A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule

Richard Ashley; Kwok Ping Tsang; Randal Verbrugge

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A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule

机译：通过持续依赖政策规则的镜头，新的历史货币政策（和良好通货膨胀）

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The origins of the Great Inflation, a central 20th-century U.S. macroeconomic event, remain contested. Prominent explanations are poor inflation forecasts or inaccurate output gap measurement. An alternative view is that the Federal Open Market Committee (FOMC) was unwilling to fight inflation, perhaps due to political pressures. Here, we sort this out via a novel econometric approach, disaggregating the real-time unemployment and inflation time series entering the FOMC historical policy reaction-function into persistence components, using one-sided Fourier filtering; this implicitly estimates the unemployment gap in actual use. We find compelling evidence for (economically interpretable) persistence-dependence in both variables. Furthermore, our results support the "unwilling to fight" view: the FOMC's unemployment gap responses were essentially unchanged pre- and post-Volcker, while its inflation responses sharpened markedly starting with Volcker.

机译：伟大通货膨胀的起源，是一个中央20世纪的美国宏观经济活动，仍然有争议。突出的解释是通货膨胀差的预测或不准确的输出差距测量。另一种观点是联邦公开市场委员会（FOMC）不愿意打击通货膨胀，也许是由于政治压力。在这里，我们通过一种新的经济学方法对此进行分类，将实时失业率和通胀时间序列分解使用单侧傅里叶滤波，将FOMC历史政策反应函数进入持久性分量;这暗示了实际使用中的失业差距。我们发现（经济上可解释）持久性依赖的令人信服的证据依赖于两个变量。此外，我们的结果支持“不愿意战斗”观点：FOMC的失业差距反应基本上和沃尔克后期基本不变，而其通胀反应显着锐化，显着从沃尔克开始。

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《Oxford Economic Papers》 |2020年第3期|672-691|共20页
作者
Richard Ashley; Kwok Ping Tsang; Randal Verbrugge;
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作者单位

Virginia Polytechnic Institute and State University Blacksburg U.S.A.;

Virginia Polytechnic Institute and State University Blacksburg U.S.A.;

Federal Reserve Bank of Cleveland Cleveland U.S.A.;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
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2. The South African monetary policy and inflation targeting as a nominal anchor: Does the monetary policy become more effective? [J] . Mohammed Umar, Jauhari Dahalan, Mukhriz Izraf Azman Aziz International journal of monetary economics and finance . 2016,第4期

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4. The Cycle Relationship between China's Monetary Policy and Inflation——An Empirical Study Based on Monetary Condition Index [C] . ZHOU DeCai, JIANG ZhengYi, WANG HuiQing International Institute of Statistics Management Engineering Symposium . 2012

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5. Essays on Monetary Policy Rules and Inflation Dynamics. [D] . Ahmad, Saad. 2016

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7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule

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