Korean Abstract: 본 연구는 가계 일부가 부채 누적으로 신용시장에서 일정 한도 이상으로는 차입이 어려워 기간간 소비의 평활화(smoothing)에 제약을 받는 상황이 통화정책에 미치는 영향을 금융시장의 불완전성(incomplete financial markets)이 내재된 2주체 소규모 새케인지언 구조모형(Two Agents New Keynesian Model)을 통해 분석하고 있다.
생산비용 상승이라는 경제상황 변화가 있을 때 신용시장에서 차입한도제약을 받는 차입가계와 제약을 받지 않는 저축가계가 소비 및 노동공급에 대해 보이는 비대칭적 반응은 결국 두 가계간 통화정책 전달경로의 확장으로 이어진다. 물가갭과 생산갭을 동시에 고려하여 정책금리를 결정하는 신축적 물가목표 정책의 사회후생 수준은 차입한도제약가계 비중은 물론 모든 경제 상황을 종합적으로 고려하여 정책금리를 결정하는 Ramsey 유형의 최적정책과는 비슷하고 순순하게 물가목표 달성만을 추구하는 엄격한 물가목표 정책의 사회후생 수준보다는 높았다. 이는 가계 일부가 차입한도제약을 받는 상황에서도 신축적 물가목표 정책이 여전히 유효함을 시사한다. 또한 생산비용 상승에 대하여 신축적 물가목표 정책과 최적정책 하에서 소비와 노동공급은 엄격한 물가목표 정책보다는 완만히 조정되는 것으로 나타났다.
English Abstract: This paper examines monetary policy quantitatively in a two-agent and small-scale New-Keynesian economy with debt-constrained households who cannot smooth their consumption intertemporally and frictionlessly since highly indebted households are not allowed to borrow above a certain debt ceiling in incomplete financial markets without additional risk premiums due to information asymmetry between savers and borrowers.
We find that, in the event of cost shocks, the asymmetric responses of borrowing households without and saving households with dividend incomes lead to different labor supplies and consumptions over heterogeneous households, and eventually to an extension of monetary policy transmission channels. The income effect and low elasticity of labor supply play key roles for such asymmetric responses over heterogeneous households. We also find that the social welfare in flexible inflation targeting (FIT) monetary policy, in which both the inflation gap and output gap are considered in an integrated way for policy-making, is similar to that of Ramsey optimal monetary policy (ROP), in which the shares of debt-constrained households as well as all economic states including both the inflation gap and output gap are considered comprehensively for policy-making, and greater than that of simple inflation targeting (SIT) monetary policy, in which only the inflation gap is considered mechanically for policy-making. Such social welfare implies that FIT policy may still work well even in an economy with a sizable number of debt-constrained households. Further, the responses of cost shocks to consumption and labor supply are dying out more slowly in FIT and ROP policies than in SIT policy.
korean abstract:本研究将部分家庭负债累积信用市场在一定限度,贷款困难期间之间的消费的평활화(,)受到制约的情况对货币政策的影响,金融市场的完全性(incomplete financial markets)内在的2主体小规模新凯恩斯言结构模型(two agents通过new keynesian model)正在进行分析。在生产费用上升的经济状况发生变化时，在信用市场上受到贷款限度制约的贷款家庭和不受制约的储蓄家庭对消费及劳动供给表现出的不对称反应，最终会导致两个家庭间货币政策传达途径的扩张。同时考虑物价和生产gap,政策利率决定新建物价目标政策的社会福利水平是制约家庭贷款限度比重,不仅是一切经济情况综合考虑,决定了政策利率的ramsey类型相同,最佳政策,温顺地只追求实现物价目标严格的物价目标高于政策的社会福利水平。这暗示了在部分家庭受到贷款限度限制的情况下，弹性物价目标政策依然有效。另外，对于生产费用的上升，在弹性物价目标政策和最佳政策下，消费和劳动供给比严格的物价目标政策调整得缓慢。english abstract:This paper examines monetary policy quantitatively in a two-agent and small-scale New-Keynesian economy with debt-constrained households who cannot smooth their consumption intertemporally andfrictionlessly since highly indebted households are not allowed to borove a certain debt ceiling in incomplete financial markets without additional risk premiums due to information asymmetrybetween savers and borrowers。我们find that in the event of cost shocksthe asymmetric responses of borrowing households with dividend incomes lead to different labor supplies and consumptions over heterogeneous households;and eventually to an extension of monetary policy transmission channelsThe income effect and low elasticity of labor supply play key roles for such asymmetric responses over heterogeneous households。We also find that the social welfare in flexible inflation targeting (FIT) monetary policy, in which both the inflation gap and output gap are considered in an integrated way for policy-making，is similar to that of Ramsey optimal monetary policy (ROP)in which the shares of debt-constrained households as well as all经济states including both the inflation gap and output gap are considered comprehensively for policy-making;and greater than that of simple inflation targeting (SIT) monetary policy, in which only the inflation gap is considered mechanically for policy-making。Such social welfare implies that FIT policy may still work well even in an economy with a sizable number of debt-constrained households。Further, the responses of cost shocks to consumption and labor supply are dying out more slowly in FIT and ROP policies than in SIT policy
{"title":"가계부채 제약하의 통화정책: 2주체 거시모형(TANK)에서의 정량적 분석(Monetary Policy in a Two-Agent Economy with Debt-Constrained Households)","authors":"Yongseung Jung, SungJu Song","doi":"10.2139/ssrn.3337226","DOIUrl":"https://doi.org/10.2139/ssrn.3337226","url":null,"abstract":"<b>Korean Abstract</b>: 본 연구는 가계 일부가 부채 누적으로 신용시장에서 일정 한도 이상으로는 차입이 어려워 기간간 소비의 평활화(smoothing)에 제약을 받는 상황이 통화정책에 미치는 영향을 금융시장의 불완전성(incomplete financial markets)이 내재된 2주체 소규모 새케인지언 구조모형(Two Agents New Keynesian Model)을 통해 분석하고 있다.<br><br>생산비용 상승이라는 경제상황 변화가 있을 때 신용시장에서 차입한도제약을 받는 차입가계와 제약을 받지 않는 저축가계가 소비 및 노동공급에 대해 보이는 비대칭적 반응은 결국 두 가계간 통화정책 전달경로의 확장으로 이어진다. 물가갭과 생산갭을 동시에 고려하여 정책금리를 결정하는 신축적 물가목표 정책의 사회후생 수준은 차입한도제약가계 비중은 물론 모든 경제 상황을 종합적으로 고려하여 정책금리를 결정하는 Ramsey 유형의 최적정책과는 비슷하고 순순하게 물가목표 달성만을 추구하는 엄격한 물가목표 정책의 사회후생 수준보다는 높았다. 이는 가계 일부가 차입한도제약을 받는 상황에서도 신축적 물가목표 정책이 여전히 유효함을 시사한다. 또한 생산비용 상승에 대하여 신축적 물가목표 정책과 최적정책 하에서 소비와 노동공급은 엄격한 물가목표 정책보다는 완만히 조정되는 것으로 나타났다.<br><br><b>English Abstract</b>: This paper examines monetary policy quantitatively in a two-agent and small-scale New-Keynesian economy with debt-constrained households who cannot smooth their consumption intertemporally and frictionlessly since highly indebted households are not allowed to borrow above a certain debt ceiling in incomplete financial markets without additional risk premiums due to information asymmetry between savers and borrowers.<br><br>We find that, in the event of cost shocks, the asymmetric responses of borrowing households without and saving households with dividend incomes lead to different labor supplies and consumptions over heterogeneous households, and eventually to an extension of monetary policy transmission channels. The income effect and low elasticity of labor supply play key roles for such asymmetric responses over heterogeneous households. We also find that the social welfare in flexible inflation targeting (FIT) monetary policy, in which both the inflation gap and output gap are considered in an integrated way for policy-making, is similar to that of Ramsey optimal monetary policy (ROP), in which the shares of debt-constrained households as well as all economic states including both the inflation gap and output gap are considered comprehensively for policy-making, and greater than that of simple inflation targeting (SIT) monetary policy, in which only the inflation gap is considered mechanically for policy-making. Such social welfare implies that FIT policy may still work well even in an economy with a sizable number of debt-constrained households. Further, the responses of cost shocks to consumption and labor supply are dying out more slowly in FIT and ROP policies than in SIT policy.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125164443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper uses a New-Keynesian model with multiple monetary assets to show that if the choice of instrument is based solely on its propensity to predict macroeconomic targets, a central bank may choose an inferior policy instrument. We compare a standard interest rate rule to a k-percent rule for three alternative monetary aggregates determined within our model: the monetary base, the simple sum measure of money, and the Divisia measure. Welfare results are striking. While the interest rate dominates the other two monetary aggregate k-percent rules, the Divisia k-percent rule outperforms the interest rate rule. Next we study the ability of Granger Causality tests ? in the context of data generated from our model ? to correctly identify welfare improving instruments. All of the policy instruments considered, except for Divisia, Granger Cause both output and prices at extremely high levels of significance. Divisia fails to Granger Cause prices despite the Divisia rule stabilizing inflation better than these alternative policy instruments. The causality results are robust to using a popular version of the Sims Causality test for which we show standard asymptotics remain valid when the variables are integrated, as in our case.
{"title":"The Optimal Monetary Instrument and the (Mis)Use of Causality Tests","authors":"John W. Keating, A. Smith","doi":"10.2139/ssrn.3297804","DOIUrl":"https://doi.org/10.2139/ssrn.3297804","url":null,"abstract":"This paper uses a New-Keynesian model with multiple monetary assets to show that if the choice of instrument is based solely on its propensity to predict macroeconomic targets, a central bank may choose an inferior policy instrument. We compare a standard interest rate rule to a k-percent rule for three alternative monetary aggregates determined within our model: the monetary base, the simple sum measure of money, and the Divisia measure. Welfare results are striking. While the interest rate dominates the other two monetary aggregate k-percent rules, the Divisia k-percent rule outperforms the interest rate rule. Next we study the ability of Granger Causality tests ? in the context of data generated from our model ? to correctly identify welfare improving instruments. All of the policy instruments considered, except for Divisia, Granger Cause both output and prices at extremely high levels of significance. Divisia fails to Granger Cause prices despite the Divisia rule stabilizing inflation better than these alternative policy instruments. The causality results are robust to using a popular version of the Sims Causality test for which we show standard asymptotics remain valid when the variables are integrated, as in our case.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126012017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
How does the presence of financial frictions alter the Phillips curve and the conduct of optimal monetary policy? I investigate this question in a tractable small-scale New Keynesian DSGE model with a financial accelerator. The accelerator amplifies shocks, decreases the slope of the Phillips curve and renders forward-looking behavior more relevant for current macroeconomic dynamics. I show analytically that these three factors imply an inflationary bias of discretionary monetary policy relative to the standard model and a stabilization bias relative to commitment policy. A conservative central banker who places a larger weight on inflation stabilization than society is able to reduce both biases and closely mimics the optimal policy under commitment. The required degree of inflation conservatism increases in the degree to which financial frictions are present.
{"title":"Financial Frictions, the Phillips Curve and Monetary Policy","authors":"Philipp Lieberknecht","doi":"10.2139/ssrn.3546232","DOIUrl":"https://doi.org/10.2139/ssrn.3546232","url":null,"abstract":"How does the presence of financial frictions alter the Phillips curve and the conduct of optimal monetary policy? I investigate this question in a tractable small-scale New Keynesian DSGE model with a financial accelerator. The accelerator amplifies shocks, decreases the slope of the Phillips curve and renders forward-looking behavior more relevant for current macroeconomic dynamics. I show analytically that these three factors imply an inflationary bias of discretionary monetary policy relative to the standard model and a stabilization bias relative to commitment policy. A conservative central banker who places a larger weight on inflation stabilization than society is able to reduce both biases and closely mimics the optimal policy under commitment. The required degree of inflation conservatism increases in the degree to which financial frictions are present.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128785275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
After reading Krugman's, Coulter's, Conway's reviews respectively in "The Guardian", "LSE Review of Books" and "The Telegraph", I bought the book. During reading the book I made notes. This review is a summery of my notes. In this book, Robert Skidelsky, author of a magisterial three-volume biography of the Cambridge economist, the great biographer of Keynes, searches for clues in the original work of "the master". The book is part critique of the current state of economics (Chapter 1, "What Went Wrong?"), part biographical sketch (it's worth your time just for Chapter 3, "The Lives of Keynes"), part programme for the future (Chapter 7 and 8, "Keynes's Politics", "Keynes for Today"); (Skidelsky (2010)). At last I can argue the prose is vivid and clear. The pace of the book is excellent.
{"title":"Book Review: Keynes, The Return of the Master by Robert Skidelsky","authors":"S. Avetisyan","doi":"10.2139/ssrn.3232734","DOIUrl":"https://doi.org/10.2139/ssrn.3232734","url":null,"abstract":"After reading Krugman's, Coulter's, Conway's reviews respectively in \"The Guardian\", \"LSE Review of Books\" and \"The Telegraph\", I bought the book. During reading the book I made notes. This review is a summery of my notes. In this book, Robert Skidelsky, author of a magisterial three-volume biography of the Cambridge economist, the great biographer of Keynes, searches for clues in the original work of \"the master\". The book is part critique of the current state of economics (Chapter 1, \"What Went Wrong?\"), part biographical sketch (it's worth your time just for Chapter 3, \"The Lives of Keynes\"), part programme for the future (Chapter 7 and 8, \"Keynes's Politics\", \"Keynes for Today\"); (Skidelsky (2010)). At last I can argue the prose is vivid and clear. The pace of the book is excellent.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131580062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Keynes told Hicks very clearly on March 31st, 1937 that Keynes had already done what Hicks had done on page 156 of his 1937 Econometrica paper, which was to add Aggregate Actual Income I (Keynes’s Y) into the three equation set comprising Hicks’s later version of Keynes’s IS-LM model. However, Keynes then told Hicks that that was an error that he had already rectified in the General Theory. He clearly told Hicks that it was Expected Aggregate Income, and not Actual Income, that belonged in the Investment equation. Unfortunately, Hicks refused to follow Keynes’s advice until 1981. Forty-five year later, Hicks admitted in a retraction published in the Journal of Post Keynesian Economics that he had erroneously altered the IS-LM model of Keynes by removing expectations and uncertainty from it. It is quite impossible for Hicks, or Hicks-Hansen, to be regarded as the creators of a model that Keynes had already presented and applied in Section IV of Chapter 21 of the General Theory in 1936. It is also quite impossible to view Keynes’s IS-LP(LM) version as a neoclassical model. I suggest that the correct way of categorizing the model is as the Keynes-hicks-hansen IS-LM model with Keynes’s name capitalized and Hicks’s and Hansen’s names not capitalized. Keynes made it crystal clear that his model was a set of “equations”. Keynes then told Hicks that “present income has a predominant effect in determining liquidity preference and savings that it does not possess in its influence over the inducement to invest.” It is quite impossible to support the Joan Robinson claim that Keynes’s Theory of the rate of interest was a purely monetary one. Joan Robinson’s lack of even a basic understanding of pre-algebra explains her complete failure to grasp Keynes’s crucial sentence to Hicks, “I tried the equations, as you have done, with I (Keynes’s Y-authors insert) in all of them.”
1937年3月31日，凯恩斯非常明确地告诉希克斯，凯恩斯已经做了希克斯在1937年《计量经济学》论文第156页所做的事情，即将实际总收入I(凯恩斯的Y)加入到希克斯后来版本的凯恩斯IS-LM模型的三个方程中。然而，凯恩斯随后告诉希克斯，这是一个错误，他已经在《通论》中纠正了。他明确地告诉希克斯，在投资方程中应该是预期总收入，而不是实际收入。不幸的是，希克斯直到1981年才接受凯恩斯的建议。45年后，希克斯在《后凯恩斯经济学杂志》(Journal of Post Keynes Economics)上发表的一篇撤回文章中承认，他错误地修改了凯恩斯的IS-LM模型，去掉了其中的预期和不确定性。希克斯或希克斯-汉森不可能被视为凯恩斯已经在1936年《通论》第21章第四节中提出并应用的模型的创造者。将凯恩斯的is - lp (LM)版本视为新古典主义模型也是完全不可能的。我建议正确的分类方法是凯恩斯-希克斯-汉森is - lm模型，凯恩斯的名字大写，希克斯和汉森的名字不大写。凯恩斯明确表示，他的模型是一套“方程式”。凯恩斯随后告诉希克斯，“当前收入在决定流动性偏好和储蓄方面具有主导作用，而在投资动机方面却没有这种影响。”要支持琼•罗宾逊(Joan Robinson)关于凯恩斯的利率理论纯粹是货币理论的说法，是完全不可能的。琼·罗宾逊对前代数甚至缺乏基本的理解，这解释了她完全无法理解凯恩斯对希克斯说的那句至关重要的话:“我尝试了这些方程，就像你做的那样，所有方程中都有I(凯恩斯的y作者插入)。”
{"title":"Keynes's March 31, 1937 Message to Hicks About the IS-LM Model: 'At One Time I Tried the Equations, as You Have Done, with I in All of Them'","authors":"M. E. Brady","doi":"10.2139/ssrn.3152755","DOIUrl":"https://doi.org/10.2139/ssrn.3152755","url":null,"abstract":"Keynes told Hicks very clearly on March 31st, 1937 that Keynes had already done what Hicks had done on page 156 of his 1937 Econometrica paper, which was to add Aggregate Actual Income I (Keynes’s Y) into the three equation set comprising Hicks’s later version of Keynes’s IS-LM model. However, Keynes then told Hicks that that was an error that he had already rectified in the General Theory. He clearly told Hicks that it was Expected Aggregate Income, and not Actual Income, that belonged in the Investment equation. Unfortunately, Hicks refused to follow Keynes’s advice until 1981. Forty-five year later, Hicks admitted in a retraction published in the Journal of Post Keynesian Economics that he had erroneously altered the IS-LM model of Keynes by removing expectations and uncertainty from it. It is quite impossible for Hicks, or Hicks-Hansen, to be regarded as the creators of a model that Keynes had already presented and applied in Section IV of Chapter 21 of the General Theory in 1936. It is also quite impossible to view Keynes’s IS-LP(LM) version as a neoclassical model. I suggest that the correct way of categorizing the model is as the Keynes-hicks-hansen IS-LM model with Keynes’s name capitalized and Hicks’s and Hansen’s names not capitalized. Keynes made it crystal clear that his model was a set of “equations”. Keynes then told Hicks that “present income has a predominant effect in determining liquidity preference and savings that it does not possess in its influence over the inducement to invest.” It is quite impossible to support the Joan Robinson claim that Keynes’s Theory of the rate of interest was a purely monetary one. Joan Robinson’s lack of even a basic understanding of pre-algebra explains her complete failure to grasp Keynes’s crucial sentence to Hicks, “I tried the equations, as you have done, with I (Keynes’s Y-authors insert) in all of them.”","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123922452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We construct, estimate and explore the monetary policy consequences of a New Keynesian (NK) behavioural model with bounded-rationality and heterogeneous agents. We radically depart from most existing models of this genre in our treatment of bounded rationality and learning. Instead of the usual Euler learning approach, we assume that agents are internally rational (IR) given their beliefs of aggregate states and prices. The model is inhabited by fully rational (RE) and IR agents where the latter use simple heuristic rules to forecast aggregate variables exogenous to their micro-environment. We find that IR results in an NK model with more persistence and a smaller policy space for rule parameters that induce stability and determinacy. In the most general form of the model, agents learn from their forecasting errors by observing and comparing them with those under RE making the composition of the two types endogenous. In a Bayesian estimation with fixed proportions of RE and IR agents and a general heuristic forecasting rule we find that a pure IR model fits the data better than the pure RE case. However, the latter with imperfect rather than the standard perfect information assumption outperforms IR (easily) and RE-IR composites (slightly), but second moment comparisons suggest that the RE-IR composite can match data better. Our findings suggest that Kalman-filtering learning with RE can match bounded-rationality in matching persistence seen in the data.
{"title":"Internal Rationality, Learning and Imperfect Information","authors":"S. Deák, P. Levine, J. Pearlman, Bo Yang","doi":"10.2139/ssrn.3091876","DOIUrl":"https://doi.org/10.2139/ssrn.3091876","url":null,"abstract":"We construct, estimate and explore the monetary policy consequences of a New Keynesian (NK) behavioural model with bounded-rationality and heterogeneous agents. We radically depart from most existing models of this genre in our treatment of bounded rationality and learning. Instead of the usual Euler learning approach, we assume that agents are internally rational (IR) given their beliefs of aggregate states and prices. The model is inhabited by fully rational (RE) and IR agents where the latter use simple heuristic rules to forecast aggregate variables exogenous to their micro-environment. We find that IR results in an NK model with more persistence and a smaller policy space for rule parameters that induce stability and determinacy. In the most general form of the model, agents learn from their forecasting errors by observing and comparing them with those under RE making the composition of the two types endogenous. In a Bayesian estimation with fixed proportions of RE and IR agents and a general heuristic forecasting rule we find that a pure IR model fits the data better than the pure RE case. However, the latter with imperfect rather than the standard perfect information assumption outperforms IR (easily) and RE-IR composites (slightly), but second moment comparisons suggest that the RE-IR composite can match data better. Our findings suggest that Kalman-filtering learning with RE can match bounded-rationality in matching persistence seen in the data.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127347177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In 1936,Keynes suggested to both Hicks and Harrod that a synthesis between his mathematical model and the neoclassical model was possible. Keynes never received any written response from either Hicks or Harrod on his suggestion during his life time. It was left to Paul Samuelson to institute such a synthesis in 1955. Keynes’s model of his theory and the neoclassical limiting case is provided at the end of chapter 15 and in chapters 20 and 21 of the General Theory in his elasticity models. Elasticities with values such as ep=1, eo=0, e=1, ed=1, and ew=1 represent shapes and outcomes of the neoclassical limiting case. Values of ed and e less than 1 are Keynes’s general case. The elasticity of Keynes’s aggregate supply curve depends on the elasticities and slopes of Keynes’s aggregate supply function, Z, and Keynes’s aggregate demand function, D. Keynes used the first and second derivatives to show that Z MUST be a straight line, upward sloping curve, that D (and Y) MUST be concave curves and that the aggregate supply curve, or Z=D locus, MUST be a convex curve. This directly conflicts with Backhouse’s claims that Keynes never identified his General Theory functions as being curves, because, according to Backhouse, Keynes used the word curves only to refer to the classical(neoclassical) analysis. Of course, basic differential calculus covers the use of the first two derivatives for the purpose of fitting curves for specific functions. In fact, again contrary to Backhouse, Keynes does not work out any of his elasticity analysis in the footnotes in chapter 20. See Backhouse, 2010, p.140, footnote 11, p.146. The footnotes only give the final result. It requires an additional 20 pages of intermediate mathematical steps, graphs, and analysis to derive all of Keynes’s elasticity results on pp. 281-286 and pp. 304-306 of the General Theory. Harrod and Hicks did not respond to Keynes's offer because they could not follow Keynes’s specification of his more general results in Keynes’s elasticity analysis in chapters 20 and 21. Nor could they follow Keynes’s analysis in section IV of chapter 15.
{"title":"On J. M. Keynes's 1936 Suggestion of a Keynes-Neoclassical Synthesis to Harrod and Hicks: Why It Fell on Deaf Ears","authors":"M. E. Brady","doi":"10.2139/ssrn.3034085","DOIUrl":"https://doi.org/10.2139/ssrn.3034085","url":null,"abstract":"In 1936,Keynes suggested to both Hicks and Harrod that a synthesis between his mathematical model and the neoclassical model was possible. Keynes never received any written response from either Hicks or Harrod on his suggestion during his life time. It was left to Paul Samuelson to institute such a synthesis in 1955. Keynes’s model of his theory and the neoclassical limiting case is provided at the end of chapter 15 and in chapters 20 and 21 of the General Theory in his elasticity models. Elasticities with values such as ep=1, eo=0, e=1, ed=1, and ew=1 represent shapes and outcomes of the neoclassical limiting case. Values of ed and e less than 1 are Keynes’s general case. The elasticity of Keynes’s aggregate supply curve depends on the elasticities and slopes of Keynes’s aggregate supply function, Z, and Keynes’s aggregate demand function, D. Keynes used the first and second derivatives to show that Z MUST be a straight line, upward sloping curve, that D (and Y) MUST be concave curves and that the aggregate supply curve, or Z=D locus, MUST be a convex curve. This directly conflicts with Backhouse’s claims that Keynes never identified his General Theory functions as being curves, because, according to Backhouse, Keynes used the word curves only to refer to the classical(neoclassical) analysis. Of course, basic differential calculus covers the use of the first two derivatives for the purpose of fitting curves for specific functions. In fact, again contrary to Backhouse, Keynes does not work out any of his elasticity analysis in the footnotes in chapter 20. See Backhouse, 2010, p.140, footnote 11, p.146. The footnotes only give the final result. It requires an additional 20 pages of intermediate mathematical steps, graphs, and analysis to derive all of Keynes’s elasticity results on pp. 281-286 and pp. 304-306 of the General Theory. Harrod and Hicks did not respond to Keynes's offer because they could not follow Keynes’s specification of his more general results in Keynes’s elasticity analysis in chapters 20 and 21. Nor could they follow Keynes’s analysis in section IV of chapter 15.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122875466","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the determinants of nominal yields of government bonds in the euro zone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 euro zone countries. Furthermore, the autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds’ nominal yields. These results support Keynes’s view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.
{"title":"The Dynamics of Government Bond Yields in the Eurozone","authors":"Tanweer Akram, A. Das","doi":"10.2139/ssrn.2965110","DOIUrl":"https://doi.org/10.2139/ssrn.2965110","url":null,"abstract":"This paper investigates the determinants of nominal yields of government bonds in the euro zone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 euro zone countries. Furthermore, the autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds’ nominal yields. These results support Keynes’s view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121545665","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Korean Abstract: 본고는 가계의 차입이 담보자산(내구재)에 의해 제약되는 two-sector 뉴케인지언 모형에서 신용공급 충격 (LTV 비율 충격)시 VAR 분석과 같이 소비재간(내구재 및 비내구재) 공행성 (comovement) 을 위해서는 모형에 임금 경직성을 도입할 필요가 있음을 보이고 있다. 임금이 신축적인 경우 부정적 신용공급 충격시 비내구재 생산는 감소하나 내구재 생산은 오히려 증가하는 역행성 문제뿐만 아니라 총생산도 증가하는 것으로 나타났다. 그러나 임금 경직성을 모형에 도입할 경우 신용공급 충격에 대해 총노동이 감소하면서 비내구재뿐만 아니라 내구재 생산도 감소하여 역행성 문제가 발생하지 않는 것으로 나타났다. 임금 경직성 정도가 모형의 결과에 영향을 미치는지 확인하기 위해 민감성 분석을 실시한 결과 임금 경직성이 낮은 경우에도 신용공급 충격에 대해 내구재 및 비내구재 생산이 감소하는 결과는 바뀌지 않는 것으로 나타났으며 임금이 경직적인 경우에는 내구재 가격이 경직적이라도 역행성 문제는 나타나지 않고 있다. English Abstract: This paper shows the role of wage stickiness in the transmission of credit supply shock in a two-sector New Keynesian model with a collateral constraints. In the vector autoregression (VAR) analysis, durable goods and nondurable goods comove in response to a credit supply shock. However, in a two-sector New Keynesian model with flexible wage, the output of nondurables decreases, while the output of durables and total output increase in response to a negative credit supply shock(LTV ratio tightening). Therefore, the comovement problem in two-sector New Keynesian model arises to a credit supply shock. If we introduce the nominal wage stickiness, the output of nondurables and durables decrease together and, as a result, total output also decreases. This result is robust to the degree of wage stickiness and to durable price stickiness. The share of borrowers also does not influence the main result.
korean abstract:考试是家庭的贷款担保资产(耐用)被制约的two - sector在新凯恩斯言模型冲击)信用供给冲击(ltv比率时var分析消费才干(耐用及非):行空为了省(comovement)模型做出硬性工资的有必要引进的迹象。据调查，如果工资灵活，如果受到信用供给的负面冲击，非耐用品生产就会减少，但耐用品生产反而会增加，不仅是逆行性问题，总生产也会增加。但是如果将工资硬性引入模型中，对于信用供给的冲击，总劳动会减少，不仅是非耐用品，耐用品的生产也会减少，不会发生逆行性问题。工资灵活性程度影响模型的结果,为了确认是否进行敏感性分析结果死板的工资较低的情况下,信用供给冲击对耐用品及非耐用品生产减少的结果是不改变,显示工资少僵硬时,即使是耐用品价格灵活역행성问题未出现。英语:This paper shows the role of wage stickiness in the transmission of credit supply shock in a two-sector New Keynesian model with a collateral constraints。In the vector autoregression (VAR) analysis, durable goods and nondurable goods comove In response to a credit supply shock。However, in a two-sector New Keynesian model with flexible wage, the output of nondurables decreases，while the output of durables and total output increase in response to a negative credit supply shock(LTV ratio tightening)Therefore, the comovement problem in two-sector New Keynesian model arises to a credit supply shock。If we introduce the nominal wage stickiness, the output of nondurables and durables decrease together and as a result, total output also decreases。This result is robust to the degree of wage stickiness and to durable price stickiness。The share of borrowers also does not influence The main result。
{"title":"신용공급 충격이 재화별 소비에 미치는 영향 (The Effects of Credit Supply Shocks on Durable and Nondurable Consumption)","authors":"Kwanghwan Kim, Sukgee Choi","doi":"10.2139/SSRN.2929843","DOIUrl":"https://doi.org/10.2139/SSRN.2929843","url":null,"abstract":"Korean Abstract: 본고는 가계의 차입이 담보자산(내구재)에 의해 제약되는 two-sector 뉴케인지언 모형에서 신용공급 충격 (LTV 비율 충격)시 VAR 분석과 같이 소비재간(내구재 및 비내구재) 공행성 (comovement) 을 위해서는 모형에 임금 경직성을 도입할 필요가 있음을 보이고 있다. 임금이 신축적인 경우 부정적 신용공급 충격시 비내구재 생산는 감소하나 내구재 생산은 오히려 증가하는 역행성 문제뿐만 아니라 총생산도 증가하는 것으로 나타났다. 그러나 임금 경직성을 모형에 도입할 경우 신용공급 충격에 대해 총노동이 감소하면서 비내구재뿐만 아니라 내구재 생산도 감소하여 역행성 문제가 발생하지 않는 것으로 나타났다. 임금 경직성 정도가 모형의 결과에 영향을 미치는지 확인하기 위해 민감성 분석을 실시한 결과 임금 경직성이 낮은 경우에도 신용공급 충격에 대해 내구재 및 비내구재 생산이 감소하는 결과는 바뀌지 않는 것으로 나타났으며 임금이 경직적인 경우에는 내구재 가격이 경직적이라도 역행성 문제는 나타나지 않고 있다. \u0000English Abstract: This paper shows the role of wage stickiness in the transmission of credit supply shock in a two-sector New Keynesian model with a collateral constraints. In the vector autoregression (VAR) analysis, durable goods and nondurable goods comove in response to a credit supply shock. However, in a two-sector New Keynesian model with flexible wage, the output of nondurables decreases, while the output of durables and total output increase in response to a negative credit supply shock(LTV ratio tightening). Therefore, the comovement problem in two-sector New Keynesian model arises to a credit supply shock. If we introduce the nominal wage stickiness, the output of nondurables and durables decrease together and, as a result, total output also decreases. This result is robust to the degree of wage stickiness and to durable price stickiness. The share of borrowers also does not influence the main result.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122746481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, I investigate which commodity disturbances are significant in regards to a country’s business cycle. I develop a Small Open New Keynesian model that is estimated for twenty-three countries using nineteen primary commodities within the energy, metal, timber, rubber, cotton and food sectors. The findings show that petroleum shocks are the only commodity shocks that are significant in affecting a country’s output. Also, a country’s openness plays an important role in shaping the output response initiated by a petroleum shock. In addition, disturbances caused by petroleum shocks dissipate within six to ten quarters.
{"title":"Should Investors Worry About Commodity Shocks?","authors":"R. Whittaker","doi":"10.2139/SSRN.2873300","DOIUrl":"https://doi.org/10.2139/SSRN.2873300","url":null,"abstract":"In this paper, I investigate which commodity disturbances are significant in regards to a country’s business cycle. I develop a Small Open New Keynesian model that is estimated for twenty-three countries using nineteen primary commodities within the energy, metal, timber, rubber, cotton and food sectors. The findings show that petroleum shocks are the only commodity shocks that are significant in affecting a country’s output. Also, a country’s openness plays an important role in shaping the output response initiated by a petroleum shock. In addition, disturbances caused by petroleum shocks dissipate within six to ten quarters.","PeriodicalId":127579,"journal":{"name":"ERN: Keynes; Keynesian; Post-Keynesian (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115190197","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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