Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter
提出并演示了一种估计金融部门技术参数的方法，解决卢卡斯批判和巴内特批判，并比较了Divisia货币总量与简单加总货币总量的追踪能力。
THIS PAPER provides and illustrates an approach to the estimation of technology parameters in the financial sector. The relevant technologies are those of the financial intermediaries that produce inside money as output services and the nonfinancial firms that demand financial services as inputs to production technology. We also display analogous results for consumer demand, but without the modeling and econometric details, which are available elsewhere. The problems that we seek to solve through our approach to modeling and Euler equation estimation are the Lucas Critique and what Chrystal and MacDonald (1994, p. 76) recently have called the Barnett Critique. We also explore the tracking ability of the Divisia monetary aggregate and simple sum monetary aggregate relative ta the GMM estimated exact rational expectations monetary aggregate for each type of economic agent. In this paper, we produce and estimate Euler equations for firms that demand or supply financial services as an illustration of the available approach, first advocated forcefully and convincingly for the financial sector by Poterba and Rotemberg (1987) with respect to consumer demand for financial services. We do not seek to integrate the three sectors into a complete economy, in which aggregation blockings would have to conform across sectors. In addition, we do not explore in detail the