شوک، سازه ها و یا سیاست های پولی؟ منطقه یورو و ایالات متحده پس از سال 2001

The US Federal Reserve cut interest rates more vigorously in the recent recession than the European Central Bank did. By comparison with the Fed, the ECB followed a more measured course of action. We use an estimated dynamic general equilibrium model with financial frictions to show that comparisons based on such simple metrics as the variance of policy rates are misleading. We find that – because there is greater inertia in the ECB's policy rule – the ECB's policy actions actually had a greater stabilizing effect than did those of the Fed. As a consequence, a potentially severe recession turned out to be only a slowdown, and inflation never departed from levels consistent with the ECB's quantitative definition of price stability. Other factors that account for the different economic outcomes in the Euro Area and US include differences in shocks and differences in the degree of wage and price flexibility.

It is tempting to measure the degree of activism of a central bank by how often it moves its policy instrument. A central bank that makes frequent and large changes would, under this measure, be viewed as very responsive to the state of the economy. A central bank that moves more slowly would qualify as passive and unresponsive. On the basis of this measure of activism, some analysts conclude that the European Central Bank (ECB) is a passive central bank, while the the US Federal Reserve (Fed) is active. We use estimated dynamic general equilibrium models to show that comparisons based on this simple measure of activism are misleading. Comparative assessments of monetary policies cannot abstract from a careful analysis of the shocks and the underlying economic structures that shape the macroeconomic landscape which central banks face. We concentrate on the most recent international downturn, after 2001, in the United States (US) and the Euro Area (EA). We use estimated versions of our model on US and, respectively, EA data and we reach three conclusions. First, a central bank that moves its policy rate sharply in response to each twist and turn in the data would have only a limited impact on economic activity. This is because policy shifts that lack persistence have little impact on longer-term interest rates.1 According to our estimates, ECB policy is characterized by greater persistence than Fed policy. As a result, to achieve a given economic effect the ECB must move its policy rate by much less than the Fed. This is why we find that interest rate actions by the ECB had a greater stabilizing effect on output than the Fed interest rate actions did, even though the latter were bigger. The slowdown in economic activity after 2000 in the EA was so mild that it technically does not even meet the definition of a recession (see log, per capita real GDP in the EA and the US in Fig. 1).2 We estimate that, had it not been for the supportive monetary policy shocks implemented by the ECB, the EA growth slowdown after 2000 would instead have been a substantial recession.A second finding is that the US and EA were hit by different shocks. For example, it is true that the Fed's response to the 2001 recession was very aggressive. Indeed, we find that the Fed's reaction was greater than what one would have predicted on the basis of its past behavior in recessions. It is true that the ECB did not spring into action at the same time and with the same abruptness as the Fed. But, that is because the shocks that produced the EA recession did not occur until later (see Fig. 1b). When the bad shocks that produced the EA slowdown finally did strike one year later, the ECB reacted by deviating from past patterns. The ECB continued to keep rates low longer than the Fed did, because unfavorable shocks lingered longer in the EA than in the US (see Fig. 1). The ECB was able to provide support to economic activity, without violating its definition of price stability (see Fig. 1). A third factor also helps to account for the differences between the US and the EA. Our estimates indicate that wages and prices are more flexible in the US than in the EA. If the EA were instead characterized by the same price flexibility as the US, inflation in the EA would have exhibited more of the volatility evident in the US data (see Fig. 1). This volatility would have increased the volatility in the ECB's policy rate, causing the movements in the EA interest rate to more closely resemble those in the US. At the same time, we find that differences in wage and price flexibility do relatively little to explain the differences in real output between the EA and the US, according to our estimates. In order to quantify the macroeconomic outcome of a different and more activist policy in the EA, we conduct a simple test. We simulated the post 2000 period in the EA, replacing the ECB monetary policy rule by the Fed's policy rule. To our initial surprise, we found that inflation would have been substantially higher and output would have been lower in the EA, if the ECB had adopted the Fed's monetary policy.3 Our analysis requires disentangling the components of the data due to shocks, structure and monetary policy.4 The formal tools we use are designed to do this. We use models that have been estimated using EA and US data in Christiano et al. (2007). The estimation exercise provides us with estimates of the shocks driving the two economies, as well as parameter values for their economic structures and monetary policy rules. Our analysis is based on simulations of our EA model under various counterfactual scenarios. These simulations allow us to investigate how the EA economy would have evolved if it had been struck by the US shocks, or if it were characterized by the US wage/price flexibility, or if it had adopted US monetary policy. The models we use must be fairly elaborate if the results of our simulations are to be credible. For example, we want to include standard shocks such as disturbances to technology, government consumption, household preferences and monetary policy. In addition, the substantial volatility observed in financial markets in recent times suggests that it is important to allow for the possibility that financial factors play an important role in dynamics. Thus, we allow for the possibility that financial markets are a source of shocks, and for the possibility that financial markets play an important role in the propagation of non-financial market shocks. Our estimated models are a variant of one we used to understand another period when financial market volatility played an important role, the US Great Depression (see, Christiano et al., 2003). This model builds on the basic structure of Christiano et al. (2005) by incorporating sticky wages and prices, adjustment costs in investment, habit persistence in preferences and variable capital utilization. Regarding financial markets, the model integrates the neoclassical banking model of Chari et al. (1995). In addition, the model integrates the model of financing frictions built by Bernanke et al. (1999). Finally, our analysis proceeds in the spirit of Smets and Wouters, 2003a and Smets and Wouters, 2003b and others by using Bayesian methods for model estimation and for evaluation of model fit. In this paper we provide an overview of the model, followed by our analysis.5

We noted in the Introduction that the ECB moved its policy rate by less than the Fed did during the 2001 recession. Our results show that this is not due to ‘passivity’ on the side of the ECB. Both central banks deviated from their policy rules during the 2001 recession. The policy shocks produced by the ECB had a bigger effect supporting output than did the policy shocks produced by the Fed. The reason ECB policy shocks had a bigger effect is that the ECB's policy rule is characterized by greater persistence. As a result, to achieve a given effect on output, the ECB has to move its policy rate by less than the Fed. Other reasons that policy outcomes in the EA and the US differed in the 2001 recession is that the two regions were hit by different shocks and have different degrees of stickiness in wages and prices. According to our results, recession-producing shocks arrived in the US before the EA, and this is why the Fed moved its policy rate first. Bad shocks lingered longer in the EA, and this is why the ECB kept its policy rate low longer. Also, wages and prices in the EA are characterized by greater stickiness. If the degree of stickiness in the EA had been the same as it is in the US, then inflation would have been more volatile and so would the realized ECB policy rate. Our work suggests one important area for additional research. In our analysis we adopt the standard Taylor-rule formulation of monetary policy. However, we find that deviations from this Taylor rule (‘monetary policy shocks’) play an important role in policy in the 2001 recession. For example, the abruptness with which the Fed reduced rates in response to the recession is largely attributed to deviations from past behavior. ECB policy is also characterized by a willingness to depart from the estimated simple rule postulated in the model. We suspect that actual policy is in fact more predictable than these findings suggest. As a result, we think there are gains to be made from exploring alternative representations of monetary policy which assign less responsibility to shocks.