Monetary Policy and Price Informativeness under Rational Inattention

该项目探索了在企业在理性疏忽的情况下制定价格的环境下，货币政策如何影响央行的价格信号价值。它分析了环境的变化(包括货币政策的实施)如何影响企业的注意力分配，进而又如何影响价格信息。它从两个互补的文学线索中获得灵感，旨在协调这两个方面的见解。一方面，几篇论文指出，央行面临着影响市场价格以实现其目标，同时观察价格以获取有关经济状况的信息的问题。这些论文强调了价格的作用，如最初由哈耶克(1945)提出的那样，价格是“所有独立个体拥有的分散的、不完整的、经常相互矛盾的知识的聚集者”。因此，他们研究了政策制定者应该如何在不完美的常识环境下进行干预和披露信息，在这种环境中，央行通过观察价格来了解经济基本面。在上述模型中，公司将其信息集视为给定的，因此货币政策的变化通过改变公司对其关于基本面的(外部)私人信息的反应方式来影响价格。这与理性注意力不集中的文献(遵循SIMS(2003))形成对比，在该文献中，公司的信息集是内生的，并对环境的变化做出反应，包括中央银行的政策。考虑到企业信息的内生性，开启了有关价格信息性及其与货币政策关系的新问题的大门，揭示了央行实现社会福利最大化的能力是弄巧成拙的新机制。例如，最优货币政策降低了企业面临的关于其最优价格的不确定性，从而导致企业对基本面冲击的关注较少。因此，这些公司关于基本面的私人信息变得相对不那么准确，这使得价格对政策制定者的信息量更小(阻碍了央行通过观察价格了解基本面的能力，从而阻碍了政策制定者抵消基本面冲击的能力)。在相关工作中，我研究了关于政策传导的不确定性如何影响最优货币政策和价格信息(如Brainard(1967)，见下面的简短摘要)。Brainard(1967)的不确定性和价格的信号价值在货币政策制定中谨慎背后的一个理由是Brainard(1967)精神中的参数不确定性。我在一个货币政策模型中解释了这种不确定性，该模型在不完全常识(源于理性疏忽)下制定价格，政策制定者通过观察市场价格来了解基本面，并研究央行信息的内生性如何影响最优政策。虽然政策干预总是影响价格的信息含量，但只有在存在一定程度的参数不确定性的情况下，这才与最优政策相关。在布雷纳德的不确定性下，既有尝试政策的动机(以获取有关其传导的信息)，也有谨慎对待政策的动机(以获得更准确的基本面信息)。

The project explores how monetary policy influences the signal value of prices for a central bank, in an environment where firms set prices under rational inattention. It analyses how changes in the environment (including the conduct of monetary policy) affect firms' allocation of attention and, in turn, how these affect price informativeness. It draws inspiration from two complementary strands of the literature and aims to reconcile insights from the two. On one hand, several papers have noted that central banks face the problem of influencing market prices to achieve their objectives, while also observing prices to elicit information about the state of the economy. These papers emphasize the role of prices as aggregators of "dispersed bits of incomplete and frequently contradictory knowledge which all the separate individuals possess", as originally put forward by Hayek (1945). Consequently, they study how a policymaker should intervene and disclose information in imperfect common knowledge settings, where the central bank learns about economic fundamentals by observing prices. In the aforementioned models, firms take their information sets as given, so changes in monetary policy affect prices by changing the way in which firms respond to their (exogenous) private information about fundamentals. This is in contrast to the rational inattention literature (following Sims (2003)), where firms' information sets are endogenous and react to changes in the environment, including the central bank's policy. Accounting for the endogenous nature of firms' information opens the door to new questions regarding price informativeness and its relation to monetary policy, uncovering novel mechanisms through which the central bank's ability to maximize social welfare is self-defeating. For instance, optimal monetary policy lowers the uncertainty faced by firms regarding their optimal prices, thereby causing firms to pay less attention to fundamental shocks. Thus, the firms' private information about fundamentals becomes relatively less precise and this renders prices as less informative to the policymaker (impeding the central bank's ability to learn about fundamentals by observing prices, and thus the policymaker's ability to neutralize shocks to fundamentals). In related work, I study how optimal monetary policy and price informativeness are affected by uncertainty regarding policy transmission (as in Brainard (1967), see short abstract below)).Brainard Uncertainty and the Signal Value of PricesOne rationale standing behind caution in monetary policy-making is parameter uncertainty in the spirit of Brainard (1967). I account for such uncertainty in a model of monetary policy with price-setting under imperfect common knowledge (stemming from rational inattention) in which the policymaker learns about fundamentals by observing market prices, and study how the endogenous nature of the central bank's information affects optimal policy. Although policy intervention always influences the informational content of prices, this is only relevant for optimal policy if there is some degree of parameter uncertainty. Under Brainard uncertainty, there is both an incentive to experiment with policy (in order to elicit information about its transmission) and an incentive to be cautious with policy (in order to have more precise information about fundamentals).