Data for: Money, liquidity and welfare

Abstract of associated article: This paper develops an analytically tractable Bewley model of money demand to shed light on some important questions in monetary theory, such as the welfare cost of inflation. It is shown that when money is a vital form of liquidity to meet uncertain consumption needs, the welfare costs of inflation can be extremely large. With log utility and parameter values that best match both the aggregate money demand curve suggested by Lucas (2000) and the variance of household consumption, agents in our model are willing to reduce consumption by 3–4% to avoid 10% annual inflation. The astonishingly large welfare costs of inflation arise because inflation increases consumption risk by eroding the buffer-stock-insurance value of money, thus hindering consumption smoothing at the household level. Such an inflation-induced increase in consumption risk at the micro level cannot be captured by representative-agent models or the Bailey triangle. Although the development of financial intermediation can mitigate the problem, with realistic credit limits the welfare loss of moderate inflation still remains several times larger than estimations based on the Bailey triangle. Our findings provide a strong justification for adopting a low inflation target by central banks, especially in developing countries where money is the major form of household financial wealth.

相关论文摘要：本文构建了一个解析可处理的贝韦里（Bewley）货币需求模型，旨在阐明货币理论中的若干重要议题，例如通货膨胀的福利成本。研究表明，当货币作为应对不确定消费需求的关键流动性形式时，通货膨胀的福利成本可能极高。在设定对数效用函数，并选取能够同时最优拟合卢卡斯（Lucas, 2000）提出的总货币需求曲线与家庭消费方差的参数值时，模型中的经济主体愿意将消费降低3%至4%，以规避10%的年度通货膨胀率。通货膨胀的福利成本之所以高得惊人，是因为通胀会通过侵蚀货币的缓冲储备保险价值，加剧消费风险，进而阻碍家庭层面的消费平滑。这种由通胀引致的微观层面消费风险上升，无法通过代表性主体模型或贝利三角形（Bailey triangle）加以刻画。尽管金融中介的发展能够缓解这一问题，但在设置现实信贷限额的情况下，温和通货膨胀带来的福利损失仍数倍于基于贝利三角形测算得到的结果。本文研究结论为各国央行推行低通胀目标提供了强有力的支撑，尤其在货币是家庭金融财富主要构成的发展中国家更是如此。