Testing the Inflation Bias Hypothesis

本文描述了货币经济学和宏观经济学中涉及货币制度设计的三种方案。第一个项目询问为什么许多国家经历了代价高昂的长期高通胀和长期低通胀，以及可以采取什么措施防止高通胀再次发生。一种假设是，货币政策中存在时间不一致的问题，导致通货膨胀偏差：没有承诺的通货膨胀率高于承诺时的通货膨胀率。如果这一假设是正确的，那么重新设计货币制度以获得更大的承诺是很重要的。我建议通过开发量化的、一般均衡的货币模型来检验通胀偏差假说，在这个模型中，货币政策是由优化的、仁慈的政策制定者依次设定的。我想问的是，这些模型能在多大程度上解释数据中通胀、产出和就业等宏观经济变量的动态。在两个标准货币模型中，即传统的现金-信贷商品模型和有限参与模型，对于大范围的参数值不存在通货膨胀偏差。在这两种模型中，高于预期的货币供应增长的好处是产出的增加，而代价是相对价格的扭曲。货币当局最优地平衡了收益和成本，结果是通胀的成本大于收益。这些模型的一个缺陷是，它们不能再现观察到的货币需求的动态。这一缺陷导致了内生现金-信用商品模型的构建，该模型引入了一种金融中介技术，将现金与信用商品的区别内在化。这个模型似乎更有希望，因为它与数据的一个关键特征是一致的：存在长时间的高通货膨胀和长时间的低通货膨胀，它似乎也能够解释观察到的通货膨胀、产出、就业和其他变量的动态。第二个项目研究货币联盟中的搭便车问题和战略授权。我试图找出货币联盟是否会诱导主权政府的战略行为，以及成员国是否会通过选择特定类型的代表来战略性地操纵货币政策决策过程。答案关键取决于货币当局能够在多大程度上致力于未来的行动。我指出，在一大类模型中，如果没有承诺，战略行为会产生低效的结果，因此，像管理欧洲货币联盟的《马斯特里赫特条约》（Maastricht Treaty）那样，对成员国政府的政策施加限制可能是可取的。对于承诺，这样的约束是不可取的。第三个项目研究信息级联和金融危机，目的是建立羊群行为模型，这可能解释诸如流入和流出发展中国家的资本波动等现象。我扩展了现有的羊群行为模型，以允许风险投资决策的内生时机。我展示了兽群更有可能出现。然后，我将这个模型嵌入到一个国际环境中，并表明该模型产生了更多不稳定的资本流入和流出发展中国家，而不是发达国家之间。

This proposal describes three kinds of projects in monetary economics and macroeconomics all of which bear on the design of monetary institutions. The first project asks why many countries have gone through prolonged periods of costly, high inflation, as well as prolonged periods of low inflation and what can be done to prevent high inflation episodes from occurring again. One hypothesis is that there is a time inconsistency problem in monetary policy which induces an inflation bias: inflation rates without commitment are higher than they are under commitment. If this hypothesis is correct, it is important to redesign monetary institutions towards obtaining greater commitment. I propose to test the inflation bias hypothesis by developing quantitative, general equilibrium monetary models in which monetary policy is set sequentially by optimizing, benevolent policy makers. I ask to what extent such models can account for the dynamics of macroeconomic variables like inflation, output and employment in the data. In two standard monetary models, a conventional cash-credit goods model and a limited participation model, there is no inflation bias for a large range of parameter values. In both models, the benefit of higher than expected growth in the money supply is a rise in output and the costs are distortions in relative prices. The monetary authority optimally balances the benefit and costs and it turns out that the costs of inflation outweigh the benefits. One deficiency of these models is that they do not reproduce the dynamics of observed money demand. This deficiency led to the construction of the endogenous cash-credit goods model, which introduces a financial intermediation technology to endogenize the distinction between cash and credit goods. This model seems more promising in that it is consistent with a key feature of the data: there are prolonged periods of high inflation and prolonged periods of low inflation, it also seems capable of accounting for the observed dynamics of inflation, output, employment and other variables. The second project studies free rider problems and strategic delegation in monetary Unions. I seek to find out if a monetary union will induce strategic behavior by sovereign governments and whether or not member countries strategically manipulate the process of monetary policy decision making by selecting particular types of delegates. The answers depend critically on the extent to which monetary authorities can commit themselves to future actions. I show that in a large class of models, without commitment, strategic behavior produces inefficient outcomes so that it can be desirable to impose constraints on the policies of member governments as in the Maastricht Treaty governing the European Monetary Union. With commitment, such constraints are undesirable. The third project studies informational cascades and financial crises with the object of develop models of herd behavior which may account for observations like the volatile capital flows into and out of developing countries. I extend existing models of herd behavior to allow for endogenous timing of risky investment decisions. I show that herds are more likely to occur. I then embed this model in an international setup and show that the model generates more volatile capital flows into and out of developing nations than between developed nations.