Monetary Policy Shocks and Their Effects on Business Borrowings, Aggregate Output, and Prices.

摘要

Developed from previous financial acceleration research, this thesis employs two VAR (vector-auto regression) systems to measure monetary policy shocks and their effects. The first uses the conventional Cholesky method and the second uses the methods developed by Bernanke and Blinder (1992) and Bernanke and Mihov (BM 1998). I use the federal funds rate and as the two monetary policy instruments in the VAR systems.;With the Cholesky method, net financial borrowings rise (fall) for about one year after contractionary (easy) monetary policy shocks. This is consistent with what has been found by Christiano, Eichenbaum, and Evans (CEE 1996). The responses of corporate sector appear to explain the entire business sector, with no significant results found from the impulse responses of the other two sectors (noncorporate and farm). With the BM model, easing policy shocks lead to an initial fluctuation within the first half of year and the prolonged decrease in borrowings after half of year. The responses of borrowings in the BM model demonstrate different amplitudes and patterns from the Cholesky method following the policy shocks, this is from the structural shocks are defined differently in these two VARs. However, the decreases (rise) in borrowings after the easy (tight) monetary shocks are the same. In both systems, there is a significant expansion of real GDP following monetary easing. The price puzzle, that price levels are positively related to monetary tightening, does not appear in the plots of impulse response functions with the Cholesky method but they appear in some versions of the BM model.;(JEL classification: E52, G30);Key Words: Monetary Transmission Mechanism, Financial Acceleration, VAR Model, Flow of Funds, Federal Funds Rate, Nonborrowed Reserves, Price Puzzle.