قوانین نرخ بهره و ثبات اقتصاد کلان با هزینه های معاملاتی

This paper analyzes the relationship between interest-rate feedback rules and macroeconomic stability in the presence of transaction costs. We show that with the Sims-type (1994) transaction-cost technology, a passive, rather than an active, interest-rate rule is more likely to generate a stabilizing effect against belief-driven fluctuations if both the intertemporal elasticity of substitution with respect to consumption and the sensitivity of the transaction costs with respect to the velocity of money are low. This result is valid under either an unbounded or a bounded transaction-cost technology. Of importance, our result is relevant under empirically plausible parameters, while it sharply contrasts with Taylor's (1993) prediction.

The study of interest-rate feedback rules and macroeconomic stability has seen a renewed interest in monetary economics since the influential contribution of Taylor (1993). The driving force underlying this important issue originates from the stylized fact that most central banks in leading industrialized countries have used a monetary policy rule by operating on a target for a short-term nominal interest rate for guidance (Benhabib et al., 2002a and Walsh, 2003 and Woodford, 2003). Taylor (1993) proposes a simple interest-rate feedback rule that responds to inflation by raising the nominal interest rate by more than (namely, an active interest-rate rule) or less than (namely, a passive interest-rate rule) the increase in inflation. Accordingly, he raises a proposition which now has been well-documented in the literature that while a passive rule destabilizes the economy by inducing belief-driven fluctuations (local indeterminacy), an active interest-rate rule stabilizes the economy by ensuring the uniqueness of equilibrium (local determinacy). Furthermore, Clarida, Galí, and Gertler (2000) use it to explain why in the United States inflation has been steadily low and output growth has become relatively stable since the early 1980s.

In this paper we have extended the transaction-cost monetary framework of Sims (1994) to a continuous-time setting and have advanced Sims's (1994) analysis to study the link between interest-rate feedback rules and macroeconomic stability. While the existing literature has contributed to valuable insights on the link between interest rate rules and macroeconomic stability by using the approaches of the money-in-the-utility function, money-in-the-production function, and cash in advance, our purpose in this paper has been to explore the implications of the transaction-cost approach for the relationship between interest-rate feedback rules and aggregate stability. Our major finding is that the conditions in determining the relationship between interest-rate feedback rules and macroeconomic stability crucially depend on the intertemporal elasticity of substitution with respect to consumption and the sensitivity of the transaction costs with respect to the velocity of money. In particular, in sharp contrast to Taylor's (1993) prediction, under empirically plausible parameters, a passive, rather than an active, monetary policy is more likely to stabilize the economy against belief-driven fluctuations. This result is valid in the monetary model with either an unbounded or a bounded transaction-cost technology.