ローマー夫妻が2年半前に紹介した論文*1の続編と思しき表題のNBER論文上げている原題は「Why Some Times Are Different: Macroeconomic Policy and the Aftermath of Financial Crises」、ungated版)。


Analysis based on a new measure of financial distress for 24 advanced economies in the postwar period shows substantial variation in the aftermath of financial crises. This paper examines the role that macroeconomic policy plays in explaining this variation. We find that the degree of monetary and fiscal policy space prior to financial distress—that is, whether the policy interest rate is above the zero lower bound and whether the debt-to-GDP ratio is relatively low—greatly affects the aftermath of crises. The decline in output following a crisis is less than 1 percent when a country possesses both types of policy space, but almost 10 percent when it has neither. The difference is highly statistically significant and robust to the measures of policy space and the sample. We also consider the mechanisms by which policy space matters. We find that monetary and fiscal policy are used more aggressively when policy space is ample. Financial distress itself is also less persistent when there is policy space. The findings may have implications for policy during both normal times and periods of acute financial distress.







「Does Central Bank Transparency and Communication Affect Financial and Macroeconomic Forecasts?」というスイス国立銀行のワーキングペーパーが出ている(H/T Mostly Economics)。著者はThomas LustenbergerとEnzo Rossi。


Does central bank communication and transparency affect macroeconomic forecasts at all and in the intended way? We answer this question based on a large sample of countries for financial and macroeconomic variables important for monetary policymaking provided by the private sector.

The answer is only partially affirmative. The results shown in this paper warn us that we should not expect too much from greater transparency and enhanced communication. We provide compelling evidence that, in general, central bank openness is not an effective instrument to improve the accuracy of private forecasts. At a more detailed level, our results suggest that transparency does not constitute a one-size-fits-all model but has effects that vary significantly across countries and variables. Some dimensions, such as the publication of voting records, are even detrimental to the quality of interest-rate forecasts.

...transparency seems to provide the anchor by which agents’ forecasting actions are coordinated. Thus, what seems to be important in the discussion about more or less central bank transparency is to make a clear distinction between its impact on forecast accuracy and its impact on forecast dispersion.

On the other hand, the verdict about the frequency of central bank communication is unambiguous. More communication produces forecast errors and increases their dispersion....

Even less successful in terms of forecasting performance is a forward-guidance policy, as pursued after the financial crisis. It affected neither the errors nor the dispersion of interest-rate and yield forecasts.


中銀のコミュニケーションと透明性はマクロ経済予測にそもそも影響を与えるのだろうか? それも意図した方向に影響するのだろうか? 我々は、多くの国のサンプルから取得した、民間部門から提供される金融政策策定にとって重要な金融ならびにマクロ経済変数を基に、この問いに答えた。








昨日紹介したバーナンキ論文「Monetary Policy in a New Era」に関するパネル討論にFRBのブレイナード理事も参加し、事前に用意したコメントで「バーナンキ論文は、この新たな環境の中で金融政策を行うFRBの努力に関して優れた概観を提供し、興味深い新提案を幾つか行っている(Bernanke's paper provides an excellent review of the Federal Reserve's efforts to operate in this new environment and makes some interesting new proposals)」と書いている。その新提案の中で最も注目を集めたのが、インフレ目標と価格水準目標を組み合わせた枠組みの提案である。同提案は本人のブログエントリでも紹介されているが、シンポジウムに出席したCarola Binderが以下のようにまとめている

Ben Bernanke raised probably the most specific and novel policy idea of the conference, a monetary policy framework that would resemble a hybrid of inflation targeting and price level targeting. In normal times, the central bank would have a 2% inflation target. At the zero lower bound, the central bank would allow inflation to rise above the 2% target until inflation over the duration of the ZLB episode averaged 2%. He suggested that this framework would have some of the benefits of a higher inflation target and of price level targeting without some of the associated costs. Inflation would average 2%, so distortions from higher inflation associated with a 4% target would be avoided. The possibly adverse credibility costs of switching to a higher target would also be minimized. The policy would provide the usual benefits of history-dependence associated with price level targeting, without the problems that this poses when there are oil shocks.

It’s an exciting idea, and intuitively really appealing to me. But how should the Fed ever decide whether or not to implement it? Bernanke mentioned that economists at the Board are working on simulations of this policy. I would guess that these simulations involve many of the assumptions and linearizations that rethinking types love to demonize.



これは刺激的なアイディアであり、直観的に私は非常に惹きつけられた。しかしFRBは、これを導入するか否かをどのように決定すべきなのだろうか? バーナンキFRB経済学者がこの政策のシミュレーションを実施していると述べた。そうしたシミュレーションには、経済学再考が好きな人が敵視するような前提や線形化が数多く使われるものと思われる。

ブレイナードも前記のコメントでこの提案を中心的に取り上げ、早期に正常な状態に戻したいという「正常化バイアス(Normalization Bias)」を回避する手段になる、と述べている。

The proposed temporary price-level targeting policy is designed to address what I see as one of the key challenges facing policymakers. Following deep recessions of the type we experienced in 2008-09, there appears to be an important premium on "normalization." This was apparent in 2010, for instance, when there was substantial pressure among Group of Twenty officials to commit to timelines and targets for reducing fiscal support and to articulate exit principles for monetary policy. This inclination proved premature, as was evident from the subsequent intensification of the euro-area crisis.

Moreover, the benchmark for "normal" tends to be defined in terms of pre-crisis standards that involved policy settings well away from the lower bound, at least initially, because it may take some time to learn about important changes in underlying financial and economic relationships. For example, the factors underlying what we now understand to be the new normal of persistently low interest rates were in many cases initially viewed as temporary headwinds. In these circumstances, a standard policy framework calibrated around the pre-crisis or "old" normal may be biased to underachieving the inflation target in a low neutral rate environment. The kind of policy framework that Bernanke proposes, which pre-commits to implementing the makeup principle based on the actual observed performance of inflation during a lower bound episode, could guard against premature liftoff and help prevent the erosion of longer-term inflation expectations.





Monetary policymakers operate in an environment of considerable uncertainty and therefore have to weigh the risks of tightening too little or too late against those of tightening too much or too soon. While past experience has conditioned U.S. policymakers to be highly attentive to the risks associated with a breakout of inflation to the upside, as in the 1970s, they balance these risks against those associated with undershooting the inflation target persistently, as in Japan in the late 1990s and the 2000s.

In weighing these risks, the standard approach is typically designed to achieve "convergence from below," in which inflation gradually rises to its target. Given the lags in the effects of monetary policy, convergence from below would necessitate raising interest rates preemptively, well in advance of inflation reaching its target. Moreover, particularly in the early stage of a recovery, this kind of preemptive approach tends of necessity to rely on economic relationships derived from pre-crisis observations, when policy rates were comfortably above the lower bound.

During a period when the policy rate is limited by the lower bound, Bernanke's proposal would represent a substantial departure from the standard approach. While a standard policy framework would tend to prescribe that tightening should start preemptively, well before inflation reaches target, Bernanke's temporary price-level target proposal would imply maintaining the policy rate at the lower bound well past the point at which inflation has risen above target. In principle, policymakers would have to be willing to accept elevated rates of above-target inflation for a period following a lengthy period of undershooting.





  • インフレを目にした一般が、中銀のインフレ目標への信認に疑問を抱くというリスク
    • 現在は低インフレで逆の疑問が生じているが、インフレのオーバーシュートを許容することには思わぬ行き過ぎの可能性も少なからず存在する。
    • 中銀自身が経済が強い中でゼロ金利を続けることに耐えられなくなるかもしれない。
  • 物価水準目標からインフレ目標に移行する時に引き締めが急なものとなるリスク
    • バーナンキ提案では、累積的なインフレが平均2%になった時点で通常の政策ルールに戻ることになるが、その時にはインフレが目標を上回り経済完全雇用を超えているので、平滑化(慣性的)特性を考慮に入れたとしても、標準的な政策ルールからは比較的急な引き締め経路が導出されるだろう。そうした政策金利の経路予想が、この枠組みの長所を一部打ち消してしまうかもしれない。
    • そのため、金利引き上げ時には移行期の枠組みが必要になると思われるが、そうするとコミュニケーションと政策がともに幾分複雑化することになる。

*1cf. クリス・ディローの議論


*3cf. ここここここここ。ブレイナードは参照論文としてこれこれを挙げている。





Probably the most controversial form of unconventional policy adopted in recent years was what the Federal Reserve called large-scale asset purchases (LSAPs) but most of the rest of the world persisted in calling “quantitative easing”, or QE. The Federal Reserve engaged in three rounds of QE, during which its balance sheet expanded from less than a trillion dollars to $4.5 trillion. The Bank of England, European Central Bank, Swedish Riksbank, and Bank of Japan (which had pioneered asset purchases as a form of monetary policy well before the crisis) have also undertaken quantitative easing.

Quantitative easing involves central bank purchases of securities in the open market, financed by the creation of bank reserves held at the central bank. By law, the Fed was able to purchase only Treasury securities and mortgage-related securities issued by government-sponsored enterprises. Other central banks, in contrast, have been able to buy a range of private securities, including corporate bonds and equities. The limits on the Fed did not seem to prevent its version of QE from being effective, although it was perhaps fortunate that, following a crisis centered on housing finance, the law did permit Fed purchases of mortgage-related securities.





Research suggests that QE works through two principal channels, the signaling channel and the portfolio balance channel. The signaling channel arises to the extent that asset purchases serve to demonstrate the central bank’s commitment to monetary easing, and in particular to keeping short-term rates lower for longer (Bauer and Rudebusch, 2013). As discussed above, the so-called taper tantrum in 2013 demonstrated the practical relevance of the signaling channel of QE. As noted, because of the importance of the signaling channel, it is essential that asset purchases and interest rate policy be closely integrated, and that in particular the central bank be clear about its planned sequencing of the introduction and withdrawal of its various tools.

The portfolio balance channel depends on the premise that securities are imperfect substitutes in investors’ portfolios, reflecting differences in liquidity, transactions costs, information, regulatory restrictions, and the like. Imperfect substitutability implies that changes in the net supply of a security affect asset prices and yields, as investors must be induced to rebalance their portfolios (Bonis et al., 2017). In principle, the two channels of QE can be distinguished by the fact that the signaling channel operates by affecting expectations of future policy rates while the portfolio balance channel works by changing term and risk premiums.


研究によれば、QEは2つの主要な経路を通じて機能する。シグナリング経路とポートフォリオバランス経路である。シグナリング経路は、資産購入が中央銀行金融緩和へのコミットメント、とりわけ短期金利を低く長く維持することへのコミットメントを示す程度において生じる(Bauer and Rudebusch, 2013)。前述したように、2013年のいわゆるテーパー・タントラムは、QEシグナリング経路が実際に問題になることを示した。前記した通り、シグナリング経路の重要性に鑑みると、資産購入と金利政策が密接に統合されていることが肝要となる。特に、中銀が各種の政策ツールの出し入れをどのような順番で計画しているかを明確にしておくことが肝要である。

ポートフォリオバランス経路は、投資家ポートフォリオにおいて証券同士が不完全な代替物である、という前提に依拠している。それは、流動性取引コスト、情報、規制による制限などの差を反映している。不完全な代替性は、証券の純供給が変化すると投資家が自分のポートフォリオをリバランスしようとするため、資産価格と利回りが影響を受けることを意味している(Bonis et al., 2017)。原則としてQEの2つの経路は、シグナリング経路は将来の政策金利予想に影響することによって機能し、ポートフォリオバランス経路は期間ならびにリスクプレミアムを変えることによって機能する、という点で区別できる。


There is not a large sample of QE programs to study, and econometric identification of the unexpected (and thus not fully discounted) components of QE announcements is difficult. Consequently, disagreements remain among researchers about the magnitude and persistence of QE effects and about the relative importance of the two primary channels of effect. Nevertheless, the strong view that QE is ineffective has been pretty decisively rejected. There appears instead to be a broad consensus that QE has proven a useful tool, with demonstrable effects on financial conditions. QE has been found to have significant effects on both rate expectations and term premiums, suggesting that both the signaling and portfolio balance channels are operative (Bauer & Rudebusch, 2013: Huther et al., 2017). And, although showing direct links to macroeconomic outcomes is not straightforward, the experiences of the U.S., U.K. Japan, and Europe all suggest that the use of large-scale QE has been followed, over the subsequent couple of years, by strengthening aggregate demand and improved economic performance (Engen et al., 2015).

Controversies about QE have focused less on whether the medicine works and more on the possible side effects.


研究対象となるQE政策の事例はそれほど多くない。また、QEの発表における予期されていない(従って完全に織り込まれていない)要因を計量経済学的に識別することは困難である。そのため、QEの効果の規模と持続性、および、効果を発揮する上での2つの主要な経路の相対的な重要性については、研究者の間で今も意見が分かれている。しかしながら、QEは無効である、という強い見解はかなり決定的に棄却されている。QE金融環境に明白な効果を及ぼす有用ツールであることが明らかになった、という幅広いコンセンサスが存在するように思われる。QE金利予想と期間プレミアムのいずれにおいても有意な効果が見出されており、シグナリングとバランスシートの両経路が機能していることを示している(Bauer & Rudebusch, 2013、Huther et al., 2017)。また、マクロ経済の結果への直接的な関連を示すのは簡単ではないものの、米英日欧の経験はすべて、大規模なQE適用後の数年、総需要が強化され経済のパフォーマンスが改善することを示している(Engen et al., 2015*2



*1:[原注] I also tried, without success, to name the program “credit easing,” to distinguish it from the Bank of Japan’s earlier foray into asset purchases (Bernanke, 2009). I argued that “credit easing” focused on removing duration from bond markets, in contrast to BOJ-style quantitative easing, which had the primary goal and metric of increasing the highpowered money stock.

*2:[原注] It is true that QE has not been sufficient in a number of those cases to return inflation to target. However, the weak link in the causal chain appears to be in the influence of declining slack on inflation, not the effect of monetary policy (including QE) on aggregate demand. The apparent flatness (or downward shift) of the Phillips curve is a problem for any macroeconomic policy aimed at raising inflation..




ピーターソン国際経済研究所で「マクロ経済政策再考(Rethinking Macroeconomic Policy)」というシンポジウム開かれた(H/T Economist’s View)。主催者のブランシャールとサマーズが「Rethinking Stabilization Policy. Back to the Future」というオープニング論文共著している


Why did we choose to put "Back to the future" in the title of our paper? Because we view the basic lessons from the Great Financial crisis to be similar to those drawn by the Keynesian revolution in response to the Great Depression: Economies can be affected by strong shocks, and cannot be expected to automatically self stabilize. We have no doubt that, absent the strong monetary and fiscal policy responses we have observed, the financial crisis would have led to an outcome as bad or worse than the Great Depression. Thus, strong stabilization policies are simply of the essence. This is not to say that we should return to the Keynesianism of the 1960s and 1970s. The economic environment is different, the financial system more complex, neutral interest rates are low, creating problems for monetary policy, but opportunities for fiscal policy.

What we specifically suggest is the following: The combined use of macro policy tools to reduce risks and react more aggressively to adverse shocks. A more aggressive monetary policy, creating the room needed to handle another large adverse shock -- and while we did not develop that theme at length, providing generous liquidity if and when needed. A heavier use of fiscal policy as a stabilization tool, and a more relaxed attitude vis a vis debt consolidation. And more active financial regulation, with the realization that no financial regulation or macroprudential policy will eliminate financial risks. It may not sound as extreme as some more dramatic proposals, from helicopter money, to the nationalization of the financial system. But it would represent a major change from the pre-crisis consensus, a change we believe to be essential.


なぜ我々は本稿のタイトルに「バック・トゥ・ザ・フューチャー」を入れようと思ったのか? それは、大金融危機からの基本的な教訓は、大恐慌に反応したケインズ革命から得られた教訓と似たようなものになる、と考えているからである。即ち、経済は強いショックの影響を受けることがあり、自動的に安定するとは期待できない。実際に取られたような強力な金融政策と財政政策の対応が無かったならば、金融危機大恐慌と同等もしくはそれ以上に悪い結果になっていたことに我々は疑いを持っていない。従って、強力な安定化政策はまず必要不可欠である。ただしそのことは、1960年代や1970年代のケインズ主義に戻るべき、ということを意味するわけではない。経済環境は異なっていて、金融システムはより複雑に、中立利子率は低くなっており、金融政策にとって問題を作り出すとともに財政政策の機会を生み出している。