- 著者
- FUJIMOTO Junichi MUNAKATA Ko NAKAMURA Koji TERANISHI Yuki
- 出版者
- GRIPS Policy Research Center
- 雑誌
- GRIPS Discussion Papers
- 巻号頁・発行日
- vol.16-30, 2017-02
To reveal a policy mandate for financial stability, we introduce a frictional credit market with a search and matching process into a standard New Keynesian model with nominal rigidities in the goods market, and then investigate optimal policy under financial frictions. We show that a second-order approximation of social welfare includes terms for credit, in addition to terms for inflation and consumption, so that any optimal policy must hold responsibility for financial and price stabilities. We highlight this issue by considering several tools for monetary and macroprudential policy. We find that optimal monetary policy requires keeping the credit market countercyclical against the real economy. Also, optimal macroprudential policy, which poses constraints on supply and demand sides of credit, reduces excessive variations in lending and contributes to both financial and price stabilities.
- 著者
- FUJIMOTO Junichi LEE Junsang
- 出版者
- GRIPS Policy Research Center
- 雑誌
- GRIPS Discussion Papers
- 巻号頁・発行日
- vol.16-15, 2016-09
This paper examines efficient risk sharing under limited commitment and searchfrictions. The model features a social planner and a continuum of risk-averseworkers, where the planner is able to provide consumption only to workers matchedwith the planner and faces an aggregate resource constraint, while workers can walkaway from the match in any period and search for a new match. The formation ofnew matches and the exogenous destruction of existing ones substantially expandthe set of feasible stationary allocations, providing a role for the social welfarefunction. In the benchmark case of the Benthamite social welfare function, wefind that the efficient stationary allocation exhibits novel consumption dynamics:Consumption begins at a relatively low level, converges toward a certain level whenthe participation constraint is slack, and jumps up when it binds. We then explorethe role of limited commitment in generating such rich consumption dynamics.