سیاست پولی بهینه در مدل کینزی جدید با رشد درون زا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27934||2013||12 صفحه PDF||سفارش دهید||8862 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Macroeconomics, Volume 38, Part B, December 2013, Pages 274–285
We study optimal monetary policy in a New Keynesian (NK) model with endogenous growth and knowledge spillovers external to each firm. We find that, in contrast with the standard NK model, the Ramsey dynamics implies deviation from full inflation targeting in response to technology and government spending shocks, while the optimal operational rule is backward looking and responds to inflation and output deviations from their long-run levels.
The traditional NK literature features exogenous growth or no growth at all. Yet, business cycle fluctuations affect growth-enhancing activities and modify the growth trend of the entire economy. However, very few papers analyze the interaction between growth and uncertainty in the context of monetary models (e.g. Dotsey and Sarte, 2000 and Varvarigos, 2008). An even smaller subset introduce nominal rigidities, but in the form of one-period nominal wage contracts.2 An exception are Annicchiarico et al. (2011b), who consider an NK model and study the interplay between nominal rigidities, nominal uncertainty and growth under different Taylor rules, but do not study optimal monetary policy. Those papers studying optimal monetary policy in NK frameworks, instead, (e.g. Khan et al., 2003, Schmitt-Grohé and Uribe, 2007a, Schmitt-Grohé and Uribe, 2007b, Faia, 2008b and Faia, 2009), usually abstract from growth, so disregarding the interaction between short-run dynamics and growth which is, instead, of interest for the optimal monetary policy analysis.3 The paper most related to ours is Faia (2008b), which studies Ramsey monetary policy in a basic NK model with capital accumulation and sticky prices à la Rotemberg (1982), but no growth. In this paper we fill this gap and consider an NK model with endogenous growth à la Romer (1986) and nominal rigidities due to staggered prices à la Calvo (1983) to study optimal monetary policy. Since in this paper we want to deviate from the mainstream NK model only for the inclusion of an endogenous growth mechanism, we opt for the Calvo setting which among the various models of price rigidities is the most widely used in the derivation of New Keynesian Phillips Curves and represents a key ingredient of the standard NK textbook model (see e.g. Galí, 2008 and Walsh, 2010). Moreover, Ascari et al. (2011) provide evidence in favor of the statistical superiority of the Calvo setting with respect to the Rotemberg one. 4 In particular, we study the Ramsey optimal monetary policy and characterize the monetary policy rules that are optimal within a family of implementable and simple rules in a calibrated model of the business cycle under a positive steady-state inflation rate. In this respect we depart from the standard NK literature which studies optimal monetary policy in economies where long-run inflation is nil or there is some form of wide-spread indexation.5 From an empirical point of view, neither of these two assumptions is realistic for economies like the United States or the Euro Area. Thus, it is of interest to investigate the characteristics of optimal policy in their absence and their relationship with growth. The economy we consider in this paper features three sources of inefficiency which provide a rationale for the conduct of monetary policy. The first two distortions are the ones which characterize the basic NK model, namely: (i) monopolistic competition, which generates an average markup, which lowers output with respect to the efficient economy; (ii) nominal rigidities due to staggered prices, which generate price dispersion. The third source of inefficiency is the one that differentiates the present model from the standard NK model, i.e. the presence of knowledge spillovers which are external to each firm. In other words, a sort of serendipitous learning mechanism characterizes the production activity. In this context, the decentralized equilibrium is Pareto suboptimal and the economy grows at a lower rate than under the allocation that would maximize the representative household’s lifetime utility. The following main results characterize our model economy. First, even in the presence of the additional distortion due to knowledge spillovers, we find that the Ramsey steady-state inflation rate is zero.6 The reason is the following. In the long run, a higher inflation rate, by increasing the average markup and by introducing price dispersion, would imply a lower return on capital and a reduced level of economic activity, thus lowering savings and growth. The increase in consumption and in growth rate more than compensates the increase in hours worked and thus households’ welfare increases as trend inflation decreases. Second, despite the long-run value of inflation is zero, the Ramsey dynamics requires deviation from full inflation targeting in response to technology and government spending shocks. However, the intensity of the reaction crucially depends on the nature of the shock. Following a positive technology shock the central bank tolerates moderate deviations of the inflation rate from its optimal steady state in order to push the short-run economy growth rate toward the efficient one. In this case optimality calls for an increase in the real interest rate so as to moderate consumption, foster capital accumulation and so growth.7 Also in response to a government spending shock, the optimal monetary requires an increase in the real rate, so as to generate a fall in consumption and mitigate the expansionary effects of the demand shock. Finally, the optimal operational monetary rule is backward-looking, features a strong positive reaction to output movements and a mild response to inflation, contrary to the previous findings in the literature.8 As will be clear in the paper, all these results strongly depend on the role played by the endogenous growth mechanism and the implied inefficiency due to the presence of external knowledge spillovers. Summing up, while the NK literature assumes that growth is an exogenous and independent process with respect to the business cycle, the literature that studies the interplay between growth and business cycle concentrates on the relationship between volatility and growth and disregards the implied optimal monetary policy prescriptions. Thus, to the best of our knowledge we are the first to study the monetary policy implication of this setup. 9 The paper proceeds as follows. Section 2 describes the model. Section 3 analyzes the Ramsey optimal policy. Section 4 shows results from the search of an optimal operational interest rate rule. Section 5 concludes.
نتیجه گیری انگلیسی
We consider an NK model characterized by endogenous growth with serendipitous learning à la Romer, and nominal rigidities due to staggered price à la Calvo. An additional source of inefficiency differentiates our model from the standard NK model, i.e. knowledge spillovers which are external to each firm. The decentralized equilibrium is Pareto suboptimal and the economy grows at a lower rate than under the allocation that would maximize the representative household’s lifetime utility. We show that despite the optimal long-run value of inflation is zero, the Ramsey dynamics requires deviation from full inflation targeting in response to technology and government spending shocks. However, the intensity of the reaction crucially depends on the source of fluctuations. Following a positive technology shock the central bank tolerates moderate deviations of the inflation rate below its optimal steady state coupled with a higher nominal rate in order to foster savings and push up the short-run economy growth rate. In response to a positive government shock, optimality calls for an increase in the real interest rate, so as to moderate the effects of the expansionary policy. The optimal operational monetary rule is found to be backward-looking, featuring a strong response to output deviations and a mild reaction to inflation movements. In general, we find that the inertial behavior of the interest rate turns out to be necessary for every rule considered. This history dependent attitude enables the Central Bank to steer expectations in a way that facilitates its stabilization target, because of the reduced uncertainty. These results differ from what is generally found in the literature. Overall, we find that macroeconomic stabilization policy must explicitly consider the additional transmission channel introduced by an endogenous growth mechanism. In this sense, our analysis provides a further step towards the understanding of the non-trivial interconnections between macroeconomic fluctuations and growth. Therefore, we believe that the NK literature cannot disregard the additional transmission channel introduced by endogenous growth. The analysis of the present paper has been deliberately restricted to the analysis of monetary policy in the context of a very simple endogenous growth model. We argue that future research should be oriented to explore in more depth these issues considering different and more realistic growth models as well as the implications for both monetary and fiscal policy.