Journal of Monetary Economics
Опубликовано на портале: 16-11-2007Bruce Preston Journal of Monetary Economics. 2006. Vol. 53. No. 3. P. 507-535.
This paper argues that recently popular forecast-based instrument rules for monetary policy may fail to stabilize economic fluctuations. In a New Keynesian model of output gap and inflation determination in which private agents face multi-period decision problems, but have non-rational expectations and learn over time, if the monetary authority adopts a forecast-based instrument rule and responds to observed private forecasts then this class of policies frequently induce divergent learning dynamics. A central bank that correctly understands private behavior can mitigate such instability by responding to the determinants of private forecasts. This suggests gathering information on the determinants of expectations to be useful
Опубликовано на портале: 15-11-2007Pierpaolo Benigno, Gianluca Benigno Journal of Monetary Economics. 2006. Vol. 53. No. 3. P. 473-506.
This study analyzes a two-country dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy objective function of the policymakers. It is shown that only under special conditions there are no gains from cooperation and moreover that the paths of the exchange rate and prices in the constrained-efficient solution depend on the kind of disturbance that affects the economy. Despite this result, simple targeting rules that involve only targets for the growth of output and for both domestic GDP and CPI inflation rates can replicate the cooperative allocation.
Опубликовано на портале: 15-11-2007Niklas J. Westelius Journal of Monetary Economics. 2005. Vol. 52. No. 2. P. 477-496.
Rational expectations models of staggered price/wage contracts have failed to replicate the observed persistence in inflation and unemployment during disinflationary periods. The current literature on this persistency puzzle has focused on augmenting the nominal contract model with imperfect credibility and learning. In this paper, I re-examine the persistency puzzle by focusing on the discretionary nature of monetary policy. I show that when the central bank is allowed to re-optimize a quadratic loss function each period, imperfect credibility and learning, even in the absence of staggered contracts, can generate a significant amount of inflation persistence and employment losses during a disinflationary period.
Опубликовано на портале: 31-10-2007Laurence M. Ball Journal of Monetary Economics. 1995. Vol. 35. No. 1. P. 5-23.
This paper presents a theory of the real effects of disinflation. As in New Keynesian models, price adjustment is staggered across firms. As in New Classical models, credibility is imperfect: the monetary authority may not complete a promised disinflation. The combination of imperfect credibility and staggering yields more plausible results than either of these assumptions alone. In particular, an announced disinflation reduces expected output if credibility is sufficiently low.
Effective Tax Rates in Macroeconomics: Cross-Country Estimates of Tax Rates on Factor Incomes and Consumption [статья]
Опубликовано на портале: 05-10-2004Enrique Gabriel Estrada Mendoza, Assaf Razin, Linda L. Tesar Journal of Monetary Economics. 1994. Vol. 34. P. 297-323 .
This paper proposes a method for computing tax rates using national accounts and revenue statistics. Using this method we construct time-series of tax rates for large industrial countries. The method identifies the revenue raised by different taxes at the general government level and defines aggregate measures of the corresponding tax bases. This method yields estimates of effective tax rates on factor incomes and consumption consistent with the tax distortions faced by a representative agent in a general equilibrium framework. These tax rates compare favorably with existing estimates of marginal tax rates, and highlight important international differences in tax policy.
Опубликовано на портале: 17-12-2007Matthew B. Canzoneri, Robert E. Cumby, Behzad T. Diba Journal of Monetary Economics. 2007. Vol. 54. No. 7. P. 1863-1881.
Standard macroeconomic models equate the money market rate targeted by the central bank with the interest rate implied by a consumption Euler equation. We use U.S. data to calculate the interest rates implied by Euler equations derived from a number of specifications of household preferences. Correlations between these Euler equation rates and the Federal Funds rate are generally negative. Regression results and impulse response functions imply that the spreads between the Euler equation rates and the Federal Funds rate are systematically linked to the stance of monetary policy. Our findings pose a fundamental challenge for models that equate the two.
Expenditure Switching versus Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy [статья]
Опубликовано на портале: 17-12-2007Michael B. Devereux, Charles M. Engel Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2346-2374.
This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect these competing objectives. The key determinants of how much the exchange rate should respond to shocks will depend on the extent and source of price stickiness, the elasticity of substitution between home and foreign goods, and the amount of home bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be inferred based solely on terms of trade considerations. Moreover, we find that the relationship between price stickiness and optimal exchange rate volatility may be non-monotonic.
Опубликовано на портале: 17-12-2007Bartosz Maćkowiak Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2512-2520.
Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that “when the U.S. sneezes, emerging markets catch a cold.” At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.
Опубликовано на портале: 15-11-2007Adam B. Ashcraft, Murillo Campello Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1515-1528.
The functioning of internal capital markets in financial conglomerates facilitates a novel identification strategy of the balance sheet channel of monetary policy. We look at small subsidiary banks that are affiliated with the same holding company but operate in different geographical areas. These banks face the same marginal cost of funds due to internal capital markets, but face different borrowers as they concentrate their lending with small local businesses. Exploring cross-sectional variation in local economic conditions across these subsidiaries, we investigate whether borrower creditworthiness influences the response of bank lending to monetary policy. Our results are consistent with a demand-driven transmission mechanism that works through firm balance sheets and is independent from the bank lending channel.
Опубликовано на портале: 20-07-2004Paolo Vitale Journal of Monetary Economics. 2003. Vol. 50. No. 4. P. 841-870.
В рамках простой модели открытой экономики исследуется, как валютные интервенции могут играть негативную роль сигнала целей монетарной политики. В работе показано, что интервенции играют роль стабилизатора экономики – снижают колебания занятости и выпуска. Этот результат во многом зависит от институциональной структуры процесса принятия решений – стабилизация более эффективна, когда решения об интервенциях и мерах монетарной политики принимаются различными правительственными учреждениями.
Опубликовано на портале: 15-11-2007Athanasios Orphanides Journal of Monetary Economics. 2003. Vol. 50. No. 5. P. 983-1022.
This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability serving as implicit or explicit guides. As early as the 1920s, measures of real economic activity relative to “normal” or “potential” supply appear to have influenced policy analysis and deliberations. Confidence in such measures as guides for activist monetary policy proved counterproductive at times, resulting in excessive activism, such as during the Great Inflation and at the brink of the Great Depression. Policy during the past two decades is broadly consistent with natural growth targeting variants of the Taylor rule that exhibit less activism.
Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior [статья]
Опубликовано на портале: 17-12-2007Günter Coenen, Andrew T. Levin, Kai Christoffel Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2439-2466.
We formulate a generalized price-setting framework that incorporates staggered contracts of multiple durations and that enables us to directly identify the influences of nominal vs. real rigidities. We estimate this framework using macroeconomic data for Germany (1975–1998) and for the U.S. (1983–2003). In each case, we find that the data are well-characterized by nominal contracts with an average duration of about two to three quarters. We also find that new contracts exhibit very low sensitivity to marginal cost, corresponding to a relatively high degree of real rigidity. Finally, our results indicate that backward-looking price-setting behavior (such as indexation to lagged inflation) is not needed in explaining the aggregate data, at least in an environment with a stable monetary policy regime and a transparent and credible inflation objective.
Inflation Crises and Long-Run Growth [статья]
Опубликовано на портале: 15-01-2006Michael Bruno, William Easterly Journal of Monetary Economics. 1998. Vol. 41. No. 1. P. 3-26.
Недавние экономические исследования показали, что средние значения показателей долгосрочного роста и инфляция имеют слабую корреляцию; исключение наблюдений крайне высокой инфляции несущественно влияет на данную корреляцию; включение панельных данных временных рядов улучшает результаты исследований, однако агрегированный параметрический подход остается неполным. Авторы данной статьи предлагают непараметрическое определение кризисов высокой инфляции как периодов, наблюдаемое значение инфляции в которых превышает годовое значение в 40 %. Исключив данные по странам с кризисом высокой инфляции, они приходят к выводам об отсутствии очевидной взаимосвязи между экономическим ростом и инфляцией.
Опубликовано на портале: 31-10-2007Pengfei Wang, Yi Wen Journal of Monetary Economics. 2007. Vol. 54. No. 7. P. 2004-2031 .
We document that “persistent and lagged” inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information.
Опубликовано на портале: 31-10-2007Jordi Gali, Mark Gertler Journal of Monetary Economics. 1999. Vol. 44. No. 2. P. 195-222.
We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward-looking rule to set prices. The model nests the purely forward-looking New Keynesian Phillips curve as a particular case. We use measures of marginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward-looking price setting, while statistically significant, is not quantitatively important. Thus, we conclude that the New Keynesian Phillips curve provides a good first approximation to the dynamics of inflation.