Testing the Inflation Bias Hypothesis

本文提出了货币经济学和宏观经济学中的三种方案，它们都与货币制度设计有关。 第一个项目探讨为什么许多国家经历了长期的高成本高通货膨胀和长期的低通货膨胀，以及可以做些什么来防止再次发生高通货膨胀。一个假设是，货币政策中存在时间不一致性问题，这会导致通货膨胀偏差：没有承诺的通货膨胀率高于承诺。如果这一假设是正确的，就必须重新设计货币制度，以获得更大的承诺。我建议通过建立量化的一般均衡货币模型来检验通货膨胀偏差假说，在该模型中，货币政策是由优化的、仁慈的政策制定者顺序制定的。我想知道，这些模型在多大程度上可以解释数据中的通货膨胀、产出和就业等宏观经济变量的动态。 在两个标准的货币模型中，传统的现金信贷商品模型和有限参与模型，在很大范围内的参数值没有通货膨胀的偏见。在这两个模型中，货币供应量增长高于预期的好处是产出的增长，而成本是相对价格的扭曲。货币当局最佳地平衡了收益和成本，事实证明，通货膨胀的成本超过了收益。这些模型的一个不足之处是，它们没有再现所观察到的货币需求动态。这一缺陷导致了内生现金-信贷商品模型的构建，该模型引入了一种金融中介技术，将现金和信贷商品之间的区别内生化。这一模型似乎更有希望，因为它符合数据的一个关键特征：存在长期的高通胀和长期的低通胀，它似乎也能够解释观察到的通胀、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。笔者试图找出一个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。 答案主要取决于货币当局对未来行动的承诺程度。我表明，在一个大类的模型，没有承诺，战略行为产生低效的结果，使它可以是可取的，以施加约束成员国政府的政策，如在管理欧洲货币联盟的马斯特里赫特条约。有了承诺，这种限制是不可取的。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，以解释诸如流入和流出发展中国家的不稳定资本流动等现象。我扩展了现有的羊群行为模型，允许内生的风险投资决策的时机。我证明了羊群更有可能发生。然后，我将这个模型嵌入到一个国际设置，并表明该模型产生更多的波动性资本流入和流出发展中国家比发达国家之间。

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.