Résultats de recherche
Creator: Lagos, Ricardo and Zhang, Shengxing Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 734 Abstract:
We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence.
Mot-clé: Liquidity, Monetary transmission, Monetary policy, and Asset prices Assujettir: G12 - Asset Pricing; Trading Volume; Bond Interest Rates, D83 - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness, and E52 - Monetary Policy
Creator: Christiano, Lawrence J., Eichenbaum, Martin S., and Evans, Charles, 1958- Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 227 Abstract:
We provide new evidence that models of the monetary transmission mechanism should be consistent with at least the following facts. After a contractionary monetary policy shock, the aggregate price level responds very little, aggregate output falls, interest rates initially rise, real wages decline by a modest amount, and profits fall. We compare the ability of sticky price and limited participation models with frictionless labor markets to account for these facts. The key failing of the sticky price model lies in its counterfactual implications for profits. The limited participation model can account for all the above facts, but only if one is willing to assume a high labor supply elasticity (2 percent) and a high markup (40 percent). The shortcomings of both models reflect the absence of labor market frictions, such as wage contracts or factor hoarding, which dampen movements in the marginal cost of production after a monetary policy shock.
Mot-clé: Mechanism, Prices, Credit, and Monetary transmission Assujettir: E30 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)