货币政策，居民抵押贷款和住房价格(1)

HousePrices,ResidentialMortgageCreditandMonetaryPolicyMeenakshiBasantRoiRhysMendesPreliminaryDecember2004Objectives•ShouldtheBankrespondtohousepricegrowth?•Usemodelwithafinancialacceleratorinhouseholdsectortoanswerthisquestion•AnswerthisquestioninthepresenceofdeviationsfromfundamentalsOutline•BaselineModel•Modelassessment•Deviationfromfundamentalexperiment•PolicyrulecomparisonRelatedLiterature•HouseholdFinancialAccelerator:qAokietal.(2002)qIacoviello(2004)ModelOverview•2typesofhouseholds:patientandimpatient•Financialintermediary•Houseproducers•Intermediategoodproducers•Finalgoodproducers•MonetaryauthorityPatientConsumers()[]pjtpjtpjtjtptBLHCLHCEtptptpt+++∞=-++∑++1logloglogmax0,,,11xgb()()pjtjtjtpjtjtpjtjtpjtpjtpjtjtpjtpjtjtpjtjtVDRLWTDHHHQHHQCP+++++++++++++++++++++=++⎟⎟⎠⎞⎜⎜⎝⎛Φ+--+1111dsubjectto:21112⎟⎟⎠⎞⎜⎜⎝⎛-=⎟⎟⎠⎞⎜⎜⎝⎛Φ++++++pjtpjtpjtpjtHHHHfwhere:ImpatientConsumers()[]ijtijtijtjtitBLHCLHCEtititit+++∞=-++∑++1logloglogmax0,,,11xgb()()11111+++++-+++++++++++++=+⎟⎟⎠⎞⎜⎜⎝⎛Φ+--+jtijtjtjtjtijtijtijtjtijtijtjtijtjtBLWBZHHHQHHQCPdsubjectto:Inequilibrium:jtjtjtjtjtRHQBZ+++++++⎟⎟⎠⎞⎜⎜⎝⎛=11yHouseProducers()tttttIIIIIF⎥⎥⎦⎤⎢⎢⎣⎡⎟⎟⎠⎞⎜⎜⎝⎛--=--211121,h()[]jtjtjtjtjtjpjtjptIIPIIFQEt++-+++∞=+-∑10,maxlbEvolutionprocessforhousingstock:Houseproducers’profitmaximizationproblem:where()()11,1-+=--ttttIIFHHdFinalGoodProducer•Technology:•Profitmaximizationimplies:()1101--⎥⎦⎤⎢⎣⎡=∫eeeedzzYYtt()()ttttYPzPzYe-⎟⎟⎠⎞⎜⎜⎝⎛=IntermediateGoodProducers•Intermediategoodisproducedbyamonopolistwithtechnology:•Theyhirelabourinaperfectlycompetitivemarket()1,0∈z()()a-=1zLAzYttPolicyReactionFunction()[]tRtytRtRtyRR,1ˆˆ1ˆˆempmrrp++-+=-KeyParameterValuesC/Hratioof0.350.09?2.48?0.042?SSEFPof245bpsSSannualrealinterestrateof2percentTarget0.025d0.989ßi0.995ßpCalibratedValueParameterRiseof100bpsinInterestRateRandomDeviationFromFundamental•Thefundamentalpriceofhousingisstilldeterminedbythelinearizedadjustmentcostequation:•Theobservedmarketpriceofhousing:tttvqsˆˆˆ+=()()tttptttIIEIIqˆˆˆˆˆ111---=++-hbhRandomDeviationFromFundamental•Deviationprocess:•Auto-correlatedinnovationallowsdeviationtoincreaseforseveralperiodsafterinitialshockuttutttvtuuuvverr+=+=--11ˆˆˆˆˆDeviationFromFundamentalPolicyPossibilityFrontiers()[]tRtstytRtRtsyRR,1ˆˆˆ1ˆˆemmpmrrp+++-+=-()[]tRtbtytRtRtbyRR,1ˆˆˆ1ˆˆemmpmrrp+++-+=-Conclusion-Findings•RespondingmildlytohousepricegrowthmayreduceinflationandoutputvariabilitiesConclusion–FutureWork•Considerotherwaysofmodelingdeviationfromfundamental•Addressnon-lineareffectsofaprolongeddeviationfromfundamentals•IntroduceotherfrictionstoimprovedynamicsofinflationandoutputConclusion–FutureWork•Inthepresenceofnon-fundamentalhousepricemovements,whatistheoptimalhorizonforreturninginflationbacktotarget?InterestRateRiseof100bps(2)InterestRateRiseof100bps(3)InterestRateRiseof100bps(4)PositiveTechnologyShock(1)PositiveTechnologyShock(2)PositiveTechnologyShock(3)PositiveGovernmentSpendingShock(1)PositiveGovernmentSpendingShock(2)PositiveGovernmentSpendingShock(3)DeviationfromFundamental(2)DeviationfromFundamental(3)