اثرات واقعی و اسمی سیاست های پولی بانک مرکزی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|23046||2002||27 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Monetary Economics, Volume 49, Issue 8, November 2002, Pages 1493–1519
We examine the impact of monetary policy using Israeli data on nominal and indexed bonds, which allow us to decompose nominal interest rates into inflation expectations and ex ante real interest rates. We find that a monetary policy shock, introduced by raising the overnight rate the Bank of Israel charges member banks, raises real interest rates but lowers inflation expectations. Long-term real interest rates are less impacted than short-term rates. Lastly, monetary shocks affect the exchange rate between the Israeli currency and the US dollar. Our estimates are robust to numerous modifications to the basic VAR model.
In this paper we examine real and nominal effects of monetary policy using market data—inflation expectations and real interest rates extracted from observed prices of indexed and nominal government bonds. Some of the questions that we try to answer are: Does the central bank monetary policy affect real interest rates? Does monetary policy affect inflation expectations? If the central bank monetary policy affects real interest rates or inflation expectations, is there a lag in the policy's impact on these variables? What is the magnitude of the policy's impact and how long does it last? Does the central bank monetary policy lead or respond to changes in the price level? Theory provides mixed answers to these questions. On one extreme, super neutrality implies that monetary policy does not impact real activity, which implies that, inter alia, it does not impact real interest rates. On the other hand, Keynsian analysis allows for real effects of monetary policy via its effect on real interest rates. Thus, the importance of empirical answers to these questions, both for academic research and for policy making, is self-evident. Indeed, a large body of empirical research has been devoted to estimating the real effects of monetary policy. Numerous recent studies estimate the response of macro-economic variables to monetary policy shocks using vector autoregression (VAR) models and data of many countries and across varied monetary regimes (see, for example, Edelberg and Marshall, 1996; Christiano and Eichenbaum, 1992; Christiano et al., 1996; Sims, 1992). These and other studies have yielded several empirical regularities, which are often termed “puzzles.” For example, the “liquidity puzzle” is the finding that an increase in monetary aggregates is accompanied by an increase (rather than a decrease) in nominal interest rates. 1 Another example, often referred to as the “exchange rate puzzle,” is the finding that an increase in non-US nominal interest rates is accompanied by a depreciation (rather than an appreciation) of the local currency. 2 While the term “puzzle” has been repeatedly used in reference to these findings, a simple explanation, consistent with economic theory, exists for these empirical findings. Specifically, these “puzzles” (as well as other “puzzles” discussed in Grilli and Roubini, 1996) may merely reflect the lack of a direct measure of inflation expectations. This is because, unless inflation expectations (or a proxy for these expectations) are observable, one cannot infer from an observed increase in nominal interest rates that a commensurate increase in real interest rates occurred. Consequently, it is difficult in studies that examine nominal interest rates to distinguish between the interaction of central bank policy with real interest rates and its interaction with inflation expectations. Similarly, because these studies typically analyze realized inflation rates rather than inflation expectations, they cannot examine the extent to which monetary policy leads or reacts to changes in inflation and inflation expectations. To overcome the problem that plagued prior studies, we use data from Israel where index bonds have traded since the 1950s. Using simultaneously observed prices of nominal and index government (i.e., default-free) bonds, we compute market-determined real interest rates and inflation expectations. Thus, we are able to explicitly examine the separate reactions of both real interest rates and inflation expectations to monetary policy shocks. We also examine the reaction of the central bank's monetary policy to changes in investor inflation expectations and how the short-term end and the long-term end of the term structure of real interest rates differentially react to monetary policy shocks. We find that a monetary policy shock, introduced by raising the overnight rate the Bank of Israel charges member banks by one percentage point, raises the 1-year real interest rate by roughly 0.4 percentage points but lowers inflation expectations by roughly 0.6 percentage point. The effect of such a monetary policy shock on nominal interest rates, which nets the effect of the shock on real interest rates and on inflation expectations, is an immediate increase of roughly 0.3 percentage point and a longer-run decline of about 0.1%. The estimated responses to the monetary policy shocks take 3–8 months to peak and are not sensitive the inclusion of additional real variables in the estimated VAR model. We also find that the impact of a given monetary shock is smaller on long-term interest rates than on short-term interest rates. Lastly, we find that such a monetary policy shock causes a 0.1 percentage point appreciation in the exchange rate of the domestic currency—the NIS. The remainder of the paper is organized as follows. In Section 2 we describe the management of monetary policy in Israel. In Section 3 we discuss the estimation methods. Section 4 includes the basic estimation results. The results of sensitivity analyses are reported in Section 5. Section 6 concludes. In Appendix A, we describe the extraction of real interest rates and inflation expectations from index and nominal bond prices.
نتیجه گیری انگلیسی
In this paper we examine the impact of monetary policy on interest rates and real economic activity using a fully recursive VAR model and Israeli data. Specifically, we examine the effect of monetary policy shocks on real interest rates and on inflation expectations. Unlike prior studies, we are able to separately estimate the impact of monetary policy on real interest rates and on inflation expectations since our data include prices of both nominal and index bonds. Using these data, we do not confront the puzzling empirical regularities such as the “liquidity puzzle” (i.e., that, contrary to what theory predicts, an increase in monetary aggregates is accompanied by an increase in nominal interest rates) that are due to inability to directly measure inflation expectations. We find that a monetary policy shock introduced by raising the overnight rate the Bank of Israel charges member banks by one percentage point raises the 1-year real interest rate by roughly 0.4 percentage points but lowers inflation expectations by roughly 0.6 percentage point. The net effect of such a monetary policy shock on nominal interest rates is roughly 0.3 percentage point. The estimated responses to the monetary policy shocks take 3–8 months to peak and are not sensitive the inclusion of additional real variables in the estimated VAR model. We find that the impact of a given monetary shock is smaller on long-term interest rates than on short-term interest rates. We also find that such a monetary policy shock causes a 0.1 percentage point change in the exchange rate of the NIS