قوانین سیاست های پولی برای اقتصاد باز

The popular Taylor rule is meant to inform monetary policy in economies that are closed. Its main open-economy alternative, i.e., Ball's (In: J.B. Taylor (Ed.), Monetary Policy Rules, University of Chicago Press, Chicago) rule based on a Monetary Conditions Index, cannot offer guidance for the day-to-day conduct of monetary policy because it may perform poorly in the face of specific exchange rate shocks. In this paper we examine the performance of various monetary policy rules suitable for small open economies vis-à-vis existing rules. This entails comparing the asymptotic properties of a two-sector open-economy dynamic stochastic general equilibrium model calibrated on UK data under different rules. We find that an inflation-forecast-based rule is a good rule in this respect, one that also proves robust to different shocks. Adding a separate response to the level of the real exchange rate improves stabilisation only marginally.

The literature on simple rules for monetary policy is vast.1 It contains theoretical research comparing rules that respond to alternative intermediate and final targets, backward- and forward-looking rules, and rules which include or exclude interest rate smoothing terms.2 It also contains work on historical estimates of monetary policy rules for various countries. However, the literature does not contain a thorough normative analysis of simple rules for open economies, i.e., for economies where the exchange rate plays an important role in the transmission of monetary policy impulses.3 The most popular simple rule for the interest rate—due to Taylor (1993a)—for example, was designed for the United States and, thus, on the assumption that the economy is closed.4 And the main open economy alternatives (for example, the rule proposed by Ball (1999) based on a Monetary Conditions Index (MCI)) may perform poorly in the face of specific types of exchange rate shocks and thus cannot offer guidance for the day-to-day conduct of monetary policy.5 In this paper we specify and evaluate a family of simple monetary policy rules that may stabilise inflation and output in small open economies at a lower social cost than existing rules. These rules parsimoniously modify alternative closed- or open-economy rules to analyse different ways of explicitly accounting for the fact that the economy is open. We compare the performance of these rules to that of a battery of existing rules when the model economy is buffeted by various shocks. The existing rules include the Taylor closed-economy rule, naı̈ve MCI-based rules as well as Ball's MCI-based rule, and inflation-forecast-based rules. Some of the rules in the family that we consider appear to be robust across a set of different shocks, including shocks from the rest of the world. This is in contrast to rival closed-economy simple rules, which ignore the fact that the economy is open, and MCI-based rules, the performance of which can be highly shock-specific. To test the rules, we stylise the economy—that we calibrate to UK data—as a two-sector open-economy dynamic stochastic general equilibrium model. The export/non-traded sector split is important because it allows us to discern different impacts of the same shock on output and inflation in the two sectors. Identification of sectoral inflation and output dynamics is a key element on which to base the design of efficient policy rules. More generally, it also makes it possible for the monetary authority to consider the costs of price stabilisation on each sector of the economy. To mimic observed stickiness in the adjustment of prices and wages in the UK, our model also features a wide range of nominal rigidities, modelled using the Calvo (1983) approach.6 Specifically, we assume that non-traded goods prices and nominal wages are sticky. Moreover, we suppose that the price-setting decisions of importers (of both final goods and intermediate inputs) are subject to both Calvo-style price stickiness and a one-period decision lag. This helps to capture the empirical fact that exchange rate passthrough is sluggish. These nominal rigidities have two crucial implications for our model. First, in our model economy macroeconomic equilibrium is inefficient, as with sticky prices changes in aggregate demand give rise to ‘Okun gaps’, in turn arising from specific microeconomic distortions.7 Second, monetary policy has real effects, and can be designed optimally to offset these various distortions. Specifically, since in an open economy monetary impulses are transmitted via multiple channels, in our model an efficient simple policy rule is one which offsets distortions by exploiting effectively all those channels.8 Since our model is theoretically derived on the assumption that consumers maximise utility and firms maximise profits, the model has a rich structural specification. This enables us to contemplate shocks that could not be analysed in less structural or reduced form small macro-models. In particular, with our model, we can examine the implications of shocks to aggregate demand such as a shock to households’ preferences, or a shock to overseas output. On the supply side, we can consider shocks to overseas inflation. We can analyse the impact of a relative productivity shock on the two sectors and investigate how this affects the real exchange rate by altering the relative price of non-tradables and exports. We can also look at the effects of a change in the price of imported intermediate goods. We can examine the effects of shocks to the foreign exchange risk premium. Finally, we can look at the implications of a monetary policy shock, both at home and abroad. The ability to examine all these different shocks is important when comparing alternative policy rules for an open economy, because, for instance, the efficient policy response to changes in the exchange rate will typically depend on the shocks hitting the economy with different shocks sometimes requiring opposite responses. For this purpose our small-economy general equilibrium model is sufficient. A two-country model would enable us to look at these same shocks, but we believe the small-economy assumption is more realistic for the United Kingdom. The rest of the paper is organised as follows. In Section 2 we lay out the model that we use throughout. The calibration of the model is discussed in Section 3. In Section 4 we study some properties of the model and compare them to the properties of UK data. In Section 5 we specify a family of simple open-economy rules; we then compare the stabilisation properties of these rules with those of a battery of alternative simple rules in the face of various disturbances. Section 6 concludes. A Technical Annex, available from the authors on request, contains further details about the model's non-linear and log-linear specifications.9

In existing rules devised for closed economies, like that advocated by Taylor (1993a), the central bank only responds to inflation deviations from target and output deviations from potential. In this paper we have explored alternative simple monetary policy rules for an economy that is open like the United Kingdom. To do so we considered existing rules for open economies like a naı̈ve MCI-based rule and Ball's (1999) rule. We also looked at parsimonious modifications of these and ‘closed-economy’ rules that account for the openness of the economy in various ways. We concluded that a good rule in this respect is an inflation-forecast-based rule (IFB), i.e., a rule that reacts to deviations of expected inflation from target, when the horizon is chosen appropriately. This rule is associated with a lower than average variability of inflation when compared to the alternative open- and closed-economy rules. Adding a separate response to the level of the real exchange rate (contemporaneous and lagged) appears to reduce further the difference in adjustment between output gaps in the two sectors of the economy, but this improvement is only marginal. These results on the relative performance of the rules are broadly confirmed by results obtained comparing the utility losses faced by the households in our model economy under each rule. This reflects the fact that the distortions in our economy are similar to those that are modelled in existing closed-economy models—price and wage stickiness. The distinctive feature of our two-sector open-economy model is that the utility-based loss function includes terms that capture disparities between the non-traded and export sectors. But because the weight on these terms is relatively small, augmenting simple rules with terms in the real exchange rate has only a modest effect on their performance when measured by the utility-based loss function. Importantly, an IFB rule, with or without exchange rate adjustment, appears quite robust to different shocks, in contrast to naı̈ve MCI-based rules or Ball's rule. Finally, relative to other open- and closed-economy rules that we have analysed, an IFB rule (and OE1, an exchange-rate-adjusted IFB rule) seems to reduce the probability of hitting a zero bound with nominal interest rates, and thereby may increase the chances of policy remaining operational under particularly severe deflationary shocks.