期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2003
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：Evidence from vector autoregressions indicates that the impact
of interest rate shocks on macroeconomic aggregates can substantially
be affected by the so-called cost channel of monetary transmission.
In this paper we apply a structural approach to examine
the relevance of the cost channel for inflation dynamics in
G7 countries. We augment the so-called hybrid New Keynesian
Philips curve by letting firms’ costs for external funds rise with
the short-run nominal interest rate. Our estimates reveal that
the magnitude of this cost channel strongly varies between countries,
including member countries of the EMU, in accordance with
differences in their financial systems. Simulations of a New Keynesian
model further show that the presence of the cost channel
substantially affects the transmission of monetary policy shocks,
in particular, the inflation response.
关键词：Inflation Dynamics, New Keynesian Phillips Curve,
External Financing, Monetary Transmission.
