一昨日エントリで金融政策と再分配に関する論文を紹介したが、意外にも(?)トーマス・サージェントらが似たような主旨の表題のNBER論文書いている論文原題は「Inequality, Business Cycles, and Monetary-Fiscal Policy」で、著者はAnmol Bhandari(ミネソタ大)、David Evans(オレゴン大)、Mikhail Golosov(シカゴ大)、Thomas J. Sargent(NYU)。


We study optimal monetary and fiscal policy in a model with heterogeneous agents, incomplete markets, and nominal rigidities. We develop numerical techniques to approximate Ramsey plans and apply them to a calibrated economy to compute optimal responses of nominal interest rates and labor tax rates to aggregate shocks. Responses differ qualitatively from those in a representative agent economy and are an order of magnitude larger. Taylor rules poorly approximate the Ramsey optimal nominal interest rate. Conventional price stabilization motives are swamped by an across person insurance motive that arises from heterogeneity and incomplete markets.




Applying our approach to a calibrated New Keynesian economy with heterogeneous agents, we find that attitudes about inequality induce the planner to use fiscal and monetary tools to redistribute resources toward agents who are especially adversely affected by recessions. ...

In response to a negative productivity shock, we find that optimal monetary policy lowers nominal rates while keeping expected inflation near zero. But the planner also engineers high unanticipated inflation in recessions because that is a good way to transfer resources from agents with high bond holdings toward agents with low holdings. This transfer makes up for the inability of agents fully to insure against aggregate shocks. ...Furthermore, as in data, recessions in our calibrated economy are accompanied by persistent increases inequality. This generates a motive to redistribute labor income from productive agents by increasing transfers. The planner achieves this by keeping marginal labor tax rates high long after output has recovered. We find that in response to a productivity shock that lowers output growth by 3%, there is a nearly permanent increase in the labor tax rate of about 0.5 percentage points and a 0.25 percentage points jump in inflation for one period. As a point of comparison, the optimal tax rate and inflation rate in an economy without heterogeneity are constant for permanent productivity shock and an order of magnitude lower if we impose zero lump-sum transfers.




*1:この論文に使われているHANKモデルについてはここ参照。ちなみに18日エントリで紹介したAuclert論文には「The model presented above takes incomes as exogenous. This distinguishes it from the recent wave of Heterogeneous-Agent New Keynesian models which endogenize aggregate income and its distribution. My analysis shows that the endogenous distribution of income can matter a great deal for monetary policy transmission because of the earnings heterogeneity channel.」という一節がある。




というNBER論文上がっている昨年のIMFのセミナーでのungated版)。原題は「Global Financial Cycles and Risk Premiums」で、著者はÒscar Jordà(SF連銀)、Moritz Schularick(ボン大)、Alan M. Taylor(UCデービス)、Felix Ward(ボン大)。

This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is particularly notable. We demonstrate that fluctuations in risk premiums, and not risk-free rates and dividends, account for a large part of the observed equity price synchronization after 1990. We also show that U.S. monetary policy has come to play an important role as a source of fluctuations in risk appetite across global equity markets. These fluctuations are transmitted across both fixed and floating exchange rate regimes, but the effects are more muted in floating rate regimes.






Equitable Growthここここの記事で、所得再分配を通じた金融政策の伝達経路に焦点を当てた表題の論文NBER版ungated版)を推している。論文原題は「Monetary Policy and the Redistribution Channel」で、著者はスタンフォード大のAdrien Auclert。


There is a conventional view that redistribution is a side effect of monetary policy changes, separate from the issue of aggregate stabilization which these changes aim to achieve. Most models of the monetary policy transmission mechanism implicitly adopt this view by featuring a representative agent. By contrast, in this paper I argue that redistribution is a channel through which monetary policy affects macroeconomic aggregates, because those who gain from accommodative monetary policy have higher marginal propensities to consume (MPCs) than those who lose.








「Rethinking the Fed’s 2 percent inflation target(FRBの2%インフレ目標再考)」と題されたブルッキングス研究所小論*1の中の「The natural rate hypothesis straitjacket(自然失業率仮説という拘束衣)」という節で、サマーズが、自然失業率仮説の登場によってマクロ経済学における考え方がどのように変化したか、について以下のように説明している。

The traditional view of macroeconomists and macroeconomic policymakers was that the most important objective of macroeconomic policy including, in particular, monetary policy was to maximize an economy’s level of output and employment over time. (See Blanchard and Summers (2017) for an elaboration of many of the ideas in this section) The idea was that with better policy, catastrophes like the Depression could be avoided and recessions could be minimized without there being important losses of output or employment in boom times. As reflected in Jim Tobin’s famous quip that “it takes a heap of Harberger triangles to fill an Okun Gap”, maintaining adequate and stable demand was seen as a central requirement of sound economic policy.

All of this dramatically changed with the Friedman and Phelps proclamation of the natural rate hypothesis and with the stagflation of the 1970s. Economists concluded that sustained higher rates of inflation would not in general be associated with sustained higher levels of output and employment—this was the essential content of the natural rate hypothesis. In Friedman’s original formulation the Phillips curve represented not a tradeoff between unemployment and inflation but between unemployment and the acceleration of inflation. Other formulations associated with the New Classical macroeconomics asserted that unemployment could be reduced only when inflation exceeded expectations.





The policy conclusion was similar for all formulations of the natural rate hypothesis. Since monetary policy could not influence the average level of output and employment over time, it should properly be dedicated to achieving price stability however defined and minimizing the volatility of output. It quickly followed from work on dynamic consistency that this could best be done by finding commitment devices that reduced inflationary expectations along with inflation. Central bank independence came to be seen as such a device, as did the inflation targeting frameworks now in widespread use. Crucially central banks and even scholars who called themselves new Keynesians abandoned the goal of using monetary policy to raise the level of output over time. The macroeconometric models large and small on which central banks relied almost without exception assumed the independence of long run average output levels from monetary policies. Given this assumption the case for a low inflation target is indeed secure, though the issue of just what that target should be remains.




However three strands of recent macroeconomic research call into question the premise that monetary policy cannot over long intervals affect output and employment. First, an increasing body of evidence suggests the importance of hysteresis effects whereby recessions reduce subsequent potential output (Blanchard 2018, Yagan 2017, Blanchard Cerutti and Summers 2015, Ball 2014). If such effects are present more aggressive monetary policies that prevent or rapidly mitigate recessions will raise levels of output over time. Hysteresis effects may arise from many different sources including reduced levels of investment in physical capital and R&D, lost human capital as those who fall out of work become habituated to being out of work, reductions in the social stigma associated with nonwork, or changes in wage setting practices as firms’ attached workforces shrink.

Second, recent work by Nakamura and Steinsson building on Milton Friedman’s “plucking” model of business fluctuations suggests that it may be better to think of business fluctuations not as symmetric movements around an average level of output whose amplitude is desirable to minimize, but more like periods of illness when output and employment fall short of desired levels (Dupraz, Nakamura and Steinsson 2017). The evidence for this proposition takes the form of demonstrating that the correlation between the size of downturns and subsequent upturns is much greater than the correlation between upturns and subsequent downturns. If one thought of as recessions as like periodic fevers this is exactly what one would expect. With plucking effects, as with hysteresis effects, the case for minimizing recessions is magnified because there is no reason to expect that output lost in recessions is subsequently made up.

Third, ideas related to secular stagnation suggest that economies may be vulnerable to prolonged output shortfalls if monetary policy is unable because of constraints on the lowering of nominal interest rates to achieve real interest rates necessary for full employment levels of demand. Closely related is the argument of Akerlof, Dickens and Perry (1996) that because of a zero lower bound on nominal wage changes the Phillips curve may not be vertical at low rates of inflation. These arguments make a case that a higher rate of inflation, by relaxing constraints that might otherwise bind, allows more output.






All of this matters for consideration of optimal monetary policy. Almost all discussions of monetary policy assume that it can control the level of inflation over time, but that it can affect only the volatility and not the level of output over time. If this is not the case, then monetary policy choices are more consequential than is commonly supposed and issues relating to the average level of output should likely be central in the determination of monetary policy.






If I had to choose one framework today, I would choose a nominal GDP target of 5 to 6 percent. And I would make that choice for two reasons. First, it would attenuate the issues around explicitly announcing a higher inflation target, which I think are a little bit problematic on political economy grounds. Second, a nominal GDP target has an additional advantage in its implicit response to changing conditions. Arithmetically a nominal GDP target has the property that the expected rate of inflation rises as the expected real growth in GDP declines. This is desirable. If growth in underlying real GDP declines, neutral real interest rates are likely to decline as well. In this case allowing higher inflation to make possible even more negative real rates reduces the risk of policy impotence.






*3cf. ここ


*5cf. ここ

*6cf. ここ

*7cf. ここ


*9cf. ここ



*12:ちなみにこれは、「25年ごとに1/3の確率で経済が駄目になる」というデロングの試算よりは、「15年に一回はゼロ金利に到達する事態が起きてしまう」というSchmitt-Grohe and Uribe(2009)をベースにした小生の試算に近い。

*13cf. 当時のサマーズの批判、および最近のイエレンインタビュー

量的緩和=理論的には機能しない、と2014年バーナンキ述べたcf. ここ)が、ハミルトンらの研究によれば実際面の効果も怪しく、民間が吸収すべき国債が却って増えているほか、国債価格も上がっていない。

*15:これはサマーズのかねてからの持論で、本ブログでも何度か紹介してきた(cf. ここ)。





The public discussion about inflation and unemployment appears to me to be substantially awry. It appears to incorporate two, and only two, lessons from history.

The first of these lessons is that pushing the unemployment rate below the level corresponding to full employment leads to strong upward pressure on inflation. The second of these lessons is that once inflation becomes embedded in expectations, the unemployment rate needs to be substantially elevated above the full employment rate for inflation to fall.

Even a moment’s thought, however, leads one to recognize that these two lessons are in enormous tension. If it requires substantial elevation of unemployment to wring inflation out of the system, then is it reasonable to also think that small undershoots of unemployment below the full employment rate can produce a significant acceleration in insulation? It might—the world is a surprising place. But that is certainly not the way to bet.

So where do these two lessons come from? The first comes from the 1970s. The second comes from the 1980s. During the Volker disinflation of the 1980s, it indeed required substantial elevation of unemployment to wring inflation out of the system, thus falsifying the hopes and predictions of rational-expectations economists such as Robert Lucas. And during the 1970s, inflation marched upward in fits and starts even in the absence of any substantial persistent inflationary gap between the unemployment rate and the full employment level.

Looking at the 1980s alone can justify the second lesson—that inflation is not very responsive to the unemployment rate. Looking at the 1970s alone can justify the second lesson—that inflation is very responsive to the unemployment rate. But looking at both creates a puzzle. And the most probable resolution of the puzzle is that the rise in inflation in the 1970s had other causes than an overheated, high-pressure, low-unemployment economy: the 1973 Yom Kippur Arab-Israeli War; the 1979 Iranian Revolution; the productivity slowdown of the 1970s that forced firms to raise prices by more in order to provide workers with their expected nominal wage gains.




しかし、少し考えただけでも、この2つの教訓は大いなる齟齬を孕んでいることに気付く。インフレ経済システムから追い出すために失業率がかなり高くなる必要があるというのならば、その一方で、完全雇用水準を少し下回ればインフレ*1がかなり加速する、と考えることは妥当だろうか? 世界は驚きに満ちているので、その可能性はある。ただ、それに賭けるというのは適切なやり方ではまったくない。

では、この2つの教訓はどこから出てきたのだろうか? 第一の教訓は1970年代から導かれた。第二の教訓は1980年代からである。1980年代のボルカーのインフレ抑制においては、確かに経済システムからインフレを追い出すために失業率がかなり高くなる必要があった。それによってロバート・ルーカスのような合理的期待形成派の経済学者の希望や予測は打ち砕かれた。そして1970年代には、失業率完全雇用水準との間に顕著かつ持続的なインフレ的ギャップが存在しなかったにも拘わらず、インフレは断続的に上昇を続けた。