برداشت های نادرست بانک مرکزی و نقش پول در قوانین نرخ بهره

Research with Keynesian-style models has emphasized the importance of the output gap for policies aimed at controlling inflation while declaring monetary aggregates largely irrelevant. Critics, however, have argued that these models need to be modified to account for observed money growth and inflation trends, and that monetary trends may serve as a useful cross-check for monetary policy. We identify an important source of monetary trends in form of persistent central bank misperceptions regarding potential output. Simulations with historical output gap estimates indicate that such misperceptions may induce persistent errors in monetary policy and sustained trends in money growth and inflation. If interest-rate prescriptions derived from Keynesian-style models are augmented with a cross-check against money-based estimates of trend inflation, inflation control is improved substantially.

John Taylor's research on monetary policy rules changed the economics profession's focus from monetary aggregates to the interest rate as the appropriate instrument for monetary policy.1 Even the late Milton Friedman, in his last published writing, studied Taylor's rule for interest-rate policy, though he tried to reclaim a role for money on its right-hand side.2 Recent theoretical advances in new-Keynesian macroeconomics building on microeconomic foundations with monopolistic competition and price rigidity have further de-emphasized the role of money in monetary policy. As shown by Kerr and King (1996), Svensson (1997) and Clarida et al. (1999) optimal interest-rate policy in models with price rigidities is conducted with reference to inflation forecasts and output gaps but without direct concern for monetary aggregates—not unlike Taylor's rule.3 Some macroeconomists, however, have expressed concern about the disappearance of money from monetary theory and policy. Lucas (2007), for example, writes: New-Keynesian models define monetary policy in terms of a choice of money market rate and so make direct contact with central banking practice. Money supply measures play no role in the estimation, testing or policy simulation of these models. A role for money in the long run is sometimes verbally acknowledged, but the models themselves are formulated in terms of deviations from trends that are themselves determined somewhere off stage. It seems likely that these models could be reformulated to give a unified account of trends, including trends in monetary aggregates, and deviations about trend but so far they have not been. This remains an unresolved issue on the frontier of macroeconomic theory. Until it is resolved, monetary information should continue to be used as a kind of add-on or cross-check. We address Lucas's request for a unified account of trends and deviations, including monetary aggregates, and provide a formal analysis of his proposal to use monetary information as a cross-check for policy. The central bank's beliefs regarding trends and deviations play a central role in the analysis, specifically its estimates of the economy's potential output and the implied output gap that drives inflation forecasts in Keynesian-style models. Research on optimal monetary policy design under uncertainty usually has to rely on a priori modeling assumptions regarding unobservable variables such as potential output (cf. Svensson and Woodford, 2003 and Wieland, 2006). These assumptions are needed to determine the optimal, model-based estimates of potential output, on which policy is then conditioned. Orphanides (2003) has provided an alternative approach for evaluating policies under uncertainty that avoids these particular a priori assumptions by using instead historical, real-time estimates of potential output. The true value of potential output at any point in time is assumed to be equal to the central bank's final estimate on the basis of information available many years later. We use historical series of central banks’ output gap estimates for the United States and Germany from Orphanides (2003) and Gerberding et al. (2005), respectively. Both series indicate very persistent misperceptions regarding potential output. Model simulations indicate that historical output gap misperceptions induce an inflationary bias in interest-rate policies that the central bank considered optimal conditional on its model and associated forecasts. As a result, the central bank induces trends in money growth and inflation even though it pursues a constant inflation target. Thus, as requested by Lucas, Keynesian-style models built to explain inflation deviations from trend are able to provide an account of money growth and inflation trends. This finding complements recent empirical studies that have identified proportional movements in money growth and inflation at low frequencies using a variety of filters4 and provides a structural explanation. Next, a general definition of a policy with cross-checking that formalizes Lucas (2007) proposal is presented. The cross-check is characterized by a first-order condition that incorporates expected trend inflation, which is estimated from a simple monetary model. The cross-check is triggered in a nonlinear-fashion whenever a statistical test on the basis of the monetary model signals a trend shift. An earlier note, Beck and Wieland (2007), presented an interest-rate rule that incorporates such a shift5 and simulated a counterfactual example in the traditional Keynesian-style model with backward-looking dynamics of Svensson (1997), Orphanides and Wieland (2000) and Orphanides (2003). The present paper shows how to derive an interest-rate rule with cross-checking from an optimization problem and proceeds to implement cross-checking in the benchmark new-Keynesian model.6 The advantage of the Keynesian model with backward-looking dynamics is that it fits the historical persistence in output and inflation and arguably embodies central bankers’ beliefs on policy tradeoffs and monetary policy transmission in the 1970s and 1980s quite well. It may be the better candidate for modeling central bank perceptions and describing historical outcomes and was used for this purpose by Orphanides (2003). While the new-Keynesian model is an unlikely description of central bank perceptions in the 1970s and 1980s, it has the advantage of microeconomic foundations in optimal decision-making of households and firms. Thus, it accounts for forward-looking, optimizing decision-making by market participants and constitutes an important testing ground for policy strategies currently recommended to central banks. For this reason, the subsequent analysis is carried out in both models in parallel. The policy with cross-checking against money-based estimates of trend inflation is found to substantially improve inflation control in the event of persistent policy mistakes due to historical output gap misperceptions. Furthermore, monetary cross-checking remains effective in the event of sustained velocity shifts—the Achilles heel of traditional monetary targeting—if standard recursive money demand estimation is applied. The nonlinear nature of interest-rate adjustments due to cross-checking turns out to be essential. Linear policies with money-based estimates of trend inflation perform substantially worse than cross-checking, whether central bank estimates of the output gap are correct, on average, or not. Finally, cross-checking can also be implemented successfully using inflation-based estimates of trend inflation but money-based estimates would dominate if money leads inflation as indicated by recent empirical studies. The remainder of this paper is structured as follows. Section 2 presents the optimal interest-rate policy under uncertainty and explains how we introduce historical central bank misperceptions into the analysis. Section 3 describes the relationship between trend money growth and trend inflation and shows that central bank misperceptions represent an important source of such trends in Keynesian-style models. Section 4 introduces the general definition of cross-checking. Section 5 applies cross-checking in the event of central bank misperceptions. Section 6 subjects the policy with cross-checking to further sensitivity analysis and Section 7 concludes.7

In Keynesian-style models sustained trends in money growth and inflation can be explained by successive policy mistakes due to central bank misperceptions. Using historical measures of output gap misperceptions for the U.S. and German economies from the 1970s to the 1990s we have provided a unified treatment of money growth and inflation trends along with short-run deviations in Keynesian models as requested by Lucas (2007). This result is obtained without relying on undocumented shifts in central bank inflation targets. Central bankers today might argue that they would not make such mistakes in estimating potential output since they employ sophisticated filtering techniques. However, this optimism may be unfounded. Orphanides and van Norden (2002) have shown that a variety of modern filtering techniques lead to persistent output revisions similar to the Federal Reserve's historical estimates when applied to real-time data on U.S. output and inflation without a priori assumptions. Also, central banks in the 1970s already had very sophisticated techniques at their disposal. Federal Reserve researchers in the 1970s knew how to use the Kalman filter and solve complex models (cf. Kalchbrenner and Tinsley, 1977) and economists at the Bundesbank used fairly sophisticated production functions to calculate potential output (see the monthly reports in October 1973 and October 1981). Furthermore, we have provided a formal implementation of Lucas's proposal to use monetary information as an add-on or cross-check to the model-based interest-rate policy. An earlier note, Beck and Wieland (2007), posited an interest-rate rule with monetary cross-checking. In this paper, a more general definition of cross-checking has been provided by deriving such interest-rate policies from a central bank objective function and first-order condition that incorporate trend inflation. A further innovation has been to analyze central bank misperceptions and cross-checking in the new-Keynesian model. Following Orphanides (2003) alternative policy strategies under output gap uncertainty have been evaluated without a priori assumptions regarding the structure of the process driving potential output by using instead historical real-time and final estimates of the output gap. Monetary cross-checking has been shown to substantially improve inflation performance relative to the policy that would be optimal conditional on the Keynesian model and the a priori assumptions on potential output. Finally, we have addressed three additional questions regarding cross-checking. Firstly, monetary cross-checking is found to remain effective in the presence of long-lasting velocity shifts if standard recursive estimation techniques allowing for such shifts are used in money-demand analysis. Secondly, cross-checking has been compared with a policy that incorporates linear feedback on filtered money growth. The linear feedback rule was shown to be dominated by cross-checking whether persistent output gap misperceptions occur or not. Thirdly, filtered inflation is found to constitute a good alternative to filtered money growth for cross-checking as long as the timing assumptions of the benchmark Keynesian-style models hold up. If these assumptions were modified such that money leads inflation as indicated by the recent empirical literature, filtered money growth would gain an advantage over filtered inflation. We aim to explore the role of timing assumptions and the optimal choice of estimate of trend inflation in future research. For practical central bank policy we recommend to use the gap-based-Keynesian models of inflation regularly for policy design, but consider the quantity-theory-based model of trend inflation as a fall-back option. We suggest to implement the quantity-theory-based policy recommendation in circumstances when policies based on the Keynesian models have persistently under-performed, i.e. when trend inflation is better captured by the monetary models. In future research, we aim to collect historical money-demand estimates for the United States and Germany to study whether monetary cross-checking would have helped preventing double-digit inflation in the United States in the 1970s and 1980s, and whether Germany escaped double-digit inflation, because the Bundesbank gave more weight to monetary models of trend inflation.