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The welfare cost of inflation in generalized general equilibrium models.

机译：广义一般均衡模型中通货膨胀的福利成本。

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摘要

The objective of my dissertation is to study the welfare cost of inflation in a general equilibrium framework that takes into account more realistic factors in the real world, a framework with more generalized model settings of money demand side and money supply side. On the money demand side, we introduced interest-bearing deposits applying the monetary aggregation theory; on the supply side, we established a banking sector that produces interest-bearing deposits. We found that the welfare cost of inflation is substantially low compared with the estimates in the model with only non-interest-bearing assets, and is much lower than that estimated by Lucas (2000).; We also investigated the role of required reserves and excess reserves. Required reserves are equivalent to the introduction of a tax wedge on the supply price of financial assets, and it is passed entirely to the household in general equilibrium. The prices of interest-bearing deposits are no longer invariant to changes in the rate of inflation. The welfare cost of inflation increases because interest-bearing deposits will be only partially shielded from the costs of inflation. People tend to substitute toward the monetary assets subject to lower reserve requirements. Excess reserve is treated as an input to the production technology of the banking sector. The user cost of excess reserves is the nominal interest rate. An increase in the rate of inflation will cause substitution away from excess reserves to the other inputs, labor and capital. The increase in the demand for labor and capital will then reduce the labor and capital inputs in the goods production, therefore reducing output available for consumption. This effect increases the welfare cost of inflation.; Since the welfare cost of inflation depends on the degree to which user costs of interest-bearing deposits vary with the rate of inflation, we conducted a research on the empirical relationship between the nominal interest rates and inflation. Using a cross-country sample, we found the empirical support to the non-linear relationship between inflation and interest rates. A new two-threshold specification has been developed to ensure that the estimated values are continues at the thresholds. Bootstrap approach has been used to estimate the thresholds in order to get more accurate estimations. For OECD countries, who are developed countries, there is only one threshold level of inflation below which inflation have stronger positive effect on interest rates than that above this level, and the effect of inflation on the user cost of deposit is even negative when the rate of inflation is above the threshold. When investigating the sample including OECD and all other countries, two threshold levels of inflation were found. Inflation has negative effect on the deposit and lending interest rates when it is below the lower threshold, and positive effect when it is above the lower threshold. (Abstract shortened by UMI.)
机译：本文的目的是在一个一般均衡的框架下研究通货膨胀的福利成本，该框架考虑了现实世界中的更多现实因素，该框架具有更为广义的货币需求侧和货币供给侧模型设置。在货币需求方面，我们采用货币聚集理论介绍了计息存款。在供应方面，我们建立了一个银行，产生计息存款。我们发现，与只有非计息资产的模型相比，通货膨胀的福利成本要低得多，并且远低于卢卡斯（2000）所估计的。我们还调查了所需准备金和超额准备金的作用。法定准备金等同于对金融资产的供给价格引入税收楔子，并在一般均衡中全部转嫁给家庭。计息存款的价格不再随通货膨胀率的变化而变化。通货膨胀的福利成本增加，因为计息存款将仅部分抵御通货膨胀成本。人们倾向于以较低的准备金要求替代货币资产。超额准备金被视为对银行业生产技术的投入。用户超额准备金的成本是名义利率。通货膨胀率的上升将导致由超额准备金替代其他投入，劳动力和资本。劳动力和资本需求的增加将减少商品生产中的劳动力和资本投入，从而减少可供消费的产出。这种影响增加了通货膨胀的福利成本。由于通货膨胀的福利成本取决于计息存款的用户成本随通货膨胀率变化的程度，因此我们对名义利率与通货膨胀之间的经验关系进行了研究。使用跨国样本，我们发现了通货膨胀与利率之间的非线性关系的经验支持。已经开发了新的两阈值规范，以确保估计值继续在阈值上。自举方法已用于估计阈值，以便获得更准确的估计。对于发达国家的经合组织国家而言，只有一个通货膨胀阈值水平，低于该阈值水平，通货膨胀对利率的积极影响要大于高于该水平的通货膨胀水平；当利率上升时，通货膨胀对存款用户成本的影响甚至为负通货膨胀率高于阈值。在调查包括经合组织和所有其他国家的样本时，发现了两个通货膨胀阈值水平。低于下限时，通货膨胀对存款和贷款利率产生负面影响，而高于下限时，通货膨胀对正面影响。 （摘要由UMI缩短。）

著录项

  • 作者

    Wang, Lian.;

  • 作者单位

    State University of New York at Binghamton.;

  • 授予单位 State University of New York at Binghamton.;
  • 学科 Economics Finance.; Economics Theory.
  • 学位 Ph.D.
  • 年度 2006
  • 页码 225 p.
  • 总页数 225
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;经济学;
  • 关键词

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