期刊名称：Discussion Paper Series / Department of Economics, New York University
出版年度：2010
卷号：2010
期号：1
出版社：New York University
摘要：We consider the desirability of modifying a standard Taylor rule for a cen-
tral bank's interest-rate policy to incorporate either an adjustment for changes
in interest-rate spreads (as proposed by Taylor, 2008, and by McCulley and
Toloui, 2008) or a response to variations in the aggregate volume of credit (as
proposed by Christiano et al., 2007). We consider the consequences of such
adjustments for the way in which policy would respond to a variety of types
of possible economic disturbances, including (but not limited to) disturbances
originating in the ¯nancial sector that increase equilibrium spreads and contract
the supply of credit. We conduct our analysis using the simple DSGE model
with credit frictions developed in C¶urdia and Woodford (2009), and compare
the equilibrium responses to a variety of disturbances under the modi¯ed Tay-
lor rules to those under a policy that would maximize average expected utility.
According to our model, a spread adjustment can improve upon the standard
Taylor rule, but the optimal size is unlikely to be as large as the one proposed,
and the same type of adjustment is not desirable regardless of the source of
the variation in credit spreads. A response to credit is less likely to be helpful,
and the desirable size (and even sign) of response to credit is less robust to
alternative assumptions about the nature and persistence of the disturbances
to the economy.
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