سیاست های پولی و اثر فیشر

Historical estimates of the informational content in the yield curve may not be relevant after a change in monetary policy. This study uses a small dynamic rational expectations model with staggered price setting to study how monetary policy affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters, including the Fed's loss function parameters, are estimated by maximum likelihood on quarterly US data. The policy experiments include stronger inflation targeting and more active monetary policy.

The most common way of measuring the Fisher effect is by the slope coefficient in an OLS regression of inflation or inflation expectations (the distinction does not matter if expectations are rational) on nominal interest rates, πe=a+bi+εt. A value of b slightly less than unity is a common result on US data. 1 This equation can also be used as an (optimal if normally distributed variables) indicator rule for inflation expectations, π̂e=a+bi. From the Fisher equation, i=π̂e+r where r is the (risk-adjusted) real interest rate, it follows that the indicator rule for the real interest rates is r̂=(1−b)i plus a constant. This study investigates how monetary policy affect these indicator rules and their fit. This is done by first estimating a small macromodel of the US economy and then analyzing the effects on the equilibrium time series process of changing the objectives of the policymaker. For sake of brevity, the attention is focused on 1-year interest and inflation rates, but similar results hold for longer maturities.