Alternative Monetary Policy Rules for Small Open Economies

This paper examines the relative merits of alternative monetary policy rules for a small open economy. Rules considered target: the exchange rate, price level, nominal income, or a monetary aggregate. The standard framework employed in previous comparisons of these rules fails to take account of important features of small open economies. In particular, the standard framework fails to consider the effects on aggregate supply of exchange rate adjustments resulting from adherence to policy rules. Incorporating these effects is shown to weaken the case for targeting nominal income and, more generally, to complicate the ranking of policy rules.     

Monetary and Fiscal Policy Rules in the EMU

Abstract. This paper studies the design and effects of monetary and fiscal policy in the euro area. To do so, a stylized two‐region model of monetary and fiscal policy rules in the EMU is built. We analyse how monetary and fiscal rules affect the adjustment dynamics in the model. Both the effects on the individual countries and on the EMU aggregate economy are studied. Three aspects play an important role in the analysis: (i) the consequences of alternative monetary and fiscal policy rules, (ii) the consequences of asymmetries between EMU countries (asymmetries in macroeconomic shocks and macroeconomic structures), and (iii) the role of alternative degrees of backward‐ and forward‐looking behaviour in consumer decisions and inflation expectations.     

泰勒型规则的研究文献综述

界定经济模型中的货币政策反应函数有多种方法.近年来,随着泰勒规则或者说是泰勒型规则的实际运用,出现了对这一问题进行研究的大量文献.泰勒规则虽然简单并易于控制,但它却体现了货币当局调控行为的本质.本文对有关泰勒型货币政策规则特征的研究文献做了一个简要回顾,并考察了对泰勒原式的修正以及运用和设计泰勒规则的理论及实证问题.     

Interactions between Monetary and Fiscal Policy Rules

The Fiscal Stability Pact for EMU implies that constraints on fiscal policy facilitate inflation control. In this paper we identify two stable policy regimes. When monetary policy seeks to raise real interest rates in response to excess inflation, a self-stabilising fiscal policy is required to ensure model stability. A fiscal policy which does not, by itself, ensure fiscal solvency constrains monetary policy to be relatively 'passive'. However, in simulations we conclude that the central bank does not need to seek, on this account, the degree of debt stabilisation that appears to be implied by the fiscal stability pact.     

Aid for AIDS in Africa

This article applies a two-tiered contribution model to ascertain the determinants of donors?? participation and contribution levels to giving aid for controlling HIV/AIDS in Africa. Bayesian spatial estimates for the two-tiered model are presented for 22 donor countries that gave aid to 48 recipient countries during 2000?C2007. We account for the public nature of HIV/AIDS contributions by including the contributions of other donors as a determinant at both participation and expenditure stages, along with standard determinants of general assistance. Independent variables account for altruistic, political, economic, location, institutional, and environmental factors. Donor??s reaction to spillovers differs in the two stages, thereby supporting the two-tiered estimates over the single-stage Tobit estimates. Aid for AIDS in Africa is motivated by a complex mix of strategic (publicness), altruistic, and donor self-interests. Key factors at both stages include donors?? spillovers, rule of law, past colonial ties, sharing a common language, trade, and people living with HIV. A host of robustness tests are presented.     

最优货币政策规则的选择及在我国的应用

本文首先根据我国的实际数据 ,建立和估计混合型模型 ,并以此作为研究货币政策规则的基本框架。然后在随机模拟的基础上 ,以社会福利为基准 ,计算和比较三种货币政策决策方式对社会福利的影响 ,这三种决策方式是完全承诺的最优货币政策规则、最优的Taylor规则及相机抉择。同时计算与福利损失等价的通胀率变化 ,结果表明 ,最优的Taylor规则能够很好地近似完全承诺的最优货币政策规则 ,这为进一步改进我国货币政策的决策和操作提供了一个指导方向。其次 ,对我国目前的货币政策决策和操作存在的问题进行分析 ,特别是对目前我国盯住货币供应量的体制所存在的问题进行分析 ,并提出改进的方案     

Using Taylor Rules to Understand European Central Bank Monetary Policy

Abstract. Over the last decade, the simple instrument policy rule developed by Taylor has become a popular tool for evaluating the monetary policy of central banks. As an extensive empirical analysis of the European Central Bank's (ECB) past behaviour still seems to be in its infancy, we estimate several instrument policy reaction functions for the ECB to shed some light on actual monetary policy in the euro area under the presidency of Wim Duisenberg and answer questions like whether the ECB has actually followed a stabilizing or a destabilizing rule so far. Looking at contemporaneous Taylor rules, the evidence presented suggests that the ECB is accommodating changes in inflation and hence follows a destabilizing policy. However, this impression seems to be largely due to the lack of a forward-looking perspective in such specifications. Either assuming rational expectations and using a forward-looking specification, or using expectations as derived from surveys result in Taylor rules that do imply a stabilizing role of the ECB. The use of real-time industrial production data does not seem to play such a significant role as in the case of the United States.     

我国双目标基础货币规则的设定

通过VEC模型研究发现,我国基础货币增长率、实际GDP增长率、CPI、货币流通速度之间具有趋势特征,存在显著相关性,基础货币的可控性与可测性良好且流通速度较为稳定;基础货币对实际GDP增长率偏差的反应程度要高于通货膨胀率偏差,需在规则设定中赋予更大的权重;能实现经济增长和物价稳定双重目标的基础货币规则,其目标值的设定可以是点或是区间,而区间目标既能体现规则的严肃性又能实现操作的灵活性,还能满足货币政策逆风向调节的本质特征。     

Incomplete Information in Monetary Policy Games: Rules Rather Than a Conservative Central Banker

Time inconsistency in monetary policy can be addressed appointing a conservative central banker. But incomplete information about the central banker's preferences impairs the performance of delegation schemes. Firstly, the ensuing ex-ante variability of monetary response lowers welfare. Secondly, partial independence schemes may prove inadequate because reputation — not only legal arrangements — defines the actual degree of independence. The incumbent may exploit his reputation to impose too conservative policies whereas, if he lacks reputation, partial independence forces him to accommodate. As a result, simple rules may be preferred.
…I do not believe that we should always get the best man for the post; often I fear that we should not even get a tolerable man.
(W. Bagehot, The Government of the Bank of England, in 'Lombard Street')     

Monetary Rules and Deficit Shocks

Modern theory on interest rate rules is based on the representative agent framework with infinite-horizon consumers, thereby ignoring redistributions of the fiscal burden across generations due to deficit shocks. We show how the ‘Taylor principle’ relies on this restrictive assumption. In a dynamic New Keynesian general equilibrium model with overlapping generations, the existence of a unique stable rational expectations equilibrium may also occur under a passive monetary policy. However, active monetary policy is still required to stabilize the economy in response to fiscal shocks. Thanks are due to an anonymous referee, Andrea Costa, Jordi Galí and Giancarlo Marini for very useful comments and discussions. Financial support from CNR and the FIRB project is gratefully acknowledged. The usual disclaimer applies.     

Optimal Monetary Policy

Optimal monetary policy maximizes the welfare of a representative agent, given frictions in the economic environment. Constructing a model with two sets of frictions—costly price adjustment by imperfectly competitive firms and costly exchange of wealth for goods—we find optimal monetary policy is governed by two familiar principles. First, the average level of the nominal interest rate should be sufficiently low, as suggested by Milton Friedman, that there should be deflation on average. Yet, the Keynesian frictions imply that the optimal nominal interest rate is positive. Second, as various shocks occur to the real and monetary sectors, the price level should be largely stabilized, as suggested by Irving Fisher, albeit around a deflationary trend path. Since expected inflation is roughly constant through time, the nominal interest rate must therefore vary with the Fisherian determinants of the real interest rate. Although the monetary authority has substantial leverage over real activity in our model economy, it chooses real allocations that closely resemble those which would occur if prices were flexible. In our benchmark model, there is some tendency for the monetary authority to smooth nominal and real interest rates.     

货币政策组合规则

本文建议在泡沫高涨时将货币政策由利率规则转为货币量规则。在本文设定的CIA模型经济中，外生泡沫通过金融渠道对经济发生影响。本文证实，即使是遵循了泰勒原则的利率规则也会因为对融资活动的增长提供相应的货币支持而实际上起到助长泡沫经济的作用；而货币量规则由于对货币供应的控制而能起到缩短并稳定泡沫经济影响的效果。本文的模拟实验表明，在大型泡沫经济中将利率规则与货币量规则组合使用能取得更好的宏观经济成果。同时，将不同规则进行组合使用的思想在货币政策的研究中是新颖的，本文还发展了模型对接的技术处理方法。     

The Implications of Uncertainty for Monetary Policy

This paper uses a simple model of the Australian economy to empirically examine the consequences of parameter uncertainty for optimal monetary policy. Optimal policy responses are derived for a monetary authority that targets inflation and output stability. Parameter uncertainty is characterised by the estimated distribution of the model coefficient estimates. Learning is ruled out, so the monetary authority can commit to its ex ante policy response. For certain shocks, taking account of parameter uncertainty can recommend more, rather than less, activist use of the policy instrument. While this finding is specific to the model specification, parameter estimates and the shocks analysed, it contrasts with the widely held belief that the generic implication of parameter uncertainty is more conservative policy.     

前瞻性货币政策反应函数在我国货币政策中的检验

本文在泰勒等西方学者对货币政策反应函数研究的基础上,构造一个适合我国国情的前瞻性货币政策反应函数,从市场利率(同业拆借利率)、管制利率(存贷款利率)以及两者利差三个层次,通过该反应函数对我国货币政策的实证检验结果发现,一方面,该反应函数能够很好地描述同业拆借利率、存贷款利率和两者利差的具体走势,能够为我国货币政策的制定提供一个参考尺度,以衡量货币政策的松紧。另一方面,检验结果表明,三个层次的利率对预期通胀率和预期产出的反应绝大多数都不足,这说明,我国货币政策是一种内在不稳定的货币政策。     

货币政策操作

谢平指出:中国人民银行实行稳健的货币政策,在促进国民经济持续快速增长中发挥了重要作用。     

Effectiveness of Monetary Policy in Euroland

In this paper we analyze the effects of different decision rulesin the ECB on monetary stability. We consider a model where asymmetricshocks and divergent propagation of shocks on output and inflation arepotential causes of tension within the ECB concerning the conduct ofmonetary policy. Given divergence of desired interest rates we analyze theeffect of different voting procedures within the Governing Council of theECB. We find that under ECB-rule the ECB Board is able to impose its desiredinterest rate as the Euro-wide interest rate. Large countries benefit fromECB-rule as it implies higher voting power for them at the GoverningCouncil. Our welfare analysis indicates that under particular parameterspecifications ECB-rule is strictly preferred to Nationalistic rule.     

货币长期中性对经济增长的意义

本文强调货币中性与货币非中性两个概念都有重要的意义,前者指明了经济持续增长的根本动力不在货币而在技术与制度,后者则为短期内保持经济的平衡提供了政策工具。在分析货币供给与经济增长的关系时,实证研究应建立在理论与实际的基础上。我国经济的实际问题是生产效率增长乏力。解决的出路是技术的创新与制度的变革。     

Measuring Monetary Policy Stress for Fed District Representatives

This study provides a measure of the degree of stress that exists among Fed districts in the US. Stress in a district is defined as the difference between the desired interest rate of its representative and the actual policy rate implemented by the FOMC. I find that the degree of stress reflects the stance of the US monetary policy, a positive stress level in the 1990s (which corresponds to a policy rate higher than the desired rate of FOMC members), and a negative stress level from the 2000s (which corresponds to a policy rate lower than the desired rate of FOMC members). However, the economic and financial crisis exacerbated the degree of stress measure, suggesting an increase in monetary policy uncertainty among FOMC members from that time.     

Monetary Stabilisation Policy in a Monetary Union: Some Simple Analytics

We do two things in this paper. First, we look at some simple models of monetary decision making in a monetary union and ask how much more variable a country's output and inflation is likely to be if it joins the union. We answer this analytically and then go on to 'calibrate' the simple model. The model has few structural equations, but it is useful in allowing us to examine how the variability of output and inflation are likely to change as key parameters change. Our conclusions on this front are likely to be sensitive to model specification. However, we also identify a second best issue concerning the optimal make–up of the monetary union which is likely to be more robust: namely that only when all members of the union have the same structural parameter values (and shocks are perfectly correlated) will it be optimal for a new member to have these same structural parameter values.