We study optimal Taylor-type interest rate rules in an economy with credit market
imperfections. Our analysis builds on the agency cost framework of Carlstrom and
Fuerst [1997. Agency costs, net worth and business fluctuations: a computable general
equilibrium analysis. American Economic Review 87, 893–910], which we extend
in two directions. First, we embed monopolistic competition and sticky prices. Second,
we modify the stochastic structure of the model in order to generate a countercyclical
premium on external finance. This is achieved by linking the mean distribution of
investment opportunities faced by entrepreneurs to aggregate total factor productivity.
We model monetary policy in terms of simple welfare-maximizing interest rate rules.
We find that monetary policy should respond to increases in asset prices by lowering
interest rates. However, when monetary policy responds strongly to inflation, the
marginal welfare gain of responding to asset prices vanishes. Within the class of
linear interest rate rules that we analyze, a strong anti-inflationary stance always
attains the highest level of welfare.
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