住房价格借入限制和在商业循环中的货币政策.pdf

House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle Matteo Iacoviello∗ Boston College December 3, 2004 Abstract I develop and estimate a monetary business cycle model with nominal loans and collateral constraints tied to housing values. Demand shocks move together housing and nominal prices, and are amplified and propagated over time. The financial accelerator is not uniform: nominal debt dampens supply shocks, stabilizing the economy under interest rate control. Structural estimation supports two key model features: collateral effects dramatically improve the response of aggregate demand to house prices shocks; nominal debt improves the sluggish response of output to inflation surprises. Finally, policy evaluation considers the role of house prices and debt indexation in affecting monetary policy trade-offs. (JEL E31, E32, E44, E52, R21) ∗Department of Economics, Boston College, Chestnut Hill, MA 02467, USA (email: iacoviel@). I am deeply indebted to my Ph.D. advisor at the London School of Economics, Nobuhiro Kiyotaki, for his continuous help and invaluable advice. I thank Fabio Canova, Raffaella Giacomini, Christopher House, Peter Ireland, Raoul Minetti, François Ortalo-Magné, Marina Pavan, Christopher Pissarides, Fabio Schiantarelli, two anonymous referees and seminar participants at the Bank of England, Boston College, the European Central Bank, the Ente Luigi Einaudi, the Federal Reserve Bank of New York, the Federal Reserve Bank of St.Louis, the London School of Economics, the NBER Monetary Economics Meeting and Northeastern University for their helpful comments on various versions