THE INSTABILITY IN THE MONETARY POLICY REACTION FUNCTION AND THE ESTIMATION OF MONETARY POLICY SHOCKS

We extend Romer and Romer's (2004) analysis of the estimation and the effects of monetary policy shocks by controlling for (1) changes in the monetary policy reaction function and (2) changes in the response of output and prices over time with an extended data set. The results suggest that the post 1979 responses of output and prices to a monetary policy shock are significantly different from what has been reported for the whole sample: While output and prices respond significantly and negatively if their response is estimated for the whole sample period (1969–2005), the response of output is insignificant for the period of 1979–2005, and the response of prices is much weaker. The analysis of the changes in the monetary policy conducted over time allows us to partly attribute the diminished price and output responses to a successful monetary policy which led to a less volatile economy during the great moderation. (JEL E52, E32, C50)     

An interest-rate-spread-based measure of Turkish monetary policy

A coherent method to measure the effectiveness of a monetary policy improves the monetary authority’s management capacity and renders the possibility of applying sound policies prior to and during a crisis. The trend in employing complicated and ambiguity-bearing unconventional monetary tools in the aftermath of the 2008 crisis has increased the value of such a method. The aim of this article is to introduce a coherent and consistent monetary policy evaluation method for Turkey. Accordingly, we suggest that innovations in the spread between overnight interest rates and Treasury auction interest rates are informative for exchange rate, output, and prices. Empirical evidence for this identification reveals that positive innovation in spread (implying a tight monetary policy measure) decreases output temporarily, permanently decreases prices, and appreciates local currency. This result is also robust to alternative specifications.     

Does money have a role in the inflation process? Evidence from Australia

Inflation, defined as a sustained increase in the price level, is considered a monetary phenomenon, as it can be explained within the framework of money‐demand and money‐supply relationships. In the extant literature, money growth is shown to remain causally related to inflation across countries and over time, irrespective of the exchange rate regime and stability of the money‐demand function. Nevertheless, emerging literature suggests a diminishing role of money in the conduct of monetary policy for price stability, especially under inflation targeting. Monetary policy in Australia under inflation targeting since 1993 is an example of policy that denies a relationship between money growth and inflation. The proposition that money does not matter insofar as inflation is concerned seems odd in both theory and the best‐practice monetary policy for price stability. This paper uses annual data for the period 1970–2017 and quarterly data for the period 1970Q1–2015Q1. It deploys both the Johansen cointegration approach and the autoregressive distributed lag (ARDL) cointegration approach to investigate for Australia whether money, real output, prices and the exchange rate (non‐stationary variables) maintain the long‐run price‐level relationship that the classical monetary theory suggests in the presence of such stationary variables as the domestic and foreign interest rates. As expected, the empirical findings for Australia are consistent with the classical long‐run price‐level relationship between money, real output, prices and the exchange rate. The error‐correction model of inflation confirms the presence of a cointegral relationship among these variables; it also provides strong evidence of a short‐run causal relationship between money supply growth and inflation. On the basis of a priori theoretical predictions and empirical findings, the paper draws the conclusion that the monetary aggregate and its growth rate matter insofar as inflation is concerned, irrespective of the strategy of monetary policy for price stability.     

能源投入产出模型的选择：混合型还是价值型*

将投入产出技术用于能源问题的分析时，当前文献中有两类模型：混合型能源投入产出模型和价值型能源投入产出模型，其中价值型模型应用更为广泛。本文从能源平衡方程入手，对这两类模型的本质特点和差异进行了辨析，通过严格证明，得到如下结论：第一，在技术系数矩阵稳定的条件下，出现新的最终需求时，混合型能源投入产出模型仍然保证能源平衡方程的成立，具备一致性。第二，在技术系数矩阵和能源价格矩阵稳定的条件下，出现新的最终需求时，价值型能源投入产出模型无法保证能源平衡方程的成立。虽然价值型能源投入产出模型在初始构建过程中使用了能源平衡方程，但本质上是以价值单位的投入产出方程为根本出发点的，并没有考虑能源平衡方程在新的最终需求发生时是否仍然成立的问题，没有考虑能源使用的一致性。因此，一般情况下混合型能源投入产出模 型更为合理。第三，在某些特殊情况下这两类模型等价：（1）当最终需求结构保持不变，而只有最终需求总量发生变化时；（2）当能源在各使用部门之间的价格完全相同时。这些结论为实际应用中如何选择恰当的能源投入产出模型提供了依据。     

油价冲击、货币政策调整与产出波动——基于中国的经验证据

本文基于我国2001-2010年宏观经济月度数据,采用SVAR模型分析了国际油价波动时,央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现,在排除货币政策回应油价波动干扰后,通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示,长期内产出波动由油价冲击和货币政策解释的比例分别为5716%和32480%,比排除干扰前分别下降了2569%和4560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外,面对油价的短期冲击,CPI指数并未随着生产者购进价格指数上升而上升,产出也未发生明显的衰减;但在较长时间内,油价上升会因为相对价格的改变,而影响CPI水平和货币政策,从而对产出产生显著的负面影响。     

The “price puzzle” in the monetary transmission VARs with long-run restrictions

This study addresses the “price puzzle” — a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest rate, we find that monetary tightening had a negative effect on prices.     

基于资产价格影响的货币政策非对称性效应研究

利用NK-SVAR模型就我国货币政策的非对称性效应进行研究,结果表明,紧缩性货币政策的效果比较明显,而扩张性货币政策效果较弱.货币冲击的紧缩效应强于扩张效应,这表明抑制经济的过快增长时紧缩性的货币政策效果显著,但扩张性货币政策无法摆脱经济的恶性衰退.     

Monetary and fiscal policies in a heterogeneous‐agent economy

We study the effects of long‐run inflation and income taxation in an economy where households face uninsurable idiosyncratic risks. We construct a tractable competitive‐search framework that generates dispersion of prices, income and wealth. We analytically characterize the stationary equilibrium and the policy effects on individual choices. Quantitative analysis finds that monetary and fiscal policies have distinct effects on macro aggregates, such as output, savings and wealth, income and consumption inequalities. There is a hump‐shaped relationship between welfare and the respective policies. Overall, welfare is maximized by a deviation from the Friedman rule, paired with distortionary income taxation.     

我国资产价格波动与货币政策关系研究

随着金融自由化的逐步推进,资本市场存量日益增大.这既体现了金融深化程度的提高,又意味着货币供应与国民经济主要指标之间稳定性的弱化.资产价格对货币政策的制订和执行会产生深刻的影响.其中股价、房价等资产价格在货币政策传导机制中扮演的角色越来越重要.本文从实证角度出发,通过构建VAR模型检验我国资产价格对货币政策的反应以及资产价格对货币政策目标的影响,发现资产价格、货币政策及货币政策目标间存在长期协整关系,资产价格对产出有正向冲击作用,股市显著影响通货膨胀,但房地产市场对通货膨胀推动作用不明显,资产价格受货币政策的冲击影响显著,其中股市对货币政策冲击的反应明显大于房地产市场.     

Data uncertainty and the role of money as an information variable for monetary policy

In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area.     

资产价格泡沫与货币政策应对——事先行动还是事后反应

资产价格泡沫的产生原因是多方面的,早期的研究更多地认为资产泡沫来自于投资者的非理性因素,但是随着金融自由化进程的推进,与经济金融发展水平不相适应的金融自由化也成为资产泡沫产生的一个重要原因。而对于资产价格泡沫的货币政策应对一直存在争议,一些学者主张货币政策应该忽略资产价格,而另一些学者则主张货币政策应该对资产价格作出反应。本文基于后一种观点,来探讨当预期资产价格将出现泡沫时,货币政策是该事先行动还是事后反应,为此,本文引入产出跨期配置的理论,来阐述货币政策应对资产价格泡沫的决策模型。     

The natural rate of interest and the output gap in the euro area: a joint estimation

The notion of a natural real rate of interest, due to Wicksell (Interest and prices. Macmillan, London Translation of 1898 edition, 1936), is widely used in current central bank research. The idea is that there exists a level at which the real interest rate would be compatible with output at its potential level and stationary inflation. Such a concept is of primary concern for monetary policy because it provides a benchmark for the monetary policy stance. This paper applies the method suggested by Laubach and Williams (Rev Econ Stat 85(4):1063–1070, 2003) to jointly estimate the natural real interest rate and the output gap in the euro area using data from 1960 onwards. Our results suggest that the natural real rate of interest has declined gradually over the past 40 years. They also indicate that monetary policy in the euro area was on average stimulative during the 1960s and the 1970s, while it contributed to dampen the output gap and inflation in the 1980s and 1990s. The views expressed in this paper are those of the authors and do not necessarily reflect the opinions of the institutions to which they are affiliated. We are grateful to Siem Jan Koopman for very helpful suggestions and comments. We also thank P. Cour-Thimann, V. Curdia, F. Drudi, S. McCaw, D. Rodriguez-Palenzuela, R. Pilegaard, H. Pill, L. Stracca, T. Laubach, J. C. Williams and the participants of an ECB workshop on natural interest rates.     

Liquidity traps, learning and stagnation

We examine global economic dynamics under learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. Under normal monetary and fiscal policy, the intended steady state is locally but not globally stable. Large pessimistic shocks to expectations can lead to deflationary spirals with falling prices and falling output. To avoid this outcome we recommend augmenting normal policies with aggressive monetary and fiscal policy that guarantee a lower bound on inflation. In contrast, policies geared toward ensuring an output lower bound are insufficient for avoiding deflationary spirals.     

Optimal monetary policy in a small open economy with inflation and output persistence

We study optimal monetary policy for a small open economy in a model where both inflation and output show persistence. We incorporate habit formation into intertemporal consumption decision and modify the Calvo price setting to include indexation to past inflation. The message conveyed from this study can be viewed as twofold. First, full stabilization of domestic prices or the output gap is not optimal policy. This is because stabilization of the output gap leads to serial correlation in domestic inflation, whereas under full stabilization of domestic prices the output gap displays some serial correlation. It is, however, shown that at the zero inflation steady state, stabilizing domestic prices is equivalent to stabilizing the output gap. Second, in the presence of foreign income shock inflation and the output gap are more stable under flexible CPI inflation targeting than under other alternative policy regimes considered.     

Dynamics of money, output and price interaction — some Indian evidence

The present study is an attempt to model the dynamic interactions between money, output and prices in a structural vector autoregression framework. The primary concern of the paper is to examine the sources of variations and response of one variable to changes in others in a system of economic variables in the Indian context. Using quarterly data from 1970Q1 to 1990Q4, we find that structural factors, in addition to monetary factors, play an important role in generating and sustaining the process of inflation and fluctuations in economic activity. An increase in money/credit supply is found to increase output and prices in the short-run and prices in the long-run, while a non-accommodating monetary policy is ineffective in controlling inflation even at the cost of substantial output losses, thereby indicating relative rigidities in price movements. Another interesting finding is that the monetary authority responds differently to different price shocks, exercising its leverage in altering the quantity as well as the composition of aggregate money supply. Our findings also indicate that the economy is characterized by relatively large and infrequent shocks to ‘price/cost’-related factors. Finally, our analysis suggests that a simple monetary targeting without adequate ‘supply side’ measures may not be able to serve the objective of maintaining growth with price stability.     

货币政策无效性命题在中国的实证研究

本文采用两步OLS方法考察了中国货币政策对实际产出的影响 ,实证结果倾向于拒绝政策无效性命题 (PIP)。实证研究表明预期到的与未预期到的货币都影响产出 ,货币政策对产出在 1 0 %的显著水平上存在非对称性影响。笔者认为在中国预期到的货币政策影响产出 ,其原因是不完全的市场与价格刚性的存在。     

Asymmetric effects of monetary policy shocks on economic performance: empirical evidence from Turkey

This study investigates the asymmetric effects of monetary policy shocks on the macroeconomic variables of exchange rate, output and inflation for an emerging economy ? Turkey ? by using monthly data between 1990 and 2014. We employ the innovative nonlinear vector autoregressive model of Kilian and Vigfusson (2011), which allows us to observe the effect of different stances (tight or loose) and different sizes (small or large) of monetary policy actions. Our empirical evidence reveals that tight monetary policy, which, in this case, is captured with a positive shock to interest rate, decreases exchange rate, output and prices, as economic theory suggests. Loose monetary policy, which is captured with a negative shock to interest rate, has the opposite effect on these variables. However, the effects of loose monetary policy are weaker than the effects of tight monetary policy because loose monetary policy shocks are less effective than tight monetary policy shocks. Moreover, as the magnitude of a shock increases, the difference between the effects of tight and loose monetary policy policies also increases.     

Turnpike theory, discounted utility, and the von Neumann facet

The convergence of infinite optimal paths to stationary optimal paths is proved in models of capital accumulation whose discount factors are near 1, where strict concavity is not required for utility functions and production functions. The critical assumptions are unique support prices for points of the von Neumann facet, where is near 1, a unique optimal stationary stock when is equal to 1, and the absence of cyclic paths on the von Neumann facet when is equal to 1. The results are illustrated in generalizing a model provided by Weitzman and Samuelson.     

Analyzing the effects of US monetary policy shocks in dollarized countries

Identifying monetary policy shocks is difficult. Therefore, instead of trying to do this perfectly, this paper exploits a natural setting that reduces the consequences of shock misidentification. It does so by basing conclusions upon the responses of variables in three dollarized countries (Ecuador, El Salvador, and Panama). They import US monetary policy just as genuine US states do, but have the advantage that non-monetary US shocks are not imported perfectly. Consequently, this setting reduces the effects of any mistakenly included non-monetary US shocks, while leaving the effects of true monetary shocks unaffected. Results suggest that prices fall after monetary contractions; output does not show a clear response.     

Money and Prices Under Uncertainty

We study whether monetary economies display nominal indeterminacy: equivalently, whether monetary policy determines the path of prices under uncertainty. In a simple, stochastic, cash-in-advance economy, we find that indeterminacy arises and is characterized by the initial price level and a probability measure associated with state-contingent nominal bonds: equivalently, monetary policy determines an average, but not the distribution of inflation across realizations of uncertainty. The result does not derive from the stability of the deterministic steady state and is not affected essentially by price stickiness. Nominal indeterminacy may affect real allocations in cases we identify. Our characterization applies to stochastic monetary models in general, and it permits a unified treatment of the determinants of paths of inflation.