Inflation Dynamics and Monetary Policy

通货膨胀动态与货币政策

• 批准号: 9818932
• 负责人: Mark Gertler
• 金额: $ 36.85万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-04-01 至 2003-03-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9818932&HistoricalAwards=false
• 关键词: Inflation; Dynamics; Monetary; Policy

Among the central issues in macroeconomics is the nature of short run inflation dynamics. This question is also one of the most fiercely debated, with few definitive answers available after decades of investigation. At stake, among other things, is the nature of business cycles and what should be the appropriate conduct of monetary policy. In response to this challenge, in recent years important advances have come about in the theoretical modeling of inflation dynamics, but accompanying econometric analysis has been rather limited and the work to date has raised some troubling questions about the existing theory. It is in this context that this project develops and estimates a structural econometric model of inflation, and then studies implications for business cycles and monetary policy.The proposed research builds on some work in progress on inflation dynamics. It also builds on some of the investigators' existing work that explores the implications of the nature of short run inflation dynamics for optimal monetary policy.The research has three main stages. The first stage involves developing and estimating a structural Phillips curve that survives conventional hypothesis testing. Distinctive features of the approach include: (i) the use of real marginal costs as opposed to an output gap measure, as the theory suggests; (ii) extension of the baseline theory to allow for a subset of firms that may use rule-of-thumb pricing; and (iii) identification and direct estimation of the model's primitive parameters. The second stage involves modeling the cyclical behavior of real marginal costs. It is motivated by some preliminary results from the first stage that suggest that the behavior of inflation conditional on the path of real marginal costs is roughly consistent with existing theories that stress forward looking behavior (i.e., we find that rule of thumb behavior is statistically significant but not quantitatively important). Where the theory appears to break down, however, is in characterizing the link between aggregate activity and real marginal costs. Specifically, to the extent they are reasonably characterized by unit labor costs, movements in real marginal costs tend lag output over the cycle, rather than move contemporaneously as much of the existing theory suggests. In this vein, preliminary findings suggest that the output costs of disinflation may be related to sluggish adjustment of real unit labor costs to movements in output, as opposed to arbitrary stickiness in inflation or adaptive expectations. For this reason, the behavior of real marginal costs is studied. The final stage of the project involves integrating the empirical Phillips curve within a complete dynamic general equilibrium framework (with the appropriate rigidities in unit labor costs) and then analyzing the consequences for monetary policy, both from a positive and normative standpoint.

宏观经济学的核心问题之一是短期通胀动态的性质。这个问题也是争论最激烈的问题之一，经过数十年的调查，几乎没有明确的答案。除其他事项外，商业周期的性质以及货币政策的适当实施方式至关重要。 为了应对这一挑战，近年来，通货膨胀动态理论模型取得了重要进展，但伴随的计量经济学分析相当有限，迄今为止的工作对现有理论提出了一些令人不安的问题。 正是在这种背景下，该项目开发并估计了通货膨胀的结构性计量经济模型，然后研究对商业周期和货币政策的影响。拟议的研究建立在一些正在进行的通货膨胀动态工作的基础上。它还建立在研究人员现有的一些工作的基础上，这些工作探讨了短期通胀动态的性质对最优货币政策的影响。该研究分为三个主要阶段。第一阶段涉及开发和估计能够经受住传统假设检验的结构性菲利普斯曲线。该方法的显着特征包括：(i) 正如理论所暗示的那样，使用实际边际成本而不是产出缺口衡量标准； (ii) 扩展基线理论，允许一部分公司可以使用经验法则定价； (iii) 模型原始参数的识别和直接估计。 第二阶段涉及对实际边际成本的周期性行为进行建模。第一阶段的一些初步结果表明，以实际边际成本路径为条件的通货膨胀行为与强调前瞻性行为的现有理论大致一致（即，我们发现经验法则行为在统计上是显着的，但在数量上并不重要）。然而，该理论似乎不成立的地方在于描述总活动与实际边际成本之间的联系。具体来说，在一定程度上，它们可以合理地以单位劳动力成本为特征，实际边际成本的变动往往滞后于整个周期的产出，而不是像现有理论所暗示的那样同时变动。在这方面，初步研究结果表明，通货紧缩的产出成本可能与实际单位劳动力成本对产出变动的缓慢调整有关，而不是通货膨胀或适应性预期的任意粘性。因此，研究了实际边际成本的行为。 该项目的最后阶段涉及将经验菲利普斯曲线整合到一个完整的动态一般均衡框架（具有适当的单位劳动力成本刚性）中，然后从积极和规范的角度分析货币政策的后果。