黄晓东 宏观经济.pdf

Financial Frictions: Amplification versus Persistence Professor Kevin X.D. Huang Alternative GE model with agency cost fric- tions Monetary sticky-price extension of Carlstrom- Fuerst (1997) Di§erent features relative to BGG 1. Agency cost friction applies to producers of capital (rather than buyers) 2. Asset prices are time-varying due to Önancial frictions per se (and not due to adjustment costs) 3. Model generates endogenous persistence Drawbacks 1. Default rate pro-cyclical 2. Finance premium pro-cyclical ! Deceleration (rather than ampliÖcation as in BGG) !Can Öx this in various ways Model Two types of Örms: Önal goods and intermediate goods producers Two types of consumers: households and entrepreneurs. Households Continuum of households with measure 1 . Derive income from renting labor and capital to intermediate goods Örms, and from receiving proÖts of the same monopolistic Örms. Use their income to purchase Önal consumption goods and capital goods from the entrepreneurs. Capital goods are originally Önal consumption goods transformed via the entrepreneurial activity to be described later. Households (conít) 81 9 max E X t h; Nh) = 0 U(Ct t : ; t=0 s.t h h h hi + D P C + Q K (1 )K t t t t+1 t t+1 | {z } expenditure h h h