اثرات رژیم سیاست پولی تغییر به جهت هدفگذاری تورم بر روی نرخ بهره واقعی در انگلستان

This paper studies the effects of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis suggests a constant mean of the real interest rate that shifts with the monetary policy regime change to inflation targeting in October 1992. The mean-reverting level of the real interest rate has decreased from 5.1% to 2.3% per annum with the change in monetary policy to inflation targeting. In addition, the shift in monetary policy regime to inflation targeting has reduced the volatility of the real interest rate and increased the persistence of real interest rate deviations from the mean. The results suggest that the central bank can affect the stochastic properties of the real interest rate through the choice of monetary policy regime over a long period of time.

The behaviour of real interest rates has important implications for many issues in economics and finance. However, little consensus exists about the factors that affect the real interest rate. Fama's (1975) famous claim that the real interest rate is a constant has led to a debate on whether the choice of monetary policy regime affects the real interest rate. A policy-invariant real interest rate would be problematic for many macroeconomic models, because the principal real effect of monetary policy runs through a link between policy and real interest rates. In a series of articles a stationary series with infrequent shifts in the mean describes the real interest rate (e.g., Garcia and Perron, 1996 and Bai and Perron, 2003). Further research into the reasons behind these real rate shifts suggests a link between inflation regime changes and real interest rate shifts (e.g., Rapach and Wohar, 2005). Moreover, Caporale and Grier (2005) find that changes in the Fed Chair affect the mean of the real interest rate when they control for shifts in the inflation regime. This paper studies the effects of the British monetary policy regime shift to inflation targeting on the real interest rate. British monetary policy was determined by the exchange-rate peg of the European Exchange Rate Mechanism (ERM) before inflation targeting. During the run-up to membership in the ERM and the brief period of participation in the ERM the monetary policy goal was a stable exchange rate with other European countries. On Black Wednesday, 16 September 1992, the British government was forced to withdraw from the ERM after they could not keep sterling above its agreed lower limit to a basket of other European currencies. This nonvoluntary departure from the ERM on Black Wednesday has sparked a rapid and unanticipated monetary policy regime shift in the U.K. The exchange rate targeting policy of the ERM period was replaced by an explicit inflation targeting policy. In October 1992 the British government established an official target rate for U.K. inflation.1Mishkin (1999) suggests that monetary policy regime changes are usually implemented gradually. This protects the reputation of the central bank. Therefore, the abrupt and official shift in British monetary policy to inflation targeting offers an opportunity to study the question whether the choice of monetary policy regime affects the real interest rate. We use a continuous-time interest rate model to study the behaviour of the real interest rate. The mean-reverting level of the real interest rate follows the time-varying mean structure of Balduzzi et al. (1998). In addition, we implement a structural break in the model parameters with the British monetary policy regime shift to inflation targeting to measure the effects of the monetary policy regime shift on the real interest rate. This empirical model encompasses as special cases (i) a constant mean-reverting level that shifts with the monetary policy regime change to inflation targeting and (ii) a constant mean-reverting level that is unaffected by the monetary policy regime shift. The model separates the impact of the monetary policy regime shift on the mean-reverting level from unrelated movements in the mean of the short rate. The empirical results reveal a statistically significant variation of the mean-reverting level of the real short rate that results from the monetary policy regime shift to inflation targeting. The mean of the real interest rate is a constant that shifts with the change in monetary policy regime. The monetary policy regime shift to inflation targeting leads to a persistent change in the stochastic properties of the real interest rate, because it lowers the mean of the real interest rate, reduces the volatility of the real interest rate and increases the persistence of real interest rate deviations from the mean of the real interest rate. The remainder of the paper is organized as follows. Section 2 outlines the empirical model of the real interest rate in the U.K. Section 3 discusses the data and estimation of the continuous-time interest rate model from discretely sampled data. Section 4 presents the empirical results. Section 5 summarizes the results and conclusions.

This paper studies the impact of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis is based on a continuous-time interest rate model with a time-varying mean-reverting level. The results suggest a time-varying mean of the real interest rate in the form of a constant that shifts with the change in monetary policy regime to inflation targeting in October 1992. This suggests the mean of the real interest rate is a constant that shifts over time with monetary policy regime changes. The mean-reverting level of the real interest rate has decreased from 5.1% per annum to 2.3% per annum with the change in monetary policy regime and the CIR volatility structure. In addition, the monetary policy regime shift to inflation targeting has reduced both the volatility of the real interest rate and the speed of mean reversion of the real interest rate. Hence, the real interest rate is less volatile and more persistent under the inflation targeting policy. The results are highly suggestive that the central bank can affect the real interest rate through the choice of monetary policy regime over a long period of time.