نوسانات قیمت دارایی و قواعد سیاست پولی : یک مدل پویا و شواهد تجربی

A dynamic model is set up to explore monetary policy in the presence of asset price volatility. If the probability for the asset price to increase or decrease in the next period is taken as an exogenous variable, the monetary policy rule turns out to be a linear function of state variables. We also explore a monetary policy rule assuming that the probability for the asset price to decrease or increase can be affected by monetary policy and asset price bubbles, and find that a state-dependent monetary policy rule might arise. We further consider monetary policy with asset prices in the presence of a zero-interest-rate bound. Our study shows that a financial market depression can make a deflation and an economic recession worse, implying that policy actions aiming at escaping a liquidity trap should not ignore asset prices.

An interesting feature of the monetary environment in industrial countries in the 1990s is that inflation rates remained relatively stable and low, while the prices of equities, bonds, and foreign exchanges experienced a strong volatility with the liberalization of financial markets. Some central banks, therefore, have become concerned with such volatility and doubt whether the volatility is justifiable on the basis of economic fundamentals. The question has arisen whether monetary policy should be pursued that takes into account financial markets and asset price stabilization. In order to answer this question, it is necessary to model the relationship between asset prices and the real economy. An early study of such type can be found in Blanchard (1981) who has analyzed the relation between the stock value, interest rate and output, and hereby considered the effects of monetary and fiscal policies. Recent work that emphasizes the relationship between asset prices and monetary policy includes Bernanke and Gertler (1999), Smets (1997), Kent and Lowe (1997), Chiarella et al. (2001), Mehra (1998), Vickers (1999), Filardo (2004), Okina, Shirakawa and Shiratsuka (2000), Dupor (2001), Kontonikas and Montagnoli, 2004 and Kontonikas and Montagnoli, 2006 and Zhang and Semmler (2005). Among these papers, the work by Bernanke and Gertler (1999) has attracted much attention. Bernanke and Gertler (1999) employ a macroeconomic model and explore how the macroeconomy may be affected by alternative monetary policy rules which may or may not take into account the asset price bubble. There they conclude that it is desirable for central banks to focus on underlying inflationary pressures, and that asset prices become relevant only if they signal potential inflationary or deflationary forces. The shortcomings of the position by Bernanke and Gertler (1999) may, however, be expressed as follows. First, they do not derive monetary policy rules from certain estimated models, but instead design artificially alternative monetary policy rules which may or may not consider asset price bubbles and then explore the effects of these rules on the economy. Second, they assume that the asset price bubble always grows at a certain rate before breaking. In actual asset markets the asset price bubble might not break suddenly, but may instead increase or decrease at a certain rate before becoming zero. Third, they assume that the bubble can exist for a few periods and will not occur again after breaking. Therefore, they explore the effects of the asset price bubble on the real economy in the short-run. Fourth, they do not endogenize the probability that the asset price bubble will break in the next period because little is known about market psychology. Monetary policy with endogenized probability for the bubble to break may be different from that with an exogenous probability. Some recent literature argues that it is inappropriate to model output with the traditional model which considers only the effects of real interest rate. Goodhart and Hofmann, 2000 and Goodhart and Hofmann, 2003, for example, explore the so-called “IS curve puzzle” which means that real interest rate has a relatively insignificant t-statistic in the traditional IS equation. They extend the traditional IS equation by considering effects of financial markets on output and find that the bias of estimation can thus be avoided. Below we will set up a model in line with this literature and study monetary policy in this framework. The difference of our model from that of Bernanke and Gertler (1999) consists in the following. First, we employ an intertemporal framework to explore what the optimal monetary policy should be, with and without the financial markets taken into account. Second, we assume that the bubble does not break suddenly and does not have to always grow at a certain rate. On the contrary, it may increase or decrease at a certain rate with a certain probability. The bubble does not have to break in certain periods and moreover, it can occur again even after breaking. Third, we endogenize the probability that the bubble will increase or decrease in the next period. This assumption has also been made by Kent and Lowe (1997). They assume that the probability for the asset price bubble to break is a function of the bubble size and monetary policy. The drawback of Kent and Lowe (1997), however, is that they explore only positive bubbles and assume a linear probability function, which is not bounded between 0 and 1. Following Bernanke and Gertler (1999), we consider both positive and negative bubbles and employ a nonlinear probability function which lies between 0 and 1. What, however, complicates the response of monetary policy to asset price volatility is the relationship of asset prices and product prices, the latter being mainly the concern of central banks. Low asset prices may be accompanied by low or negative inflation rates. Yet, there is a zero bound on the nominal interest rate. The danger of deflation and the so-called “liquidity trap” has recently attracted much attention because there exists, for example, a severe deflation and recession in Japan and monetary policy seems to be of little help since the nominal rate is almost zero and can hardly be lowered further. On the other hand, the financial market of Japan has also been in a depression for a long time. Although some researchers have discussed the zero-interest-rate bound and the liquidity trap in Japan, little attention has been paid to the asset price depression in the presence of a zero bound on the nominal rate. We will explore this problem with some simulations of a simple model. The remainder of the paper is organized as follows. In Section 2 we set up the basic model under the assumption that central banks pursue monetary policy to minimize a quadratic loss function. We will derive a monetary policy rule from the basic model assuming that the output can be affected by the asset price bubbles. The probability for the asset price bubble to increase or decrease in the next period is also assumed to be constant. Section 3 explores evidence of the monetary policy with asset price in the Euro-area with a model set up by Clarida, Gali and Gertler (1998). Section 4 extends the model by assuming that the probability that the asset price bubble will increase or decrease in the next period can be influenced by monetary policy and the size of asset price bubbles, and derives a monetary policy rule in such a case. Section 5 explores how asset price may affect the real economy in the presence of the danger of deflation and a zero bound on the nominal rate. The last section concludes the paper.

A dynamic model has been set up to explore monetary policy with asset prices. If the probability for the asset price bubble to increase or decrease in the next period is assumed to be constant, the monetary policy turns out to be a linear function of the state variables. If this probability is endogenized as a function of asset price bubble and interest rate, however, the policy reaction function becomes state-dependent, depending on whether the economy is in boom or recession. Moreover, there may even exist multiple equilibria in the economy. Some empirical evidence shows that the monetary policy in the Euro-area may has, to some extent, taken into account the financial markets in the past decades. We have also explored monetary policy with the zero-interest-rate bound. The simulations indicate that a depression of the financial markets can make a recession economy worse in the presence of a lower bound on the nominal rate. Therefore, policy actions which aim at escaping a liquidity trap should not ignore financial markets.