国际清算银行-企业异质性、资本错配与最优货币政策（英）-2023.11-117页_4mb

Summary: Firm Heterogeneity, Capital Misallocation, and Optimal Monetary Policy

This paper explores the link between monetary policy, capital misallocation, and firm heterogeneity in a New Keynesian framework with financial frictions.

Key Points

• Model Structure: Incorporates heterogeneous firms with varying net worth and idiosyncratic productivity, subject to financial constraints (borrowing limited to a multiple of net worth). A Kolmogorov Forward equation tracks the distribution of firm characteristics.

• Capital Misallocation Channel: Expands emphasize that an accommodative monetary policy reduces misallocation by enabling high-return firms to increase investment more than low-return firms, thereby improving aggregate total factor productivity (TFP).

• Optimal Monetary Policy:

  • Time-Inconsistency: The central bank has a tendency to exploit the misallocation channel through temporary surprises, leading to a "low for longer" policy at the zero lower bound (ZLB), which extends beyond what is needed under complete markets.
    • Market incompleteness significantly amplifies this time-inconsistent incentive.
  • Optimal Commitment: Under commitment to timeless price stability, the central bank should maintain price stability, as managing misallocation does not improve medium-term outcomes but increases policy complexity.

• Empirical Evidence: Using Spanish firm-level data and high-frequency monetary policy shocks, the analysis shows that expansionary shocks disproportionately boost investment by high-marginal revenue product of capital (MRPK) firms. This reduces capital misallocation, contributing to TFP gains.

Implications

The study underscores that market incompleteness introduces novel considerations for optimal monetary policy, necessitating temporary departures from strict price stability under time inconsistency but retaining the long-run preference for price stability due to improved capital allocation. This link between financial structure and monetary policy provides a practical framework for policymakers.