Replication data for: Conventional and Unconventional Monetary Policy with Endogenous Collateral Constraints

Principal Investigator(s): View help for Principal Investigator(s) Aloísio Araújo; Susan Schommer; Michael Woodford

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Project Citation:

Araújo, Aloísio, Schommer, Susan, and Woodford, Michael. Replication data for: Conventional and Unconventional Monetary Policy with Endogenous Collateral Constraints. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114083V1

Project Description

Summary: We consider the effects of central bank purchases of a risky asset as an additional dimension of policy alongside "conventional" interest rate policy in a general-equilibrium model of asset pricing with endogenous collateral constraints. The effects of asset purchases depend on the way that they affect collateral constraints. We show that under some circumstances, central bank purchases relax financial constraints, increase aggregate demand, and may even achieve a Pareto improvement; but in other cases, they tighten financial constraints, reduce aggregate demand, and lower welfare. The latter case is almost certainly the one that arises if central bank purchases are sufficiently large. (JEL D51, E43, E44, E52, E58)

Scope of Project

JEL Classification:
      D51 Exchange and Production Economies
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy
      E52 Monetary Policy
      E58 Central Banks and Their Policies

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V1 [2019-10-12]

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