تعامل های پولی و مالی تحت عدم قطعیت سیاست های پولی

Despite the increasing number of studies on monetary policy uncertainty, its role on the strategic interaction between fiscal and monetary policies has not been fully explored. Our paper aims to fill this gap by evaluating the consequences produced by multiplicative uncertainty in such a context.

Nowadays one of the most important challenges for policymakers, in particular monetary authorities, is how to deal with uncertainty (Lane, 2003).1 In a public speech, Alan Greenspan (2003) observed that “uncertainty is not just an important feature of the monetary policy landscape; it is the defining characteristic of that landscape.” Central bankers face in fact a tremendous uncertainty about the state of the economy, its true structure and the impact policy actions have on the economy as “uncertainty – about the state of the economy, the economy's structure, and the inferences that the public will draw from policy actions or economic developments – is a pervasive feature of monetary policy making,” in the words of another Fed Chairman, Ben Bernanke (2007).2 Bernanke's speech also emphasizes that uncertainty may assume different forms. These can be summarized in model, parameter and data uncertainty.3 Many studies have recently revised the robustness of the optimal monetary policy prescriptions in the face of uncertainty. Among them some have attempted to highlight the importance of multiplicative or parameter uncertainty, i.e., when policymakers are uncertain about the structural parameters of the economy.4 The interest on this kind of uncertainty is however old. About forty years ago, Brainard (1967) showed that multiplicative uncertainty affects policymakers' behavior and makes them more cautious, in the sense that they react less sharply to disturbances. By considering a linear quadratic context, Brainard (1967) shows that caution may be optimal because, in the presence of random multipliers, policy itself injects uncertainty into the economy. Aggressive policies, which might otherwise offset disturbances (under certainty or certainty equivalence5), can trigger further uncertainty via policy changes. Thus, when policymakers are unsure of the impact of their policy it would be preferable for them to adjust policy more cautiously and gradually; this is in summary Brainard's conservatism principle.6 Despite the increasing number of studies, the role of uncertainty in strategic contexts, in particular in the interactions between fiscal and monetary policies, has not been fully explored, although its empirical relevance has been emphasized.7 Our paper tackles this issue by focusing on the effects of model uncertainty on the strategic interaction between fiscal and monetary authorities. Our aim is to evaluate the consequences produced by multiplicative uncertainty in a class of policy games recently developed by Dixit and Lambertini, 2001, Dixit and Lambertini, 2003a and Dixit and Lambertini, 2003b — D&L from now onward. We test under parameter uncertainty some of D&L's prescriptions. D&L's models are particularly attractive for our investigations as they consider both fiscal and monetary policies in a strategic but simplified New Keynesian framework and a non-linear structure for shocks on the basis of which the private sector forms its expectation. Hence they are appropriate to study policy interactions from our perspective.8 In their models policymakers do however not face any uncertainty as they observe all the shocks. Under this assumption Dixit and Lambertini (2003b) show that if fiscal and monetary authorities share identical output and inflation targets, but not necessary equal trade-offs between these objectives (symbiosis assumption), ideal output and inflation can be always achieved.9 We instead assume that through some process of theorizing and data analysis, policymakers have arrived at a reference model of the economy. They want to use this model to set policy, but are concerned about uncertain deviations from it. In particular, similar to Lawler (2007),10 we assume uncertainty about the parameters of the monetary policy effectiveness: the central bank does not exactly know the value of some parameters but knows the distribution from which they were drawn.11 Our main findings are the following: D&L's symbiosis result no longer holds under unknown multiplicative shocks on monetary policy effects. Monetary uncertainty is not symmetric to the fiscal one, as the former may induce either more or less aggressive effects on the final outcomes according to the kind of existing interaction between the government and the central bank. Finally multiplicative uncertainty implies an endogenous Phillips relationship between inflation and output. The rest of the paper is organized as follows. The next section describes our benchmark model when shocks are observed. In Section 3 we study the effects of multiplicative uncertainty on monetary policy effectiveness by assuming that policymakers may be not perfectly informed about all the shocks. A final section concludes.

This paper has extended a well-known model of fiscal–monetary interactions to the case in which policymakers face uncertainty on the effects of their policies. A more general stochastic structure than the additive one implies that uncertainty may be no longer neutral (for average outcomes) and may lead to different results and policy implications from those stemming in the certain equivalence case. Summarizing, our main findings are as follows. The D&L's symbiosis result no longer holds under unknown multiplicative shocks on monetary policy effects. Monetary uncertainty and fiscal uncertainty are not symmetric, as only the former may induce both more and less aggressive effects on the final outcomes according to the kind of existing interaction between the government and the central bank.23 Finally, multiplicative uncertainty implies an endogenous Phillips relationship between inflation and output which does not emerge under fiscal uncertainty. Two different regimes can emerge which imply different outcomes and properties. Our result can thus potentially explain the conflicting empirical evidence on the sign and magnitude of the effects of inflation uncertainty and economic activity.24 Given the relevance of central bank's time-varying inflation targets to explain economic dynamics stressed by recent studies,25 we emphasize that the effectiveness of monetary policy under uncertainty may be related to the time-varying targeting policy and the fiscal stance, and that empirical evidence should take account of these factors in order to fully understand the real effect of inflation uncertainty. Finally, our results are related to ongoing debate on the EU architecture after the crisis; in particular, to the discussion about the fiscal and monetary policy institutional design and the Stability Pact revision. Nowadays, in fact, the economic systems are subjected to a higher degree of uncertainty than in the past. The process of globalization, by e.g. increasing the degree of interdependence among countries, implies more uncertainty on the effects of economy policies; the subprime financial crisis and the Greek public finance problems26 represent two of the most recent examples of how local shocks quickly affect large areas of the world and the effectiveness of policies in countries that were not initially, or not at all, hit by them. In this picture, our paper emphases the risk of viewing fiscal and monetary institutions as two separate bodies, just identified by different priorities. In an environment characterized by uncertainty, even in absence of a policy-targets conflict, some forms of policy coordination are in fact needed to archive the common targets.