حوادث مشابه تورم و سیاست پولی مبتنی بر پیش بینی

Central bankers frequently emphasize the critical importance of anchoring private inflation expectations for successful monetary policy and macroeconomic stabilization. In most monetary policy models, however, expectations are already anchored through the assumption of rational expectations and perfect knowledge of the economy. In this paper, we reexamine the role of inflation expectations by positing, instead, that agents have imperfect knowledge of the precise structure of the economy and policymakers' preferences, and rely on a perpetual learning technology to form expectations. We find that with learning, disturbances can give rise to endogenous inflation scares, that is, significant and persistent deviations of inflation expectations from those implied by rational expectations, even at long horizons. The presence of learning increases the sensitivity of inflation expectations and the term structure of interest rates to economic shocks, in line with the empirical evidence. We also explore the role of private inflation expectations for the conduct of efficient monetary policy. Under rational expectations, inflation expectations equal a linear combination of macroeconomic variables and as such provide no additional information to the policy maker. In contrast, under learning, private inflation expectations follow a time-varying process and provide useful information for the conduct of monetary policy.

Central bankers frequently emphasize the importance of anchoring inflation expectations for successful monetary policy. For example, as Federal Reserve Chairman Greenspan observed in May 2001: “We have often pointed before to the essential role that low inflation expectations play in containing price pressures and promoting growth. Any evident tendency in financial markets or in household and business attitudes for such expectations to trend higher would need to factor importantly into our policy decisions” (Greenspan, 2001). When private inflation expectations become unmoored from the central bank’s objectives— episodes that Goodfriend (1993) characterizes as “inflation scares”—macroeconomic stabilization can suffer. Such episodes are easily identified in the monetary history of the United States and other nations. Following the experience with high and volatile inflation in the 1970s, Federal Reserve Chairman Paul Volcker identified the problem of anchoring inflation expectations as crucial for policy success, noting that: “With all its built-in momentum and self-sustaining expectations, [the inflationary process] has come to have a life of its own” (Volcker, 1980). Given these concerns, central banks regularly monitor and analyze information regarding inflation expectations reflected in surveys or financial markets.1 Relative to the attention that central bankers place on private inflation expectations, there has been comparatively little research that focuses on how these expectations could become unmoored from policymakers’ objectives and the types of monetary policies that might mitigate this problem. Two explanations of how private inflation expectations could become unmoored have received attention in the literature. In one, promoted by Clarida et al. (2000) in their analysis of Federal Reserve policy in the 1970s, the central bank’s policy fails to satisfy the “Taylor principle” according to which the central bank raises real interest rates when inflation rises above target and vice versa. Under those conditions, inflation expectations are not anchored and may move independently of economic fundamentals. In the second, the central bank’s inflation target is assumed to change from time to time and private agents only gradually recognize these shifts (see Bomfim et al., 1997; Kozicki and Tinsley, 2001a, 2001b; and Erceg and Levin, 2003). According to these explanations, anchoring inflation expectations should be straightforward in practice, and requires only that the central bank hold to a constant long-run inflation target and satisfy a basic stability condition. Once these conditions have been fulfilled, presumably central banks would no longer need to be so concerned with private inflation expectations. One potential source of this apparent disconnect between the weight central bankers place on inflation expectations and the conclusion of policy evaluations conducted in theliterature may be the rigid imposition of rational expectations in macroeconometric models with an assumed fixed and known structure. In standard linear models with fixed coefficients, once a linear monetary policy rule is specified, inflation expectations can be represented as a linear function of economic outcomes.2 Under rational expectations, economic agents are assumed to know these functions and mechanically form expectations accordingly. But what if agents are, in fact, uncertain of the structure of the model, are concerned about possible structural change, or are simply uncertain of the values of model parameters? Once imperfect knowledge of this type is acknowledged, the tight mechanical link from economic outcomes to the process of expectations formation breaks down. As stressed by Friedman (1979) and Sargent (1993), the explicit learning process that economic agents are assumed to employ to form expectations should then be examined. In this paper, we break the tight link between inflation expectations and observable macro variables implied by rational expectations by positing that agents do not know with certainty the parameters of the model but instead update their estimates based on the information available to them.We show that in a model with private agent learning, inflation expectations drift endogenously in response to macroeconomic disturbances even when policy satisfies standard stability conditions and the long-run inflation objective is a constant target. Importantly, this drift is not confined to short horizons but manifests itself in long-horizon expectations. We interpret these movements in long-horizon inflation expectations, which appear unrelated to fundamentals, as inflation scares. As we show, the prevalence and severity of these endogenous inflation scares is determined by the monetary policy in place, with policies that emphasize output stabilization being more prone to generating inflation scares. We show that the movements in expectations resulting from the presence of perpetual learning in the economy are consistent with the appearance of excess sensitivity of long-horizon inflation expectations and long-term bond yields to transitory aggregate shocks. In particular, learning induces large positive correlations between long-run inflation expectations and transitory shocks that would not be present under rational expectations with perfect knowledge. We also demonstrate that these correlations depend on the policy regime in place, specifically, they are significantly smaller if the central bank is vigilant in responding to inflationary threats and the public can be certain of its long-run inflation expectations. These results provide an explanation for the responses of long-term nominal interest rates to news reported in the literature. (See Kuttner, 2001; Gürkaynak et al., 2003, and references therein.) Finally, we show that in the presence of perpetual learning careful monitoring and responding to the public’s inflation expectations may lead to significant improvements in economic stabilization performance that are not evident under rational expectations with perfect knowledge. In our model, forecast-based and outcome-based policies are isomorphic under rational expectations. When knowledge is imperfect, however, there is information in private forecasts beyond what is contained in the central bank’s forecast. This information is useful for monetary policy: monitoring and responding to private in-flation expectations, in addition to actual inflation, leads to improved policy outcomes. In our analysis we also differentiate between the public’s expectations and the policymaker’s inflation forecasts, and explore the marginal value of this additional information for policy design. The remainder of the paper is organized as follows. Section 2 describes the model. In Section 3, optimal policy under perfect knowledge is derived and analyzed. Section 4 describes the process by which agents learn. Section 5 explores the incidence of inflation scares in the model with learning. Section 6 examines the model’s predictions regarding the sensitivity of long-run expectations to economic conditions under perfect knowledge and learning. Section 7 computes optimized policy rules under learning and examines the usefulness of private inflation forecasts in setting monetary policy. Section 8 concludes.

Central banks around the world pay close attention to inflation expectations, including surveys, market-based measures, and forecasts. One reason for this concern is the possible outbreak of inflation scares, i.e., unusual increases in inflation expectations, that appear to be a recurring phenomenon. In this paper, we explore the properties of endogenous fluctuations in the formation of expectations resulting from a process of perpetual learning and examine its implications for the design of forecast-based monetary policy. Under rational expectations and perfect knowledge, long-run inflation expectations are well anchored and do not budge in response to aggregate shocks. With learning, however, large shocks or a sequence of shocks can dislodge that anchor and an inflation scare may ensue. Inflation expectations can then move substantially away from the policymaker’s target. In this way, our model suggests an important role for learning-induced inflation expectations dynamics for explaining the appearance of “excess sensitivity” of long-term inflation expectations and nominal interest rates to aggregate shocks that is observed in the data. We also find that under learning private inflation expectations contain potentially valuable information for the setting of monetary policy. In particular, policies that respond to both observed inflation and private inflation expectations yield significant improvements in macroeconomic performance over simple rules that respond to observed inflation.