نرخ بهره ناقص تحت اعتبار و اصطکاک های بازار کار

By introducing search and matching frictions in both the labor and the credit markets into a cash in advance New Keynesian DSGE model, we provide a novel explanation of the incomplete pass-through from policy rates to loan rates. We show that this phenomenon is ineradicable if banks possess some power in the bargaining over the loan rate of interest, if the cost of posting job vacancies is positive and if firms and banks sustain costs when searching for lines of credit and when posting credit vacancies, respectively. We also show that the presence of credit market frictions moderates the reactions of employment and wages to a monetary shock. Finally, we confirm the finding that pass-through incompleteness has limited short-term impacts on the transmission of monetary policy shocks to output and inflation.

Several empirical contributions that appeared before the recent financial crises provided convincing evidence that shifts in policy rates were not completely passed through to retail (market) lending rates, even though significant differences existed in the degree of incompleteness which was experienced across countries.2 According to this evidence, the phenomenon was particularly sharp in the Euro Area.3 During the financial crisis, even though the transmission of policy rate changes to retail rates has become less efficient in this Area (Čihák et al., 2009), the interest rate pass-through to the market lending rates has been particularly affected in the United States. According to the IMF (2008, p. 81): “the normal relations governing the pass-through of policy rates into the markets for short-term bank financing and for short- and long-term near-bank financing has become less reliable over the past year, particularly in the United States”. The existence of an incomplete pass-through of policy rate changes to the loan rates in both the Euro Area and the United States is confirmed by a recent study by Karagiannis et al. (2010).

In this paper we proposed a novel explanation of the incomplete pass-through of policy rate changes to bank loan rates in a New Keynesian DSGE economy with sticky prices where asymmetric information are absent and banks are perfectly competitive. The introduction of search and matching frictions in both the labor and the financial markets allows us to show that the interest rate pass-through is necessarily incomplete if: (i) banks possess some power in the bargaining over the loan rate of interest; (ii) the cost of posting job vacancies (which also influences the cost that bank have to bear before financing firms) is positive; (iii) firms and banks sustain costs when searching for lines of credit and when posting credit vacancies, respectively. We explained that the interest rate spread increases with the share of the firm's savings on future costs that the bank aspires to obtain and decreases with the bank's savings on future costs that the firm is not willing to correspond to the bank. As a consequence, since these magnitudes depend also on the labor market tightness, we showed that the interplay of imperfections in labor and credit markets plays an important role in determining the model's behavior.