Abstract
The financial sector plays a crucial role in the economy, not only being a simple intermediary between creditors and borrowers, but also having a significant impact on the economy’s development and its various characteristics. For this reason, accounting for financial sector peculiarities is critical when developing policy-oriented general equilibrium models for practical use. This drives the interest of many researchers in development of approaches to describing the financial sector and financial frictions in DSGE models. In financial frictions models one can describe the production side of the economy in a simplistic way. However, it could be important to model the production sector in more detail. For instance, separating tradable and non-tradable sectors of the economy could be of great significance, especially for developing economies which depend on foreign trade a lot. In this paper we analyze the role of the financial sector and how important it is for transmission of monetary and fiscal shocks under different assumptions about the production sector. Namely, we compare two-sector economy with tradable and non-tradable sectors with a simplistic model which assumes that the economy produces only tradable goods. According to the results, financial frictions impact tradable and nontradable sectors asymmetrically. In the two-sector model the effect of financial frictions is quantitatively smaller than in the one-sector economy. Therefore, using the latter simplifying assumption could lead to overestimating the role of financial frictions in the transmission of monetary and fiscal shocks. In addition, the paper provides estimates of how changes in monetary and fiscal policy instruments impact the Russian economy given the existence of financial frictions.
Highlights
The financial sector plays a crucial role in the economy, being a simple intermediary between creditors and borrowers, and having a significant impact on the economy’s development and its various characteristics
For this reason, accounting for financial sector peculiarities is critical when developing policy-oriented general equilibrium models for practical use. This drives the interest of many researchers in development of approaches to describing the financial sector and financial frictions in DSGE models
Separating tradable and non-tradable sectors of the economy could be of great significance, especially for developing economies which depend on foreign trade a lot
Summary
Аннотация Финансовая система является важным элементом экономики, и не просто играет роль посредника между кредиторами и заемщиками, но и оказывает прямое влияние на развитость экономики и другие ее характеристики. Учет особенностей функционирования финансового сектора крайне важен при разработке моделей общего равновесия для решения прикладных задач. Это обуславливает рост интереса к разработке подходов к включению несовершенств финансового рынка в DSGE-модели. В статье анализируется то, какова роль финансовых посредников и как сильно особенности их деятельности сказываются на последствиях проводимой экономической политики — в зависимости от того, предполагаем ли мы двухсекторную структуру производства или односекторную. В двухсекторной модели эффекты, связанные с несовершенством финансового рынка, асимметрично сказываются на торгуемом и неторгуемом секторах. В результате в двухсекторной модели несовершенства финансового рынка в меньшей степени меняют реакцию экономики на шоки монетарной и фискальной политики. Также в статье даны оценки реакции российской экономики на изменение ставки центрального банка и шоки некоторых инструментов фискальной политики с учетом несовершенств финансового рынка. Ключевые слова: финансовый сектор, финансовый акселератор, несовершенный финансовый рынок, налогово-бюджетная политика, фискальная политика, монетарная политика, DSGE-модель
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