Impulse response of consumption to a shock in technology in the
cash in advance model 48
3.11 Impulse response of investment to a shock in technology in the
cash in advance model 49
V
VI LIST OF FIGURES
3.12 Impulse response of capital to a shock in technology in the cash
in advance model 49
3.13 Impulse response of money growth , to a shock in the money
growth rate in the cash in advance model 51
3.14 Impulse response of labor to a shock in the money growth rate in
the cash in advance model 51
3.15 Impulse response of output to a shock in the money growth rate in
the cash in advance model 52
3.16 Impulse response of consumption to a shock in the money growth
rate in the cash in advance model 52
3.17 Impulse response of investment to a shock in the money growth
rate in the cash in advance model 53
3.18 Impulse response of capital to a shock in the money growth rate
in the cash in advance model 53
3.19 Impulse response of nominal interest rate to a shock in the money
growth rate in the cash in advance model 54
3.20 Impulse response of price level to a shock in the money growth
rate in the cash in advance model 54
3.21 Impulse response of money growth , to a shock in the money
growth rate in the limited participation model 57
3.22 Impulse response of labor to a shock in the money growth rate in
the limited participation model 58
3.23 Impulse response of output to a shock in the money growth rate in
the limited participation model 58
3.24 Impulse response of consumption to a shock in the money growth
rate in the limited participation model 59
3.25 Impulse response of investment to a shock in the money growth
rate in the limited participation model 59
3.26 Impulse response of capital to a shock in the money growth rate
in the limited participation model 60
LIST OF FIGURES VII
3.27 Impulse response of nominal interest rate to a shock in the money
growth rate in the limited participation model 60
3.28 Impulse response of price level to a shock in the money growth
rate in the limited participation model 61
4.1 Time structure of the investment model 80
4.2 Impulse response of output to a shock in the money growth rate in
the investment model 102
4.3 Impulse response of household labor input to a shock in the money
growth rate in the investment model 102
4.4 Impulse response of interest rate on loans to a shock in the money
growth rate in the investment model 103
4.5 Impulse response of interest rate on deposits to a shock in the
money growth rate in the investment model 103
4.6 Impulse response of real wage of households to a shock in the
money growth rate in the investment model 104
4.7 Impulse response of investment to a shock in the money growth
rate in the investment model 104
4.8 Impulse response of relative price of capital to a shock in the
money growth rate in the investment model 105
4.9 Impulse response of consumption price to a shock in the money
growth rate in the investment model 105
4.10 Impulse response of entrepreneurial consumption to a shock in the
money growth rate in the investment model 106
4.11 Impulse response of output to a shock in technology in the invest¬
ment model 109
4.12 Impulse response of investment to a shock in technology in the
investment model 109
4.13 Impulse response of capital to a shock in technology in the invest¬
ment model 110
4.14 Impulse response of relative price of capital to a shock in technol¬
ogy in the investment model 110
VIII LIST OF FIGURES
4.15 Impulse response of entrepreneurial consumption to a shock in
technology in the investment model Ill
4.16 Impulse response of entrepreneurial money holding to a shock in
technology in the investment model Ill
5.1 Impulse response of labor input to a shock in the money growth
rate in the output model 141
5.2 Impulse response of output to a shock in the money growth rate in
the output model 141
5.3 Impulse response of real wage rate to a shock in the money growth
rate in the output model 142
5.4 Impulse response of interest rate on deposits to a shock in the
money growth rate in the output model 142
5.5 Impulse response of interest rate on loans to a shock in the money
growth rate in the output model 143
5.6 Impulse response of household consumption to a shock in the
money growth rate in the output model 143
5.7 Impulse response of price level to a shock in the money growth
rate in the output model 144
List of Tables
2.1 Cyclical behavior of the U.S. economy: Deviations from trend of
key variables, 1954:1 1991:11 17
3.1 Parameter values for the basic RBC model 34
3.2 Parameter values for the monetary RBC models 46
3.3 RBC models with credit market frictions 70
4.1 Parameter values for the investment model 94
4.2 Second moment properties of the U.S. economy (1954:1 1991:11),
the investment model, and the two reference models 112
5.1 Parameter values for the output model 134
5.2 Second moment properties of the U.S. economy (1954:1 1991:11),
the output model, and the two reference models 145
IX
|
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| spelling | Fachat, Christian Verfasser aut Agency costs, net worth, and the transmission mechanism of monetary policy Christian Fachat 1. Aufl. Berlin VWF, Verl. für Wiss. und Forschung 2000 txt rdacontent n rdamedia nc rdacarrier Akademische Abhandlungen zu den Wirtschaftswissenschaften Zugl.: Bonn, Univ., Diss., 2000 Hochschulschrift gtt Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd rswk-swf Transmissionsmechanismus (DE-588)4117242-5 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Asymmetrische Information (DE-588)4120934-5 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Asymmetrische Information (DE-588)4120934-5 s Geldpolitik (DE-588)4019902-2 s Transmissionsmechanismus (DE-588)4117242-5 s Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009166837&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fachat, Christian Agency costs, net worth, and the transmission mechanism of monetary policy Hochschulschrift gtt Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Transmissionsmechanismus (DE-588)4117242-5 gnd Geldpolitik (DE-588)4019902-2 gnd Asymmetrische Information (DE-588)4120934-5 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4210294-7 (DE-588)4117242-5 (DE-588)4019902-2 (DE-588)4120934-5 (DE-588)4073788-3 (DE-588)4113937-9 |
| title | Agency costs, net worth, and the transmission mechanism of monetary policy |
| title_auth | Agency costs, net worth, and the transmission mechanism of monetary policy |
| title_exact_search | Agency costs, net worth, and the transmission mechanism of monetary policy |
| title_full | Agency costs, net worth, and the transmission mechanism of monetary policy Christian Fachat |
| title_fullStr | Agency costs, net worth, and the transmission mechanism of monetary policy Christian Fachat |
| title_full_unstemmed | Agency costs, net worth, and the transmission mechanism of monetary policy Christian Fachat |
| title_short | Agency costs, net worth, and the transmission mechanism of monetary policy |
| title_sort | agency costs net worth and the transmission mechanism of monetary policy |
| topic | Hochschulschrift gtt Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Transmissionsmechanismus (DE-588)4117242-5 gnd Geldpolitik (DE-588)4019902-2 gnd Asymmetrische Information (DE-588)4120934-5 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Hochschulschrift Allgemeines Gleichgewichtsmodell Transmissionsmechanismus Geldpolitik Asymmetrische Information Kreditmarkt |
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