Money in the Production Function : A New Keynesian DSGE Perspective

Transcription

1 Money in the Production Function : A New Keynesian DSGE Perspective Jonathan Benchimol To cite this version: Jonathan Benchimol. Money in the Production Function : A New Keynesian DSGE Perspective. ESSEC Working paper. Document de Recherche ESSEC / Centre de recherche de l ESSEC. ISSN : WP 34.. <hal > HAL Id: hal Submitted on 8 Feb 3 HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.

2 Money in the Production Function: A New Keynesian DSGE Perspective Research Center ESSEC Working Paper 34 3 Jonathan Benchimol

3

4

5

6 C C D

7 D C D C C C C C C

8 B B

9 C C B B B B B

10 B B B B B B B B B B B B B B B B B B B B B B B B B B

11 B B B B B B B B B B B B C C B B C C C B B B C C B B B B B B B B B B B B B B B B B B

12 B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

13 C CBB B B CBB B B

14 C B B BB B B BBB B B CBB B B CBB B B D C C C C C

15 % % % % 6 Output 4 Inflation Q 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4 8Q 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4 Real Money Balances Interest Rates Q 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4 5 8Q 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4

16 C B B D

17 B B B B D

18

19 Shock (%) Real Money Growth (%) Output Gap (%) Real Interest Rate (%) Real Money Balances (%) Nominal Interest Rate (%) Output (%) Inflation (%). Preference Shock Technology Shock. Money Shock -. Interest Rate Shock Quarters 4 Quarters 4 Quarters.4 4 Quarters

20

21 % % 8 Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Productivity Shock Quarter

22 % % Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Productivity Shock Quarter

23 % % Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Productivity Shock Quarter

24

25 C D C D C

26 C CC F C C C CC F D C F C CC

27 C D B B BC

28 SE_ua SE_ui SE_up SE_um alphan alpham teta 4 nu 4 sigma gamma khi li li li3 rhoa rhop rhop 5 rhoi rhoi 5 5 rhom rhom

29 SE_ua SE_ui SE_up SE_um alphan teta nu sigma gamma khi li li li3 rhoa rhop rhoi rhom

30 8 Interval m x m3 x x 4

31 8.5 Interval m x m3 x x 4

32

33

34

35

36 Alison Bougi +33 () ISSN 9-966