Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium
构建了一个动态优化模型，明确允许不同金融资产之间的不完全替代性，并用美国数据估计发现长期利率偏离预期理论的部分原因可追溯到金融资产相对存量的变动，且央行操作对长期收益率和总需求有额外影响。
In this paper, we present a dynamic optimizing model that allows explicitly for imperfect substitutability between different financial assets. This is specified in a manner which captures Tobin's (1969) view that an expansion of one asset's supply affects both the yield on that asset and the spread or "risk premium" between returns on that asset and alternative assets. Our estimates of this model on U.S. data confirm that some of the observed deviations of long-term rates from the expectations theory of the term structure can be traced to movements in the relative stocks of financial assets. The richer aggregate demand and asset specifications imply that there exists an additional channel of monetary policy. Our results suggest that central bank operations exercise a modest influence on the relative prices of alternative financial securities, and so exert an extra effect on long-term yields and aggregate demand separate from their effect on the expected path of short-term rates.