Central Bank Balance Sheet Policies Without Rational Expectations
Central Bank Balance Sheet Policies Without Rational Expectations
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缺乏理性预期的央行资产负债表政策
DOI：
10.1093/restud/rdad010
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
D. Sergeyev
中科院分区：
文献类型：
--
作者：
L. Iovino;D. Sergeyev
我们在一个模型中研究了央行资产负债表政策--即量化宽松和外汇干预--的效果，在这个模型中，人们通过迭代的k级思维过程形成预期。我们强调两个主要的理论结果。首先，在一系列广泛的条件下，央行干预在k级思维下是有效的，而在理性预期均衡中是中性的。其次，当偏好表现出恒定的相对风险厌恶时，如果资产购买针对的是具有顺周期回报的资产，则它们会增加总产出，但如果资产回报是反周期的，则会降低总产出。最后，我们的经验表明，对未来资产价格的预测误差可以通过资产负债表干预来预测，这一特性将我们的渠道与投资组合平衡和信号渠道等流行的替代渠道区分开来。
We study the effects of central bank balance sheet policies—namely, quantitative easing and foreign exchange interventions—in a model where people form expectations through an iterative level-k thinking process. We emphasize two main theoretical results. First, under a broad set of conditions, central bank interventions are effective under level-k thinking, while they are neutral in the rational expectations equilibrium. Second, when preferences exhibit constant relative risk aversion, asset purchases increase aggregate output if they target assets with pro-cyclical returns but reduce it if asset returns are counter-cyclical. Finally, we empirically show that forecast errors about future asset prices are predictable by balance sheet interventions, a property that differentiates our channel from popular alternatives, such as portfolio-balance and signaling channels.