پویایی های تورم- بیکاری، بلند مدت: منحنی فیلیپس اسپانیایی و سیاست های اقتصادی

This paper takes a new look at the long-run dynamics of inflation and unemployment in response to permanent changes in the growth rate of the money supply. We examine the Phillips curve from the perspective of what we call “frictional growth,” i.e. the interaction between money growth and nominal frictions. After presenting a theoretical model of this phenomenon, we construct an empirical model of the Spanish economy and, in this context, we evaluate the long-run inflation-unemployment tradeoff for Spain and examine how recent policy changes have affected it.

This paper takes a new look at the long-run dynamics of inflation and unemployment in response to permanent changes in the growth rate of the money supply. We examine the Phillips curve from the perspective of what we call “frictional growth,” i.e. the interaction between money growth and nominal frictions. In this context, we show a long-run tradeoff between inflation and unemployment can arise, even when agents have rational expectations and no money illusion and there are no permanent nominal rigidities. After presenting a theoretical model of this phenomenon, we construct an empirical model of the Spanish economy that aims to capture the essential features of the interplay between money growth and prolonged nominal adjustment processes. In this framework, we evaluate the long-run inflation-unemployment tradeoff for Spain and examine how recent policy changes have affected it. The mainstream analysis of inflation and unemployment rests on the standard assumption that economic agents make their demand and supply decisions on the basis of real variables alone and thus, in the long-run labor market equilibrium, a change in the money supply has no real effects; it simply changes all nominal variables in proportion. It was on the basis of such money neutrality that Friedman (1968) and Phelps (1968) formulated the natural rate (or NAIRU) hypothesis, in which there is no permanent tradeoff between inflation and unemployment.1 We show that in the presence of money growth and time-contingent nominal contracts, this argument does not necessarily hold. Under plausible circumstances, namely a nonzero discount rate, changes in money growth may affect the unemployment rate and other real variables in the long-run. This result enables our analysis to avoid a well documented – but frequently ignored – counterfactual prediction of the NAIRU theory: Supposing that the NAIRU is reasonably stable through time – a commonly made assumption – inflation falls (rises) without limit when unemployment is high (low). Our model of the Phillips curve rests on three empirical regularities: (i) the growth rate of the money supply is nonzero, (ii) there is some nominal inertia, so that a current nominal variable is slow to adjust to money growth shocks, and (iii) unemployment is influenced by the ratio of the nominal money supply to that nominal variable (such as the ratio of the money supply to the price level). The first regularity provides a reasonable time-series description of the money supply in most OECD countries. The second stylized fact is well established empirically and has been rationalized theoretically.2 In the presence of staggered time-contingent nominal contracts, current wages are a weighted average of their past and expected future values. It can be shown that when there is positive time discounting the past is weighted more heavily than the future. It is this “intertemporal weighting asymmetry” that allows the phenomenon of frictional growth to manifest itself and produce a long-run inflation-unemployment tradeoff. The third regularity can take a variety of conventional forms, e.g. a change in the ratio of the money supply to the price level may affect aggregate demand and thereby the unemployment rate. Our analysis is akin to several recent breakthroughs concerning the relation between real and monetary activities. Akerlof, Dickens and Perry (1996, 2000) show that in the presence of permanent downward wage rigidities arising from non-rational expectations, there is a downward-sloping tradeoff between inflation and unemployment at low inflation rates. In our analysis, by contrast, agents have rational expectations. Holden (2004) argues that, a downward-sloping tradeoff at low inflation rates is due to the strategic consideration that, in wage negotiations in many European countries, nominal wages can be changed only by mutual consent. Hughes-Hallet (2000) shows how a non-vertical inflation-unemployment tradeoff can arise due to aggregation over sectoral/regional Phillips curves with heterogeneous short-run slopes. In contrast to these contributions, our derivation of a long-run Phillips curve does not rely on non-rational expectations, nominal rigidities in bargaining, or aggregation. We provide an empirical evaluation of this framework for the Spanish economy, based on the estimation of a multi-equation model. We derive the Phillips curve and find it to be far from vertical in the long-run, i.e., we find that disinflation is costly. Our analysis, therefore, suggests that tight monetary policy played a significant role in the increase of Spanish unemployment both in the aftermath of the oil price shocks and in the early 1990s. Had policy makers followed a less contractionary monetary policy, unemployment rate would have been substantially lower. This finding is at stark contrast with the conventional view that institutions like taxes, benefits, employment protection legislation (EPL), and union power are the main driving force of the upward trend in the unemployment rate. In Section 2 we present a theoretical model of the Phillips curve and show how frictional growth can lead to a long-run inflation-unemployment tradeoff. In Section 3 we discuss the empirical implications of our theoretical analysis and the various unresolved issues in the recent literature on the estimation of the Phillips curve. In Section 4 we estimate a multi-equation model of the Spanish economy. In turn, in Section 5, we use this empirical model to derive the long-run inflation-unemployment tradeoff and evaluate how this tradeoff has been affected by major shifts in economic policy. In the light of this evidence, Section 6 provides a reappraisal of the Spanish experience. Finally, Section 7 concludes.

This paper provided a theoretical rationale for a long-run tradeoff between inflation and unemployment due to the interplay between money growth and nominal frictions. In this context we have seen that the absence of money illusion and money neutrality does not prevent changes in money growth from having long-run effects on unemployment (as well as inflation, of course). Thereby our analysis indicates that the NAIRU does not exist and different long-run inflation rates are associated with different unemployment rates. This suggests a reevaluation of how monetary policy affects macroeconomic activity and sheds new light on our understanding of the macroeconomic developments in the Spanish economy. To capture the phenomenon of frictional growth, we estimated a dynamic system of equations that allows the intertemporal influence of money on wages and prices, as well as the intertemporal influence of the relation between money and prices on unemployment. Our empirical model yields a point estimate of −1.89 for the slope of the Spanish long-run Phillips curve prior to the introduction of the institutional and policy changes (so that a 10% decrease in money growth leads to a permanent rise in unemployment by 5.3% points) and a point estimate of −2.70 after the IPCs took place (so that a 10% decrease in money growth leads to a permanent rise in unemployment by 3.7% points). This calls for a reappraisal of the Spanish unemployment experience along the following lines. First, a substantial part of the unemployment increase in the post 1973 era can be attributed to the subsequent restrictive monetary policies. In other words, the common explanation that institutions are responsible for the high unemployment rates is not sufficient, on its own, to account for the realized unemployment trajectory. Second, had money growth been higher throughout the 1990s, the fall in unemployment witnessed at the end of the decade would have been significantly reinforced. In short, monetary policy may have more important and long-lasting effects on real macroeconomic activity, and on unemployment in particular, than the conventional wisdom allows for. The phenomenon of frictional growth, therefore, represents a challenge for monetary policy: It is no longer obvious that the objective of monetary authorities should be restricted exclusively to fighting inflation. On the contrary, it may be desirable that monetary policy is formulated to achieve both inflation and unemployment objectives.