1 Evidence on Money, Prices, and Output 1

1 .1 Introduction 1

1 .2 Some Basic Correlations 1

1 .3 Estimating the Effect of Monetary Policy on Output and Inflation 8

1.3.1 The Evidence of Friedman and Schwartz 9

1.3.2 Granger Causality 13

1.3.3 Policy Uses 14

1.3.4 The VAR Approach 17

1.3.5 Structural Econometric Models 25

1.3.6 Alternative Approaches 27

1 .4 Monetary Policy at Very Low Interest Rates 31

1.4.1 Measuring Policy at the Effective Lower Bound (ELB) 32

1.4.2 The Effects of Quantitative Easing (QE) Policies 33

1 .5 Summary 40

2 Money-in-the-Utility Function 41

2.1 Introduction 41

2.2 The Basic MIU Model 43

2.2.1 Steady-State Equilibrium 48

2.2.2 Multiple Equilibria in Monetary Models 55

2.2.3 The Interest Elasticity of Money Demand 57

2.2.4 Limitations 61

2.3 The Welfare Cost of Inflation 61

2.4 Extensions 66

2.4. 1 Interest on Money 66

2.4.2 Nonsuperneutrality 67

2.5 Dynamics in an MIU Model 69

2.5 . 1 The Decision Problem 70

2.5.2 The Steady State 73

2.5.3 The Linear Approximation 74

2.5.4 Calibration 78

2.5.5 Simulation Results 80

2.6 Summary 83

2.7 Appendix: Solving the MIU Model 83

2.7 . 1 The Linear Approximation 85

2.7.2 Collecting all Equations 90

2.7.3 Solving Linear Rational-Expectations Models with

Forward-Looking Variables 9 1

2.8 Problems 94

3 Money and Transactions 97

3.1 Introduction 97

3.2 Resource Costs of Transacting 98

3.2. 1 Shopping-Time Models 98

3.2.2 Real Resource Costs 102

3.3 Cash-in-Advance (CIA) Models 103

3 .3 . 1 The Certainty Case 104

3 .3 .2 A Stochastic CIA Model 1 1 3

3.4 Search 120

3 .4. 1 Centralized and Decentralized Markets 122

3 .4.2 The Welfare Costs of Inflation 127

3.5 Summary 129

3.6 Appendix: The CIA Approximation 1 30

3.6. 1 The Steady State 1 30

3.6.2 The Linear Approximation 1 30

3.7 Problems 132

4 Money and Public Finance 1 37

4.1 Introduction 1 37

4.2 Budget Accounting 138

4.2. 1 Intertemporal Budget Balance 143

4.3 Money and Fiscal Policy Frameworks 144

4.4 Deficits and Inflation 145

4.4. 1 Ricardian and (Traditional) Non-Ricardian Fiscal Policies 148

4.4.2 The Government Budget Constraint and the Nominal Rate

of lnterest 1 5 1

4.4.3 Equilibrium Seigniorage

4.4.4 Cagan's Model

4.4.5 Rational Hyperinflation

4.5 The Fiscal Theory of the Price Level

4.5 . 1 Multiple Equilibria

4.5.2 The Basic Idea of the Fiscal Theory

4.5.3 Empirical Evidence on the Fiscal Theory

4.6 Optimal Taxation and Seigniorage

4.6. 1 A Partial Equilibrium Model

4.6.2 Optimal Seigniorage and Temporary Shocks

4.6.3 Friedman's Rule Revisited

4.6.4 Nonindexed Tax Systems

4.7 Summary

4.8 Problems

Informational and Portfolio Rigidities

5.1 Introduction

5.2 Informational Frictions

5 .2. 1 Imperfect Information

5.2.2 The Lucas Model

5.2.3 Sticky Information

5.2.4 Learning

5.3 Limited Participation and Liquidity Effects

5.3 . 1 A Basic Limited-Participation Model

5.3.2 Endogenous Market Segmentation

5.3.3 Assessment

5.4 Summary

5.5 Appendix: An Imperfect-Information Model

5.6 Problems

Discretionary Policy and Time Inconsistency

6.1 Introduction

6.2 Inflation under Discretionary Policy

6.2. 1 Policy Objectives

6.2.2 The Economy

6.2.3 Equilibrium Inflation

6.3 Solutions to the Inflation Bias 234

6.3 . 1 Reputation 235

6.3.2 Preferences 247

6.3.3 Contracts 25 1

6.3.4 Institutions 256

6.3.5 Targeting Rules 259

6.4 Is the Inflation Bias Important? 264

6.5 Summary 27 1

6.6 Problems 27 1

7 Nominal Price and Wage Rigidities 277

7.1 Introduction 277

7.2 Sticky Prices and Wages 277

7.2. 1 An Example of Nominal Rigidities in General Equilibrium 278

7.2.2 Early Models of Intertemporal Nominal Adjustment 282

7.2.3 Imperfect Competition 285

7.2.4 Time-Dependent Pricing (TDP) Models 288

7.2.5 State-Dependent Pricing (SDP) Models 295

7.2.6 Frictions in the Timing of Price Adjustment or in the

Adjustment of Prices? 300

7.3 Assessing Alternatives 301

7.3 . 1 Microeconomic Evidence 302

7.3.2 Evidence on the New Keynesian Phillips Curve 304

7.3.3 Sticky Prices versus Sticky Information 3 1 2

7.4 Summary 3 1 3

7.5 Appendix: A Sticky-Wage MIU Model 3 14

7.6 Problems 3 1 6

8 New Keynesian Monetary Economics 3 1 9

8.1 Introduction 3 1 9

8.2 The Basic Model 320

8.2. 1 Households 321

8.2.2 Firms 323

8.2.3 Market Clearing 325

8.3 A Linearized New Keynesian Model 327

8.3 . 1 The Linearized Phillips Curve 327

8.3.2 The Linearized IS Curve 33 1

8.3.3 Local Uniqueness of the Equilibrium 332

8.3.4 The Monetary Transmission Mechanism 336

8.3.5 Adding Economic Disturbances 339

8.4 Monetary Policy Analysis in New Keynesian Models 34 1

8.4. 1 Policy Objectives 342

8.4.2 Policy Trade-offs 344

8.4.3 Optimal Commitment and Discretion 346

8.4.4 Commitment to a Rule 353

8.4.5 Endogenous Persistence 354

8.4.6 Targeting Regimes and Instrument Rules 358

8.4.7 Model Uncertainty 363

8.5 Labor Market Frictions and Unemployment 365

8.5 . 1 Sticky Wages and Prices 366

8.5.2 Unemployment 369

8.6 Summary 377

8.7 Appendix 378

8.7 . 1 The New Keynesian Phillips Curve 378

8.7.2 Approximating Utility 3 8 1

8.8 Problems 388

9 Monetary Policy in the Open Economy 397

9.1 Introduction 397

9.2 A Two-Country Open-Economy Model 398

9.2. 1 Households 398

9.2.2 International Consumption Risk Sharing 401

9.2.3 Firms 402

9.2.4 Equilibrium 404

9.2.5 Optimal Policy 414

9.3 A Model of the Small Open Economy 424

9.3 . 1 Households 424

9.3.2 International Risk Sharing and Uncovered Interest

Parity 428

9.3.3 Domestic Firms 429

9.3.4 Equilibrium Conditions 430

9.3 .5 Monetary Policy in the Linear Model 433

9.4 Additional Sources of Nominal Distortions 437

9.4. 1 Imperfect Pass-Through 437

9.4.2 Local Currency Pricing 440

9.4.3 Sticky Tradeable and Nontradeable Goods Prices 442

9.5 Currency Unions 442

9.6 Summary 447

9.7 Appendix 448

9.8 Problems 449

10 Financial Markets and Monetary Policy 455

1 0.1 Introduction 455

1 0.2 Interest Rates and Monetary Policy 456

10.2. 1 Interest Rate Rules and the Price Level 456

10.2.2 Interest Rate Policies in General Equilibrium 459

1 0.3 The Term Structure of Interest Rates 462

10.3 . 1 The Basic Expectations Theory 463

10.3.2 Expected Inflation and the Term Structure 465

1 0.4 Macrofinance 467

1 0.4. 1 Affine Models of the Term Structure 467

10.4.2 A Preferred Habitat Term Structure Model 469

1 0.5 Policy and the Term Structure 473

10.5 . 1 A Simple Example 473

10.5.2 An Affine Example 476

1 0.6 Financial Frictions in Credit Markets 478

10.6. 1 Adverse Selection 480

10.6.2 Moral Hazard 482

10.6.3 Monitoring Costs 484

10.6.4 Agency Costs 488

10.6.5 Intermediary-to-Intermediary Credit Flows 49 1

1 0.7 Macroeconomic Implications 495

10.7 . 1 General Equilibrium Models 496

10.7.2 Agency Costs and General Equilibrium 501

10.7.3 Agency Costs and Sticky Prices 504

1 0.8 Summary 505

1 0.9 Problems 505

11 The Effective Lower Bound and Balance Sheet Policies 509

1 1 .1 Introduction 509

1 1 .2 The Effective Lower Bound 5 1 0

1 1 .3 Liquidity Traps 5 1 2

1 1 .4 Conventional Policies at the ELB 5 1 5

1 1 .4.1 Equilibria at the ELB 5 1 6

1 1 .4.2 Analytics at the ELB 5 1 8

1 1 .4.3 Commitment and Forward Guidance 522

1 1 .4.4 Summary on the ELB 53 1

1 1 .5 Balance Sheet Policies 532

1 1 .5.1 Asset Pricing Wedges 534

1 1 .5 .2 Market Segmentation and Transaction Costs 538

1 1 .5.3 Costly Intermediation 543

1 1 .5.4 Moral Hazard in Banking 547

1 1 .5.5 Resaleability Constraints 552

1 1 .5.6 Summary on Balance Sheet Policies 556

1 1 .6 Appendix: Derivation of the Asset Pricing Wedges 556

1 1 .7 Problems 557

12 Monetary Policy Operating Procedures 561

1 2.1 Introduction 561

1 2.2 From Instruments to Goals 562

1 2.3 The Instrument Choice Problem 563

12.3 . 1 Poole's Analysis 563

12.3.2 Policy Rules and Information 568

12.3.3 Intermediate Targets 570

12.3.4 Real Effects of Operating Procedures 578

1 2.4 Operating Procedures and Policy Measures 579

12.4. 1 Money Multipliers 579

12.4.2 The Reserve Market 5 8 1

1 2.5 Interest on Reserves in a Channel System 590

1 2.6 A Brief History of Fed Operating Procedures 595

12.6. 1 1 972-1979 595

12.6.2 1 979-1982 596

12.6.3 1 982-1988 599

12.6.4 1 988-2008 599

12.6.5 2009-20 16 600

1 2.7 Other Countries 603

1 2.8 Summary 605

1 2.9 Problems 605

References 609

Name Index 645

Subject Index 65 1

1货币，价格和产出证据1

1 .1简介1

1 .2一些基本关联1

1 .3估算货币政策对产出和通货膨胀的影响8

1.3.1弗里德曼和施瓦茨的证据9

1.3.2格兰杰因果关系13

1.3.3政策用途14

1.3.4 VAR方法17

1.3.5结构计量经济学模型25

1.3.6替代方法27

1 .4极低利率的货币政策31

1.4.1有效下限（ELB）的衡量策略32

1.4.2量化宽松政策的效果33

1 .5小结40

2通用货币功能41

2.1简介41

2.2基本MIU模型43

2.2.1稳态平衡48

2.2.2货币模型中的多重均衡55

2.2.3货币需求的利率弹性57

2.2.4局限性61

2.3通货膨胀的福利成本61

2.4扩展66

2.4。 1货币利息66

2.4.2非中立67

2.5 MIU模型中的动力学69

2.5。 1决策问题70

2.5.2稳态73

2.5.3线性逼近74

2.5.4校准78

2.5.5仿真结果80

2.6小结83

2.7附录：解决MIU模型83

2.7。 1线性逼近85

2.7.2收集所有方程式90

2.7.3使用以下公式求解线性有理期望模型

前瞻性变量9 1

2.8问题94

3金钱和交易97

3.1简介97

3.2交易的资源成本98

3.2。 1 Shopping-Time Models 98

3.2.2实际资源成本102

3.3预付现金（CIA）模型103

3 .3。 1确定案例104

3 .3 .2 CIA随机模型1 1 3

3.4搜索120

3 .4。 1集中和分散市场122

3 .4.2通货膨胀的福利成本127

3.5小结129

3.6附录：CIA近似值1 30

3.6。 1稳态1 30

3.6.2线性逼近1 30

3.7问题132

4货币与公共财政1 37

4.1简介1 37

4.2预算会计138

4.2。 1跨期预算余额143

4.3货币和财政政策框架144

4.4赤字与通货膨胀145

4.4。 1 Ricardian和（传统）非Ricardian财政政策148

4.4.2政府预算约束与名义利率

的兴趣1 5 1

4.4.3平衡铸币税

4.4.4卡根模型

4.4.5理性恶性通货膨胀

4.5价格水平的财政理论

4.5。 1多重均衡

4.5.2财政理论的基本思想

4.5.3财政理论的经验证据

4.6最优税收和铸币税

4.6。 1部分均衡模型

4.6.2最佳铸币和临时冲击

4.6.3重温弗里德曼规则

4.6.4非索引税制

4.7小结

4.8问题

信息和投资组合的刚性

5.1引言

5.2信息摩擦

5 .2。 1信息不完善

5.2.2卢卡斯模型

5.2.3粘性信息

5.2.4学习

5.3有限的参与和流动性影响

5.3。 1基本的有限参与模型

5.3.2内生市场细分

5.3.3评估

5.4小结

5.5附录：不完善的信息模型

5.6问题

自由裁量政策和时间不一致

6.1简介

6.2自由裁量政策下的通货膨胀

6.2。 1政策目标

6.2.2经济

6.2.3均衡通货膨胀

6.3通胀偏见的解决方案234

6.3。 1声望235

6.3.2首选项247

6.3.3合同25 1

6.3.4机构256

6.3.5定位规则259

6.4通胀偏见重要吗？ 264

6.5小结27 1

6.6问题27 1

7名义价格和工资刚性277

7.1简介277

7.2粘性价格和工资277

7.2。 1一般平衡中的标称刚度示例278

7.2.2跨期名义调整的早期模型282

7.2.3不完美竞争285

7.2.4时间相关定价（TDP）模型288

7.2.5状态相关定价（SDP）模型295

7.2.6价格调整时机或价格调整时的摩擦

价格调整？ 300

7.3评估替代方案301

7.3。 1微观经济证据302

7.3.2新凯恩斯菲利普斯曲线304的证据

7.3.3粘性价格与粘性信息3 1 2

7.4小结3 1 3

7.5附录：粘性工资MIU模型3 14

7.6问题3 1 6

8新凯恩斯主义货币经济学3 1 9

8.1简介3 1 9

8.2基本型号320

8.2。 1户321

8.2.2公司323

8.2.3市场清理325

8.3线性化的新凯恩斯模型327

8.3。 1线性菲利普斯曲线327

8.3.2线性化IS曲线33 1

8.3.3平衡点332的局部唯一性

8.3.4货币传导机制336

8.3.5增加经济干扰339

8.4新凯恩斯主义模型中的货币政策分析34 1

8.4。 1政策目标342

8.4.2策略权衡344

8.4.3最佳承诺和自由裁量权346

8.4.4对规则353的承诺

8.4.5内源性持久性354

8.4.6目标制度和工具规则358

8.4.7模型不确定性363

8.5劳动力市场摩擦与失业365

8.5。 1粘性工资和价格366

8.5.2失业369

8.6小结377

8.7附录378

8.7。 1新凯恩斯曲线378

8.7.2近似效用3 8 1

8.8问题388

9货币政策