The Monetary Transmission Mechanism within a Two-Sector Model

兩部門模型的貨幣傳導機制

陳一德(I-Te Chen) ； 蔡宜展(Yi-Chan Tsai)

《經濟論文叢刊》 49卷1期 (2021/03) Pp. 1-32

https://doi.org/10.6277/TER.202103_49(1).0001

摘要

This paper uses a Bayesian approach to estimate a two-sector sticky price model with working capital and habit formation. The estimated degrees of working capital and habit formation are all well above zero, suggesting the existence of both channels. Furthermore, we identify a new monetary policy transmission mechanism that operates through the inflation dynamics of the relative prices due to the heterogeneous degrees of working capital across sectors. Furthermore the estimated model with working capital and habit formation simultaneously accounts for the co-movement between durables and non-durables and the more sensitive response in the durable goods sector to monetary policy shocks as documented in previous studies. Using log marginal likelihood, the model with working capital and habit formation outperforms its counterpart without either of these mechanisms.

關鍵字

working capital ； habit formation ； durable good ； bayesian estimation business cycle

並列摘要

本文擴充傳統兩部門隨機動態模型，考慮廠商的借貸行爲及消費者的消費慣性，我們使用貝氏方法去估計其相關參數。估計結果顯示營運資金及消費慣性都是影響貨幣傳導機制的重要因素。此外，在兩部門中因不同部門對營運資金需求的差異，在給定相同的貨幣衝擊下，對兩部門的價格有不同的影響，進而造成其相對價格的變動。這是本文發現新的貨幣傳導機制，相較於傳統的模型，有考慮廠商營運資金及消費慣性的兩部門模型更能貼近現實社會。

並列關鍵字

營運資金 ； 消費慣性 ； 耐久財 ； 貝氏估計

參考文獻

Barsky, Robert, Christopher L. House, and Miles Kimball (2007), “StickyPrice Models and Durable Goods,” American Economic Review, 97(3), 984–998.

Barth III, Marvin J. and Valerie A. Ramey (2002), “The Cost Channelof Monetary Transmission,” in G. Mark and K. Rogoff (eds.), NBER Macroeconomics Annual 2001, vol. 16, 199–256.

Bils, Mark and Peter J. Klenow (2004), “Some Evidence on the Importance of Sticky Prices,” Journal of Political Economy, 112(5), 97–985.

Carlstrom, Charles T. and Timothy S. Fuerst (2010), “Nominal Rigidities, Residential Investment, And Adjustment Costs,” Macroeconomic Dynamics, 14(1), 136–148.

Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans (2005),“Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, 113(1), 1–45.