Information, Response Delays, and the Effects of Monetary Policy

这个项目有助于理解货币政策的传导机制，也就是货币政策的变化如何影响实际活动和通胀。开发更准确的这些影响模型的主要目的是，能够更准确地分析采用一种或另一种货币政策规则的后果，并计算出最优规则。分析的基础是优化私营部门的行为，以便能够根据私人目标的实现程度来分析替代政策的福利后果。现有货币传导机制优化模型的一个缺陷是，它们过于“前瞻性”：预计通胀和实际活动都将纯粹由当前和预期的未来利率政策决定，而不受过去条件的影响。相反，关于货币政策影响的经验证据表明，存在反应延迟，这意味着政策变化的影响不会立即观察到，而且它们持续的时间比对利率的影响更长。该项目考虑了两种对标准模型的修改的后果，这两种修改允许响应延迟，同时仍然假设私营部门的优化行为。第一类模型假设私人决策者不会根据当前情况不断重新优化，而是只在一定时间间隔后重新考虑他们的行动。这允许推迟货币政策变化对总支出的影响，理由是并不是每个人都立即修改了之前的支出计划。当这种间歇优化模型应用于消费者支出时，它对总消费的影响类似于最近流行的“习惯持久性”假说，但对不符合面板数据证据的个人家庭行为没有一定的影响。第二类模型假设私人决策者不会持续完全准确地监测当前状况，以节省有限的信息处理能力。假设决策者使用信息论意义上的“嘈杂通道”来监控他们的环境。这不是一个简单的比喻，而是提供了决策者对其环境感知的错误来源的量化模型，特别是提供了一种有用的方法来量化假定的信息处理能力限制。这允许推迟货币政策变化的影响，理由是决策者无法立即确定变化是否已经发生。由此产生的理论与20世纪70年代的不对称信息模型有一些相似之处，但能够回答对这些理论提出的重要反对意见，因为信息不对称是基于个人对环境中一切事物的关注能力的限制，而不是基于任何声称相关数据无法公开获得的。这类模型的一个有趣特征是，即使个人定价者关于当前总体状况的信息相对准确，价格调整也可能导致重大延迟。这就足够了(因为观察中的错误是由于信道容量不足造成的)存在着关于其他人可能相信什么的重大不确定性，其他人可能相信其他人可能相信...有关聚合状态的信息。换句话说，与其说是经济状况的不确定性，不如说是缺乏常识导致了回应延迟。这种解释反应延迟的方法有助于解释带有粘性价格的优化模型无法解释的货币政策观察到的影响的方面，包括价格对不同类型冲击的反应速度不同，以及某些条件下通货膨胀率(相对于价格水平)的明显粘性。这类模型的一个更复杂的版本试图通过假设全球通道容量约束(对每段信息可处理的总比特数的约束)来解释决策者监控单个变量的精确度。这提供了一种理论的前景，该理论可以产生非常精确的预测，同时允许信息结构发生重大变化，以应对经济状况的变化，包括货币政策的充分剧烈变化。该项目考虑了最优货币政策的设计，既考虑了给定的信息结构，也考虑了信息结构对政策制度的内生反应。

This project contributes to the understanding of the transmission mechanism of monetary policy, which is to say, of the way in which changes in monetary policy affect real activity and inflation. The primary aim of developing a more accurate model of these effects is to allow a more precise analysis of the consequences of adopting one or another monetary policy rule, and the calculation of an optimal rule. The analysis is grounded in optimizing private-sector behavior, in order to allow an analysis of the welfare consequences of alternative policies in terms of the extent to which private objectives are fulfilled.A defect of existing optimizing models of the monetary transmission mechanism is that they are too exclusively "forward-looking": both inflation and real activity are predicted to be determined purely by current and expected future interest-rate policy, with no effect of past conditions. Empirical evidence on the effects of monetary policy instead indicate the existence of response delays, that imply both that the effects of policy changes are not observed immediately and that they persist longer than do the effects upon interest rates. The project considers the consequences of two kinds of modifications of standard models that allow for response delays while still assuming optimizing behavior on the part of the private sector.The first class of models assumes that private decisionmakers do not continuously reoptimize in the light of current conditions, but instead only reconsider their actions after a certain interval. This allows a delay in the effects of a monetary policy change upon aggregate expenditure, on the ground that not everyone immediately revises their previous spending plans. When this model of intermittent optimization is applied to consumer expenditure, it has consequences for aggregate consumption similar to those of the recently popular hypothesis of "habit persistence", but without certain implications for individual household behavior that do not fit with panel data evidence.The second class of models assumes that private decisionmakers do not continually monitor current conditions with complete accuracy, in order to economize on limited information-processing capacity. It is assumed that decisionmakers monitor their environment using a "noisy channel" in the information-theoretic sense. This is not simply a metaphor, but provides a quantitative model of the sources of error in decisionmakers' perception of their environment, and in particular provides a useful way of quantifying the assumed constraint on information-processing capacity. This allows a delay in the effects of a monetary policy change, on the ground that decisionmakers are not immediately able to discern with certainty that the change has occurred. The resulting theory has some similarities to asymmetric-information models of the 1970s, but is able to answer important objections that were raised to those theories because the asymmetric information is based upon limitations upon individuals' ability to pay attention to everything in their environment, rather than upon any claim that the relevant data are not publicly available.An interesting feature of this type of model is that significant delays in price adjustment can result even when the information of individual price-setters about current aggregate conditions is relatively accurate. It suffices that (because the errors in observation resulting from inadequate channel capacity) there be significant uncertainty about what others may believe that others may believe that others may believe ... about the aggregate state. In other words, it is not uncertainty about the state of the economy so much as the absence of common knowledge that results in response delays. This approach to explaining response delays helps to explain aspects of the observed effects of monetary policy that optimizing models with sticky prices cannot, including differential speeds of response of prices to different types of shocks, and apparent stickiness of the rate of inflation (as opposed to the price level) under certain conditions.A more sophisticated version of this class of models seeks to explain the degree of precision with which individual variables are monitored by decisionmakers, by assuming a global channel-capacity constraint (a constraint upon the overall number of bits per period of information that can be pro-cessed), subject to which decisionmakers choose an optimal information-collection strategy. This offers the prospect of a theory that yields very tight predictions, and at the same time allows for important changes in information structure in response to changes in economic conditions, including sufficiently dramatic changes in monetary policy. The project considers the design of optimal monetary policies, both when the information structure is taken as given, and when endogenous response of the information structure to the policy regime is taken into account.