Banking and interest rates in monetary policy analysis: a quantitative exploration
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 end...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13207 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | Literaturverz. S. 41 - 43 |
| Beschreibung: | 43 S. graph. Darst. 22 cm |
Internformat
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| 245 | 1 | 0 | |a Banking and interest rates in monetary policy analysis |b a quantitative exploration |c Marvin Goodfriend ; Bennett T. McCallum |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13207 | |
| 500 | |a Literaturverz. S. 41 - 43 | ||
| 520 | 8 | |a 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. | |
| 700 | 1 | |a McCallum, Bennett T. |d 1935-2022 |e Verfasser |0 (DE-588)124083889 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 13207 |w (DE-604)BV002801238 |9 13207 | |
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| id | DE-604.BV023593115 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908445 |
| oclc_num | 255494589 |
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| physical | 43 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Goodfriend, Marvin 1950-2019 Verfasser (DE-588)12883241X aut Banking and interest rates in monetary policy analysis a quantitative exploration Marvin Goodfriend ; Bennett T. McCallum Cambridge, Mass. National Bureau of Economic Research 2007 43 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13207 Literaturverz. S. 41 - 43 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. McCallum, Bennett T. 1935-2022 Verfasser (DE-588)124083889 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13207 (DE-604)BV002801238 13207 http://papers.nber.org/papers/w13207.pdf kostenfrei Volltext |
| spellingShingle | Goodfriend, Marvin 1950-2019 McCallum, Bennett T. 1935-2022 Banking and interest rates in monetary policy analysis a quantitative exploration |
| title | Banking and interest rates in monetary policy analysis a quantitative exploration |
| title_auth | Banking and interest rates in monetary policy analysis a quantitative exploration |
| title_exact_search | Banking and interest rates in monetary policy analysis a quantitative exploration |
| title_exact_search_txtP | Banking and interest rates in monetary policy analysis a quantitative exploration |
| title_full | Banking and interest rates in monetary policy analysis a quantitative exploration Marvin Goodfriend ; Bennett T. McCallum |
| title_fullStr | Banking and interest rates in monetary policy analysis a quantitative exploration Marvin Goodfriend ; Bennett T. McCallum |
| title_full_unstemmed | Banking and interest rates in monetary policy analysis a quantitative exploration Marvin Goodfriend ; Bennett T. McCallum |
| title_short | Banking and interest rates in monetary policy analysis |
| title_sort | banking and interest rates in monetary policy analysis a quantitative exploration |
| title_sub | a quantitative exploration |
| url | http://papers.nber.org/papers/w13207.pdf |
| volume_link | (DE-604)BV002801238 |
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