Banking and Interest Rates in Monetary Policy Analysis: A Quantitative Exploration

摘要

The paper reconsiders the role of money and banking in monetary policy analysis by including a banking sector and money in an optimizing model otherwise of a standard type. The model is implemented quantitatively, with a calibration based on U.S. data. It is reasonably successful in providing an endogenous explanation for substantial steady-state differentials between the interbank policy rate and (ⅰ) the collateralized loan rate, (ⅱ) the uncollateralized loan rate, (ⅲ) the T-bill rate, (ⅳ) the net marginal product of capital, and (ⅴ) a pure intertemporal rate. We find a differential of over 3 % pa between (ⅲ) and (ⅳ), thereby contributing to resolution of the equity premium puzzle. Dynamic impulse response functions imply pro-or-counter-cyclical movements in an external finance premium that can be of quantitative significance. In addition, they suggest that a central bank that fails to recognize the distinction between interbank and other short rates could miss its appropriate settings by as much as 4% pa. Also, shocks to banking productivity or collateral effectiveness call for large responses in the policy rate.