【PPT精品课件】货币金融学7版英文课件--ch26-大学课

Chapter26TransmissionMechanismsofMonetaryPolicy:TheEvidence©2005PearsonEducationCanadaInc.26-2TwoTypesofEmpiricalEvidenceStructuralModelEvidenceMiIYReducedFormEvidenceM?YStructuralModelEvidenceAdvantages:1.UnderstandcausationbecausemoreinformationonlinkbetweenMandY2.KnowinghowMaffectsYhelpsprediction3.CanpredicteffectsofinstitutionalchangesthatchangelinkfromMtoYDisadvantages:1.Structuralmodelmaybewrong,negatingalladvantages©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.26-3ReducedFormEvidenceAdvantages:1.NorestrictionsonhowMaffectsY:betterabletofindlinkfromMtoYDisadvantages:1.Reversecausationpossible2.ThirdfactormayproducecorrelationofMandY26-4EarlyKeynesianEvidenceEvidence:1.GreatDepression:ionT-bondstolowlevelsmonetarypolicywas“easy”2.NostatisticallinkfromitoI3.Surveys:nolinkfromitoIObjectionstoKeynesianevidenceProblemswithstructuralmodel1.ionT-bondsnotrepresentativeduringDepression:iveryhighonlow-gradebonds:Figure1inCh.62.irmorerelevantthani:irhighduringDepression:Figure13.MsduringDepression(FriedmanandSchwartz):money“tight”4.WrongstructuralmodeltolookatlinkofiandI,shouldlookatirandI:evidencein1and2suspect©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.26-5RealandNominalInterestRates©2005PearsonEducationCanadaInc.26-6EarlyMonetaristEvidenceMonetaristevidenceisreducedformTimingEvidence(FriedmanandSchwartz)1.PeakinMsgrowth16monthsbeforepeakinYonaverage2.LagisvariableCriticisms:1.Usesprinciple:Posthoc,ergopropterhoc2.Principleonlyvalidiffirsteventisexogenous:i.e.,ifhavecontrolledexperiment3.Hypotheticalexample(Fig2):ReversecausationfromYtoMandyetMsgrowthleadsY©2005PearsonEducationCanadaInc.26-7HypotheticalExampleinWhichM/MleadsY©2005PearsonEducationCanadaInc.26-8StatisticalEvidenceHorserace:correlationofAvsMwithY;FriedmanandMeiselman,MwinsCriticisms:1.ReversecausationfromYtoM,orthirdfactordrivingMandYarepossible2.Keynesianmodeltoosimple,unfairhandicap3.AmeasurepoorlyconstructedPostmortemwithdifferentmeasuresofA:noclear-cutvictory©2005PearsonEducationCanadaInc.26-9HistoricalEvidenceFriedmanandSchwartz:MonetaryHistoryoftheU.S.1.ImportantascriticismofKeynesianevidenceonGreatDepression2.DocumentstimingevidenceMoreconvincingthanothermonetaristevidence:Episodesarealmostlike“controlledexperiments”1.Posthoc,ergopropterhocapplies2.Historyallowsrulingoutofreversecausationandthirdfactor:e.g.,1936–37riseinreserverequirementsand1937-38recession©2005PearsonEducationCanadaInc.26-10MonetaryTransmissionMechanismsTraditionalInterest-RateChannels:M,ir,I,YTheinterestratechannelofmonetarytransmissionappliesequallytoC.Also,itplacesemphasisonirratherthani.Moreover,itisthelong-termirandnottheshort-termirthatisviewedashavingthemajorimpactonCandIspending.WithstickyP,aninMleadstoainshorttermiandalsoshorttermir.Accordingtotheexpectationshypothesisofthetermstructureofinterestrates,thisalsolong-termir.Theinshort-andlong-termirleadstoaninCandIspending.Note:TheinterestratetransmissionmechanismiseffectiveevenwhenihasalreadybeendriventozerobytheMAduringadeflationaryperiod.Withi=0,M,Pe,e,ir,CandI,Y©2005PearsonEducationCanadaInc.26-11MonetaryTransmissionMechanismsOtherAssetChannelsExchangeRateChannel:M,ir,E,NX,YWhenirthedomesticcurrencydepreciates(seeChapter7),thatisE.ThismakesdomesticgoodsrelativelylessexpensiveandNX.Recentworkindicatesthattheexchangeratetransmissionmechanismplaysanimportantroleinhowmonetarypolicyaffectstheeconomy.$euroE©2005PearsonEducationCanadaInc.26-12MonetaryTransmissionMechanismsOtherAssetChannelsTobin’sqChannel:whereMVF=marketvalueoffirmsandRCC=replacementcostofcapital.Ifqishigh,MFVishighrelativetoRCC,andnewplantandequipmentcapitalischeaprelativetothemarketvalueoffirms.Inthiscase,companiescanissuestockandgetahighpriceforitrelativetothecostofthefacilitiesandequipmenttheyarebuying.Ibecausefirmscanbuyalotofnewinvestmentgoodswithonlyasmallissueofstock.ThetransmissionmechanismformonetarypolicyisM,Pe,q,I,YwherePeisthepriceofequity(nottheexpectedpricelevel)RCCMVFq©2005PearsonEducationCanadaInc.26-13MonetaryTransmissionMechanismsOtherAssetChannelsWealthChannel:WasintroducedbyFrancoModiglianiinhisfamous“lifecyclehypothesisofconsumption.”Hearguedthatthemostimportanttransmissionmechanismofmonetarypolicyinvolvesconsumption.Consideringthatanexpansionarymonetarypolicystockprices,thewealthtransmissionmechanismworksasfollows:M,Pe,W,C,YNote:Tobin’sqandwealthmechanismsallowforageneraldefinitionofequitythatincludeshousingandland.Forexample,aninhouseprices,whichtheirvaluerelativetoreplacementcost,Tobin’sqforhousing,therebystimulatingitsproduction.Also,aninhousingandlandpricesW,therebyCandY.©2005PearsonEducationCanadaInc.26-14CreditViewThisviewproposesthattwotypesofmonetarytransmissionchannelsariseasaresultofinformationproblems(suchasadverseselectionandmoralhazardproblems)increditmarkets.ThesechannelsoperatethroughtheireffectsonA.Banklending,andB.Firms’andhouseholds’balancesheetsNote:Adverseselectionisanasymmetricinformationproblemthatoccursbeforethetransactiono