قوانین سیاست های پولی بهینه، تقویت مالی و چرخه های کسب و کار نامشخص

This paper studies optimal monetary policy in the presence of ‘uncertainty’, time-variation in cross-sectional dispersion of firms' productive performance. Using a model with financial market imperfections, the results suggest that (i) optimal policy is to dampen the strength of financial amplification by responding to uncertainty (at the expense of creating mild degree of fluctuations in inflation). (ii) Higher uncertainty makes the welfare-maximizing planner more willing to relax financial constraints. (iii) Credit spreads are a good proxy for uncertainty. Hence, a non-negligible response to credit spreads -together with a strong anti-inflationary policy stance- achieves the highest aggregate welfare possible

While financial variables (e.g. credit spreads or asset prices) are with no doubt important ingredients for policy making, they have been conventionally argued to be useful in so far they help predicting inflation and real economic activity.1 Introducing uncertainty, time-variation in cross-sectional dispersion of firms' productive performance, alters the conventional wisdom: Optimal policy prescribes a direct and systematic response to credit spreads (above and beyond what inflation and output gap would imply). Such a policy dampens distortionary effects of uncertainty, and helps containing adverse feedback effects between financial conditions and the real economy. Cross-sectional dispersion of firms' performance has been emphasized in the recent literature as an important driver of business cycles.2 I present in Fig. 1 the evolution of dispersion against real GDP for the US economy (using macro- or micro-level measures). Leaving aside further empirical findings to the literature, the figure shows that higher uncertainty is strongly associated with a declining real GDP.In this paper, I study optimal monetary policy using uncertainty as an additional pulse driving the business cycles. While there are many channels through which uncertainty may transmit into business cycle fluctuations, here I consider credit channel following Gilchrist et al. (2011), Christiano et al. (2014), Arellano et al. (2011), Chugh (2011), and use a canonical New-Keynesian model with financial market imperfections (Bernanke et al., 1999; BGG hereforth).3 Owing to financial market imperfections, uncertainty has two direct effects on credit market conditions. First, it affects the measure of borrowers that will go bankrupt. Second, it affects net worth that will be retained by borrowers, and hence the quality of balance sheet of borrowers. Accordingly, a higher dispersion, for example, implies a higher risk for banks' overall loan portfolio, making banks less willing to extend credit. As a result, the equilibrium level of credit spread rises and investment declines. The main contribution of this paper is that, despite the emphasis on uncertainty as a potential driver of business cycles in the literature, whether and how monetary policy prescriptions would differ from the conventional wisdom under uncertain business cycles remains an open question. Moreover, in models with costly-state-verification-type financial market imperfections (e.g. BGG), uncertainty is primarily a ‘financial’ shock, directly affecting borrowers' ability to raise funds. In this regard, studying uncertainty sheds light on implications of introducing disturbances that are of financial type on optimal monetary policy. 4 Third, the key equation of the financial acceleration mechanism that relates the external finance premium to the aggregate leverage is not assumed to be a linear function with a constant or exogenously time-varying elasticity (as in most of the literature), but is allowed to be determined by the debt contract optimality conditions (which imply a non-linear relation with an endogenous time-varying elasticity). The results suggest that optimal policy is to dampen the strength of financial amplification by responding to uncertainty. The planner achieves so by reducing the sensitivity of external finance premium to borrowers' leverage, effectively increasing the efficiency of financial intermediation that would otherwise occur in a decentralized economy. This, however, comes at the expense of creating mild degree of fluctuations in inflation. The intuition lies on the fact that the tension between price stickiness (which creates fluctuations in the intratemporal wedge) and financial frictions (which creates fluctuations in the intertemporal wedge) tends to be resolved in favor of the latter if uncertainty shocks come into play. 5 From a historical perspective, the results show that the higher the uncertainty, the stronger the financial stress on the economy. 6 Using shock processes estimated from the US data, I show that the planner's willingness to relax financial stress exhibits a rapid deterioration starting in mid-2002, and hits record low by the end of 2006. During recession periods, especially during the recent one, marginal benefit of relaxing the financial constraint rises substantially. A key question then is whether simple policy rules, that include only a few observable macroeconomic variables, can attain a welfare level close to the planner's, and the optimal magnitude of response to financial variables (if not nil). As an additional input to policy making (besides inflation and output gap), I consider credit spread, the key variable that is tightly linked to financial distortions. For comparison purposes with the earlier literature, I also study (fundamental level of) asset prices as an additional input to the policy.7 If the economy is driven by uncertainty shocks, optimal rules suggest a non-negligible lean-against-the-wind policy reaction to credit spreads. 8 Such a response is mainly due to spreads being driven mostly by uncertainty shocks. If monetary authority is allowed to react to asset prices (which are driven mostly by productivity shocks), the corresponding policy response should be nil. This result suggests that monetary authorities should not blindly respond to financial variables, but instead should infer what drives them. The optimal magnitude of response to credit spreads is generally less than one-to-one. Under the benchmark scenario (when spreads fluctuate moderately), the policy rate should be reduced by 32 basis points in response to a 1% increase in credit spreads.9 This result holds for sufficiently high levels of anti-inflationary reaction. The main policy lesson is that policy makers should closely monitor time-variation in cross-sectional dispersion of firms' performance. Indeed, if the policy maker is allowed to react to uncertainty directly, would choose to do so to improve aggregate welfare. From a practical point of view, however, the availability and the quality of information on the dispersion may not be available in real time. Yet, since credit spreads serve as a good proxy for uncertainty, responding to the credit spreads can be used as a general policy to have better aggregate outcomes. This paper is related to a large strand of literature: Optimality of responding to financial variables (asset prices, credit spreads, volume of credit etc.) in a simple policy rule has been widely studied in the literature. The pre-crisis consensus view is that (i) inflation stabilization alone ensures financial stability and achieves highest aggregate welfare, (ii) marginal welfare gain from responding to (non-fundamental) asset prices is negligible unless there are informational asymmetricities between private agents and monetary authority.10 This strand, however, does not focus on strict welfare comparisons (with the exception of Faia and Monacelli, 2007), nor the welfare implications of introducing financial disturbances.11 In this paper, I show that without such informational asymmetricity or non-fundamental asset price moves, it is still optimal to respond to financial variables. Generally speaking, optimal policy maker should contain fluctuations in credit spreads (in general) or asset prices (only when uncertainty is the dominant driver of business cycles). Closely related to my work, Gilchrist and Zakrajsek (2011) use a similar model with BGG-type financial market imperfections. They show that a spread-augmented policy rule dampens the effect of financial amplification and induces powerful stabilizing effects on real and financial variables. They, however, do not consider optimal policy problem. A parallel literature has also emerged at the onset of the recent crisis, focusing on the credit supply side. Angeloni and Faia (2013) introduce a banking sector in an otherwise standard New-Keynesian model, and show that containing fluctuations in asset prices (combined with mildly acyclical capital requirements) improves aggregate welfare compared to simple policy rules. Curdia and Woodford (2010), using a model with costly financial intermediation, conclude that in response to disturbances affecting efficiency of financial intermediation directly, it is optimal to respond to credit spreads, with the optimal degree generally being less than one-to-one. Focusing on unconventional policies, Gertler and Karadi (2011), Gertler and Kiyotaki (2010), Gertler et al. (2011), and Dedola et al. (2013) study the effect of balance sheet of the banking sector, imperfections in interbank lending or international coordination of policies on fluctuations in domestic aggregate variables. As will be evident below, my results also have insights on unconventional policies. Moreover, the results suggest that it is not necessarily the credit supply channel per se that makes containing fluctuations in credit spreads optimal, but it is the underlying set of disturbances that has a direct effect on credit market conditions that matters. The paper proceeds as follows: Section 2 discusses the model economy very briefly. Interested readers may refer to Appendix A for details. Section 3 presents the functional forms and the calibration. Section 4 presents long-run equilibria as a function of long-run cross-sectional dispersion, and the model dynamics in the decentralized equilibrium. Section 5 presents welfare evaluation, and Section 6 the optimal monetary policy problem. Section 7 presents the optimal simple policy rules, whether simple policy rules can attain a welfare level close to the planner's. In Section 8, I provide insights on actual policy making from the perspective of optimal monetary policy. Finally, Section 9 concludes.

This paper studies implications of uncertainty, or as also called in the literature risk or dispersion shocks, on optimal monetary policy. The results suggests that optimal policy is to contain business cycle fluctuations due to uncertainty. Moreover, a higher uncertainty makes the planner more willing to relax the financial constraints. In particular, using actual shock processes estimated using the US data, the planner's willingness to relax financial constraints on the economy exhibits record low levels in the run up to the recent crisis, and exhibits a steep jump starting slightly before the crisis. From a practical point of view, however, the availability and the quality of information on the dispersion may not be available in real time. Yet, since credit spreads can serve as a good proxy for uncertainty, responding to credit spreads can be used as a general policy to have better aggregate outcomes. The optimal degree of response is generally less than one-to-one under various scenarios. A strict inflation stabilization, compared to the optimal rule, yields negligible welfare gains. Under ‘higher uncertainty’, the precise degree to which the policy maker should respond to the spread rises. Note however that there are many credit spreads in an actual economy, business cycle properties of which, although mostly follow a common trend, might differ during abnormal times. Moreover, potential interaction between first-moment shocks and uncertainty can also be explored. To the extent first-moment shocks (e.g. productivity) lead to fluctuations in cross-sectional dispersion, and accordingly, induce more pronounced distortions in capital supply decisions, optimal policy would still prescribe a non-negligible response to credit spreads. The optimal magnitude of response, though, requires a quantitative exercise. Besides, facing not a single but many measures of financial stability, monetary authorities, in a real economy, is to conjecture an optimal response to various types of disturbances (of real and financial types) depending on the quantity and the quality of the information available. These points are left to future work.