Monetary Policy and a Stock Market BoomBust Cycle货币政策和股市繁荣萧条周期.pptVIP

Monetary Policy and a Stock Market Boom-Bust Cycle Lawrence Christiano, Roberto Motto and Massimo Rostagno Inflation has been relatively stable for a while Attention has shifted to other issues: stock market volatility ‘Stock Market Boom-Bust Cycle’ Episode in which: Stock prices, consumption, investment, output, employment rise sharply and then fall Inflation low during boom US examples: Interwar period Mid 1950s - mid 1970s Mid 1990s - present Rational Theory of Boom-Bust Follow Beaudry-Portier (see also more recently Jaimovich-Rebelo) Boom-bust cycle triggered by: Expectation that technology will be strong in future Expectation ultimately not realized Examples: Fiber-optic cable Motorola satellites Key Findings Start by trying to build a non-monetary theory of boom-bust cycle With investment adjustment costs, habit persistence, can almost get successful theory However, miss on several key dimensions Stock market goes wrong way, highly volatile real rate, no persistence When we integrate sticky (allocative) wages and an inflation-targeting central bank, we obtain a more successful theory. perhaps boom-bust cycles reflect interaction of sticky wages and inflation targeting monetary policy an example of Levin, et al point that inflation targeting not optimal when wages are sticky Outline Boom-bust in non-monetary economy Bring in sticky wages/prices and monetary policy as simply as possible Redo analysis in model with additional financial frictions banking system (CCE), agency costs (BGG) permits addressing role of credit and monetary aggregates Parameterization of RBC Model Model is specialized version of model with many frictions estimated for US by Christiano-Motto-Rostagno (2006) Parameters: Steady state: Results for RBC Model Habit persistence in preference and adjustment costs on change in investment crucial for getting ‘close’ to stock-market boom-bust… However, Stock market wrong Real interest rate highly volatile No persistence Usi