OPTIMAL TAYLOR RULES IN NEW KEYNESIAN MODELS

Christoph E. Boehm; Christopher L. House

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OPTIMAL TAYLOR RULES IN NEW KEYNESIAN MODELS

机译：新凯恩斯模型中的最佳泰勒规则

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We analyze the optimal Taylor rule in a standard New Keynesian model. If the central bank can observe the output gap and the inflation rate without error, then it is typically optimal to respond infinitely strongly to observed deviations from the central bank's targets. If it observes inflation and the output gap with error, the central bank will temper its responses to observed deviations so as not to impart unnecessary volatility to the economy. If the Taylor rule is expressed in terms of estimated output and inflation then it is optimal to respond infinitely strongly to estimated deviations from the targets. Because filtered estimates are based on current and past observations, such Taylor rules appear to have an interest smoothing component. Under such a Taylor rule, if the central bank is behaving optimally, the estimates of inflation and the output gap should be perfectly negatively correlated. In the data, inflation and the output gap are weakly correlated, suggesting that the central bank is systematically underreacting to its estimates of inflation and the output gap.

机译：我们在标准新凯恩斯模型中分析最优泰勒规则。如果中央银行可以观察到产出缺口和通货膨胀率而没有错误，那么通常最佳的方法是对观察到的偏离中央银行目标的偏差无限地做出强烈反应。如果央行错误地观察到通货膨胀和产出缺口，则中央银行将调整其对观察到的偏差的反应，以免给经济带来不必要的波动。如果泰勒法则是用估计的产出和通货膨胀来表示的，那么最好是无限强烈地响应估计的偏离目标的情况。因为过滤后的估计是基于当前和过去的观察结果，所以此类泰勒规则似乎具有兴趣平滑成分。在这样的泰勒规则下，如果中央银行表现最佳，那么通货膨胀和产出缺口的估计值应该完全负相关。在数据中，通货膨胀与产出缺口之间的相关性较弱，这表明中央银行对通货膨胀和产出缺口的估计存在系统性的反应不足。

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《Working Paper Series》 |2014年第20237期|1-37a1-a2|共39页
作者
Christoph E. Boehm; Christopher L. House;
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University of Michigan Department of Economics 238 Lorch Hall Ann Arbor, MI 48109-1220;

University of Michigan Department of Economics 238 Lorch Hall Ann Arbor, MI 48109-1220 and NBER;

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1. Investment and the Taylor rule in a dynamic Keynesian model [J] . Steven M. Fazzari, Piero Ferri, Edward Greenberg Journal of Economic Dynamics and Control . 2010,第10期

机译：动态凯恩斯模型中的投资和泰勒规则
2. Inflation Determination with Taylor Rules: Is New Keynesian Analysis Critically Flawed? [J] . Bennett T. McCallum Working Paper Series . 2009,第14761期

机译：使用泰勒规则进行通货膨胀确定：新凯恩斯主义分析是否有重大缺陷？
3. Taylor and Keynesian monetary policy rules [J] . H. SONMEZ ATESOGLU JPKE:journal of post keynesian economics . 2009,第3期

机译：泰勒和凯恩斯货币政策规则
4. A KEYNESIAN BASED ECONOMETRIC FRAMEWORK FOR STUDYING MONETARY POLICY RULES [C] . Peter Flaschel, Gang Gong, Willi Semmler IFAC symposium on modeling and control of economic systems . 2003

机译：基于凯恩斯主义的经济框架，用于研究货币政策规则
5. Optimal targeting rules and the new Keynesian paradigm [D] . Pavasuthipaisit, Robert 2007

机译：最佳定位规则和新的凯恩斯主义范式
6. Bayes rules for optimally using Bayesian hierarchical regression models in provider profiling to identify high-mortality hospitals [O] . Peter C Austin 2008

机译：使用贝叶斯规则在提供者配置文件中最佳使用贝叶斯层次回归模型来识别高死亡率医院
7. We analyze, in this paper, a DSGE New Keynesian model with indi- visible labor where firms may belong to two different final goods producing sectors one where wages and employment are determined in competitive labor markets and the orther where wages and employment are the result of a contractual process between unions and firms. Bargaining between firms and monopoly unions implies real wage rigidity in the model and, in turn, an endogenous trade-off between output stabilization and infla- tion stabilization. We show that the negative effect of a productivity shock on inflation and the positive effect of a cost-push shock is crucially determined by the proportion of firms that belong to the competitive sec- tor. The larger is this number, the smaller are these effects. We derive a welfare based objective function as a second order Taylor approxima- tion of the expected utility of the economy's representative agent and we analyze optimal monetary policy. We show that the larger is the num- ber of firms that belong to the competitive sector, the smaller should be the response of the nominal interest rate to exogenous productivity and cost-push shocks. If we consider, however, an instrument rule where the interest rate must react to inflationary expectations, the rule is not af- fected by the structure of the labor market. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is larger than real wage volatility. [O] . Lorenza Rossi, Fabrizio Mattesini 100

机译：在本文中，我们分析了DsGE新凯恩斯主义模型，该模型具有明显的劳动力，其中企业可能属于两个不同的最终产品生产部门，其中工资和就业是在竞争性劳动力市场中确定的，而工资和就业是由工资和就业导致的。工会和公司之间的合同过程。企业和垄断联盟之间的讨价还价意味着模型中的实际工资刚性，反过来，产出稳定和通货膨胀稳定之间的内生权衡。我们表明，生产率冲击对通货膨胀的负面影响以及成本推动冲击的积极影响，主要取决于属于竞争部门的企业比例。这个数字越大，这些效果越小。我们得出一个基于福利的目标函数作为经济代理人的预期效用的二阶泰勒近似，我们分析最优货币政策。我们表明，属于竞争性行业的企业数量越大，名义利率对外生生产率和成本推动冲击的反应就越小。但是，如果我们考虑利率必须对通胀预期作出反应的工具规则，则该规则不受劳动力市场结构的影响。该模型的结果与宏观经济学中众所周知的经验规律一致，即就业波动率大于实际工资波动率。

OPTIMAL TAYLOR RULES IN NEW KEYNESIAN MODELS

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