Credit market imperfections: Macroeconomic consequences and monetary policy implications.

摘要

In this thesis, dynamic general equilibrium models are developed for the analysis of credit market imperfections. The first chapter provides an overview of the thesis and sets out the motivation for the research. In the second chapter, the focus is on house prices. Empirical work is carried out to investigate the co-movement of house prices, housing investment, consumption and monetary policy in the UK. A general equilibrium model is then developed to fit some key patterns in the data. An important feature of the model is that house prices have a direct impact on consumption, because housing serves as collateral against which consumers can borrow. The model is used to analyse how the co-movement of key variables is likely to have changed following financial liberalisation in the 1980s. The third chapter develops a framework in which entrepreneurs want to borrow from and lend to each other because investment opportunities are always changing. Credit markets do not work perfectly, so borrowing can only take place against collateral. Moreover, monetary policy has real short-run effects due to nominal rigidities. The credit frictions cause productivity shocks to have a large and persistent effect on aggregate output and asset prices, as falls in output are accompanied by a transfer of capital from highly productive borrowers to less productive lenders. But nominal rigidities interact strongly with this mechanism: the more aggressively the monetary authorities stabilise inflation, the larger the output and asset price movements. The final chapter investigates how monetary policy should be set optimally, in the sense of maximising the welfare of the private sector agents. It is found that optimal monetary policy allows for a temporary rise in inflation following an adverse productivity shock, which will lead to more stable output and asset prices. The interaction of credit frictions and nominal rigidities therefore creates a short-term trade-off between the stabilisation of output relative to its efficient level and the stabilisation of inflation.