불완전한 금융시장이 고려된 DSGE모형하에서의 통화정책에 대한 연구

The recent financial crises have generated interest in the design of monetary policy rules not only for the developed economies, but also for the emerging economies. Under the financial turmoil, many policy makers think that there exits a trade-off between the inflation and the macroeconomic goal of financial market stability and brings into question the desirable form of the monetary policy. To address these questions, one needs to set up a theoretical model that takes explicitly the market failures. Considering the empirical fact that the real, nominal, and financial frictions are important in understanding the effects of monetary policy in both developed and emerging economies, it is natural to incorporate these rigidities and explore the behavior of the macroeconomic variables such as production,external risk premium, and net worth in the economy. For this purpose, this paper sets up a new Keynesian model with external habit in consumption and financial frictions due to asymmetric information between financial intermediaries and entrepreneurs along the line of Bernanke et al.(1999). Then it explores the effects of alternative interest rate rules on the economy when the economy is vulnerable to the various kinds of shocks. Based on this model, the paper also quantifies the effect of monetary policy on the welfare and compares the welfare cost of alternative monetary policy rules. In the circumstances of external habit in consumption, agents are determined to catch up with the Joneses without considering the effects of such behavior on aggregate demand, they unconsciously overheat the economy in expansionary phases and cool it down excessively in contractionary phases. This kind of external habit formation which generates unnecessary fluctuations in the economy over the business cycle calls for government stabilization policy. Under the circumstance of financial frictions,the entrepreneur's net worth and the external risk premium as well as price markup are critical in transmission of monetary policy and the design of desirable interest rate rules. The paper shows that the economy with financial frictions is more vulnerable to the exogenous than the economy without financial frictions. The paper also shows that the external finance premium as well as entrepreneurs net worth play pivotal roles over business cycles. If the economy is hit by demand shocks such as preference shocks, it is desirable for the monetary authority to implement an interest rate rule that responds to financial market conditions as well as the inflation gap to stabilize the economy. The type of a simple, implementable, and optimal monetary policy depends on both the type of shocks and the persistence of shocks that hit the economy. Finally, it shows that the interest rate rule reacting to financial market and inflation gap is best, while the interest rate rule responding to the financial market and output gap is worst among the considered simple interest rules under the financial friction circumstances.