부산대학교 도서관

The Great Recession that began around the world in 2008 caused hardship for millions. It has also prompted economists to re-evaluate what they thought they knew about macroeconomics, and policymakers to question the same in regard to policy. This thesis contains three papers, each of which investigates a question prompted or made more salient by the events of the Great Recession. Throughout the crisis and across the industrialised world, policymakers placed great emphasis on the ability of monetary policy to stimulate demand and close the large negative output gaps that the crisis opened up. This emphasis only increased as fiscal policy started to tighten after 2010. For this policy mix to work, however, it is necessary for monetary policy to have some effect when the economy is weak. The first substantive chapter of this thesis investigates whether this is the case. We estimate the impulse response of key US macro series to the monetary policy shocks identified by Romer and Romer (2004), allowing the response to depend flexibly on the state of the business cycle. We find strong evidence that the effects of monetary policy on real and nominal variables are more powerful in expansions than in recessions. The magnitude of the difference is particularly large in durables expenditure and business investment. The asymmetry relates to how fast the economy is growing, rather than to the level of resource utilisation. There is some evidence that fiscal policy has counteracted monetary policy more in recessions than in booms. We also find evidence that contractionary policy shocks have more powerful effects than expansionary shocks. But contractionary shocks have not been more common in booms, so this asymmetry cannot explain our main finding. The second paper also deals with interest rates, but with causes rather than consequences, and with long horizons rather than the business cycle. Over the past four decades, real interest rates have risen then fallen across the industrialised world. Over the same period, nominal investment rates are down, while house prices and household debt are up. In the second substantive chapter of this thesis, I explain these four trends with a fifth - the widespread fall in the relative price of investment goods. I present a simple closed-economy OLG model in which households finance retirement in part by selling claims on the corporate sector (capital goods) accumulated over their working lives. As capital goods prices fall, the interest rate must fall to reflect capital losses. And in the long run, a given quantity of saving buys more capital goods. This has ambiguous effects on interest rates in the long run: if the production function is inelastic, in line with most estimates in the literature, interest rates stay low even after relative prices have stopped falling. Lower interest rates reduce the user cost of housing, raising house prices and, given that housing is bought early in life, increasing household debt. I extend the model to allow for a heterogeneous bequest motive, and show that wealth inequality rises but consumption inequality falls. I test the model on cross-country data and find support for its assumptions and predictions. The analysis in this paper shows recent debates on macroeconomic imbalances and household and government indebtedness in a new light. In particular, low real interest rates may be the new normal. The debt of the young provides an alternative outlet for the retirement savings of the old; preventing the accumulation of debt, for example through macroprudential policy, leads to a bigger fall in interest rates. Real interest rates have fallen still further since the onset of the financial crisis of 2008, which was also associated with falls in corporate lending, business investment, labour productivity and real wages in the United Kingdom. The third substantive chapter of this thesis uses a large firm-level dataset of UK companies and information on their pre-crisis lending relationships to identify the causal links from changes in credit supply to the real economy following the 2008 financial crisis. Controlling for demand in the product market and conditional upon survival, it finds that the contraction in credit supply reduced labour productivity, wages and the capital intensity of production at the firm level. Furthermore, firms experiencing adverse credit shocks were more likely to fail, other things equal. The paper shows that these effects are robust, statistically significant and economically large, but only when instruments based on pre-crisis banking relationships are used. Taken together, what can we conclude from this work? Chapter 2 shows that nominal interest rates may need to be cut further than first thought in recessions, because a cut of a given size has less effect. The average level of nominal interest rates may therefore need to be higher to afford the monetary authorities more space to cut them. In extremis, monetary policy may not be sufficient to mitigate large recessions by itself, and may need to be supplemented by additional tools of demand management, such as fiscal policy. Chapter 3 suggests that the long-run real interest rate may have fallen for reasons independent of the business cycle, such that the inflation rate will need to be higher to achieve a given steady-state nominal interest rate. Macroprudential limits on household debt may exacerbate the tendency for real interest rates to fall, and it may be preferable instead to target a higher ratio of public debt to GDP. Between them, Chapters 2 and 3 provide arguments that the inflation target should be increased to keep the normal level of nominal interest rates a safe distance above zero. Chapter 4 suggests that adverse credit shocks may have very large negative effects on the productive efficiency of the corporate sector. This chapter attests to the large aggregate costs associated with financial crises, and accordingly indicates that measures to make them less frequent will be worthwhile even if these measures themselves entail appreciable gross costs. Taken together, these three papers suggest that there is much more to macroeconomic stabilisation than monetary policy, and that stabilisation is about the long run as well as the business cycle: fiscal and macroprudential policy should perhaps be used in conjunction with monetary policy to stabilise the business cycle, but furthermore to avoid a dichotomy between low real interest rates and high private debt, and stabilise the supply of credit.