معاملات، اعتبار و بانکداری مرکزی در یک مدل از بازارهای تقسیم شده

A segmented markets model is constructed in which transactions are conducted using credit and currency. Goods market segmentation plays an important role, in addition to the role played by conventional segmentation of asset markets. An important novelty of the paper is to show how the nonneutralities of money and their persistence depend on the nature of goods market transactions and on the arrangements for clearing and settlement of consumer credit. The model permits open market operations, daylight overdrafts, reserve-holding, and overnight lending and borrowing, allowing the consideration of a rich array of central banking arrangements and their implications.

The purpose of this paper is to study the role of monetary policy in the very short run, in a model where nonneutralities of money arise because of segmentation in financial markets and goods markets. The model is explicit about the details of transactions, the role for monetary exchange vs. credit, and the instruments of central bank intervention. Further, the model is highly tractable. The basic monetary transmission mechanism at work here was explored in a pure-currency framework in Williamson (2007). In that paper, the case was made that this segmented markets framework should be taken seriously as an alternative to typical reduced-form New Keynesian sticky-price models (e.g., Woodford, 2003), as a structure for understanding, formulating, and evaluating monetary policy. A key innovation, which is very important for how the model responds to central bank money injections, and for the costs of inflation and optimal money growth, is the presence of goods market segmentation. In the model constructed in Williamson (2007), a money injection by the central bank, received initially by connected households, acts to redistribute consumption from unconnected households to connected households, and reduces the nominal interest rate, much as in models with financial market segmentation.2 However, goods market segmentation implies that nonneutralities of money persist, that there is a negative Fisher effect that contributes to a persistent reduction in the nominal interest rate, that relative price dispersion increases across markets in response to the money shock, and that there can be a persistent increase in aggregate output. These effects are novel.

The model constructed here features nonneutralities of money arising from the interaction of financial market segmen- tation and goods market segmentation. Money overcomes absence-of-double-coincidence frictions in the exchange of goods and the clearing and settlement of consumer credit. The model is rich in its treatment of payments arrangements and central bank intervention, yet it is highly tractable. In the model, a level increase in the money supply, accomplished through an open market purchase or an increase in daylight overdrafts, acts to reduce the nominal interest rate, reallocate consumption within and across households, and change the fraction of transactions cleared using outside money in connected and unconnected markets. All of these ef- fects persist, with the degree of persistence governed by the volume of goods market transactions between connected and unconnected households and the technology for clearing and settlement. Payments system shocks are reflected in fluctuations in the velocity of money, and act to inefficiently reallocate con- sumption goods across the population relative to what could be achieved by a social planner. Active monetary policy in response to these shocks can mitigate their negative effects, but we show that no monetary policy rule can achieve a Pareto optimum. It is always optimal for the central bank to pay interest on reserves at the market nominal interest rate. Optimal monetary policy reflects a tradeoff between the welfare costs of consumption misallocation and intertemporal distortions. At the optimum, fluctuations in the nominal interest rate tend to be amplified rather than smoothed, but the optimal interest rate on daylight overdrafts is always zero.