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，也就是说，货币政策的变化如何影响真实的活动和通货膨胀。建立一个更精确的模型来分析这些影响的主要目的是为了更精确地分析采用一种或另一种货币政策规则的后果，并计算出最佳规则。分析的基础是优化私人部门的行为，以便根据私人目标的实现程度来分析替代政策的福利后果。现有的货币传导机制优化模型的缺陷在于它们过于“前瞻性”：通货膨胀和真实的经济活动预计完全取决于当前和预期的未来利率政策，不受过去情况的影响。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能立即观察到，而且它们的持续时间比对利率的影响更长。该项目考虑了标准模型的两种修改的后果，这两种修改允许响应延迟，同时仍然假设私营部门的行为是最优化的。第一类模型假设私营部门的决策者不会根据当前条件不断地重新优化，而是只会在一定的时间间隔后重新考虑他们的行为。 这使得货币政策变化对总支出的影响有一个延迟，因为不是每个人都立即修改他们以前的支出计划。当这种间歇性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“习惯持续性”假设，但对不符合面板数据证据的个体家庭行为没有一定的影响。第二类模型假设私人决策者不连续地完全准确地监测当前条件，以节省有限的信息处理能力。据推测，决策者监测他们的环境中使用的信息理论意义上的“噪声信道”。 这不仅仅是一个比喻，而是提供了一个量化模型，说明决策者对其环境的感知中的错误来源，特别是提供了一种量化信息处理能力的假设约束的有用方法。这使得货币政策变化的效果延迟，因为决策者无法立即确定变化已经发生。 由此产生的理论与20世纪70年代的信息不对称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对个人关注环境中一切事物的能力的限制，而不是基于任何声称相关数据不可公开的说法。这种类型的模型的一个有趣的特点是，即使个别定价者关于当前总体状况的信息相对准确，也可能导致调整。 这就足够了（因为信道容量不足导致的观测误差），其他人可能相信的东西存在很大的不确定性。关于总体状态。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反应的延迟。 这种解释反应延迟的方法有助于解释货币政策观察到的效果的各个方面，而粘性价格的优化模型无法解释这些方面，包括价格对不同类型冲击的不同反应速度，以及通货膨胀率的明显粘性（相对于价格水平）这类模型的一个更复杂的版本试图解释决策者监测各个变量的精确程度，通过假设全局信道容量约束（对每个信息周期可以处理的比特总数的约束），决策者根据该约束选择最佳信息收集策略。这就提供了一种理论的前景，这种理论可以产生非常严密的预测，同时允许信息结构发生重大变化，以响应经济条件的变化，包括货币政策的足够剧烈的变化。该项目考虑了最优货币政策的设计，无论是当信息结构被认为是给定的，当考虑到政策制度的信息结构的内生反应。

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.