اثر متقابل سیاست های پولی و مالی: شواهد تجربی و سیاست بهینه با استفاده از یک مدل جدید ساختاری کینزی

This paper examines the interaction of monetary and fiscal policies using an estimated New-Keynesian dynamic general equilibrium model for the US. In contrast to earlier work using VAR models, we show that the strategic complementarity or substitutability of fiscal and monetary policy depends crucially on the types of shocks hitting the economy, and on the assumptions made about the underlying structural model. We also demonstrate that countercyclical fiscal policy can be welfare-reducing if fiscal and monetary policy rules are inertial and not co-ordinated.

Despite the existence of a vast literature on the robustness and optimality of monetary policy rules, relatively little attention has been given to the issue of monetary–fiscal interactions. A number of papers have examined the interdependence between fiscal and monetary policies using New-Keynesian dynamic general equilibrium models,1 or game-theoretic models,2 but none of these models have been tested empirically. In this paper we jointly estimate a small econometric model and monetary and fiscal policy rules for the USA over the sample period 1970–2001. Our structural model is based on a conventional New-Keynesian dynamic general equilibrium (DGE) model. We use our estimated model to undertake a number of dynamic simulations, examining the responses of the endogenous variables (including the policy instruments) to both exogenous shocks in the structural model equations or unanticipated deviations from the policy rules. In addition, we conduct a number of historical (counterfactual) dynamic simulations, superimposing additional exogenous shocks to existing structural shocks and deviations from the monetary and fiscal rules, to examine how policy-makers might have reacted to different scenarios. Overall, we find that the systematic responses of fiscal and monetary policy instruments to each other do tend to depend critically on the nature of the shocks hitting the economy. Whilst the New-Keynesian structure of the model suggests a degree of substitutability between the two policy instruments in response to unexpected shocks in the policy rules, our historical simulations show that since the 1990s the two policy instruments have moved together in a more complementary way. To a large extent this is attributable to the nature of the underlying structural and policy shocks, which has changed in the 1990s relative to the 1980s. In particular demand shocks have become more predominant and the variance of deviations from policy rules has been reduced. Finally, we conduct some normative analysis with our estimated models, to evaluate whether the introduction of endogenous fiscal policy rules markedly changes the optimal monetary policy rule. We thus compare our estimated monetary policy rule with others that can be derived from an optimal control exercise. Interestingly, we find that countercyclical fiscal policy can be welfare-reducing in the presence of optimizing monetary policy-makers. The rest of this paper is organized as follows. In the next section we will briefly survey the existing literature. In Section 3, we outline the structure of our estimated model and the empirical methodology. In Section 4, we report our estimates and discuss our dynamic simulations, while in Section 5 we focus on optimal policy. Section 6 concludes.

The main contribution of this paper has been to provide a structural econometric interpretation to the macroeconomic interactions between fiscal and monetary policies. We have estimated a New-Keynesian model of inflation and output jointly with monetary and fiscal rules using data from the US, to provide some understanding of the way in which different macroeconomic policy instruments interact over the business cycle. The existing evidence on monetary–fiscal interactions over the cycle suggests that, whilst over a panel of countries the two policy instruments do tend to counteract each other over the cycle (Mèlitz, 1997 and Mèlitz, 2000; Wyplosz, 1999), there is increasing evidence of complementarity over the period since 1980 (Muscatelli et al., in press), or at least asymmetric complementarity (Von Hagen et al., 2001). The evidence from this paper substantiates the conjecture in Buti et al. (2001) that the nature of the interaction between the two policy instruments should depend on the nature of the shocks hitting the system. Indeed, we have shown that for the case of output shocks fiscal and monetary policies tend to act in harmony, whereas they are used as substitutes following inflation shocks or shocks to one policy instrument. Furthermore, the apparent shift to policy complementarity observed in the 1990s is mainly due to the specific configuration of shocks observed in that period. We further showed that the perspective on fiscal–monetary interactions also depends critically on the type of structural model fitted to the data. Again, this is an important point, as the existing literature relies on reduced-form models or VAR analysis which cannot disentangle the role played by different structural interpretations and by shocks to the correlation between the two policy instruments. Finally we provide some preliminary normative analysis of the impact of fiscal policy on the design of optimal policy rules. Perhaps surprisingly, it turns out that the presence of an endogenous fiscal policy rule is welfare-reducing. The reason for this seems to be the inertial nature of the fiscal and monetary policy rules. There is however a substantive distinction between the two policy rules. In fact monetary policy rules are explicitly designed for stabilization purposes, whereas the design of automatic stabilizers is generally driven by concern for distributional issues (Taylor, 2000a). Perhaps the time has come for fiscal policymakers to reconsider the issue, taking into account both the countercyclical role of fiscal policy and the need for better coordination in the design of policy rules. This would seem to be a profitable area of further research. The biggest shortcoming of the approach followed here is that it allows very limited scope for the two policy instruments to interact, focusing exclusively on the aggregate demand channel. By building in the impact of distortionary taxation, substitution of private and government consumption, tax wedge effects on pricing and wage-setting, and the impact of interest-rate policy on deficit financing, a richer picture will doubtlessly emerge. This is left to future work.