期刊-NBER美国国民经济研究局-spring2003_60页_609kb

NBER Reporter Summary - Spring 2003

Core Content

The NBER Reporter Spring 2003 issue focuses on monetary economics, exchange rate behavior, inflation and unemployment dynamics, and monetary policy rules. It provides an overview of ongoing research, empirical findings, and theoretical developments within the NBER's Monetary Economics Program and related fields.

Main Research Topics and Key Findings

1. Dynamic Effects of Monetary Policy

• Core Idea: Monetary policy influences employment and production in the short run, but its effect on inflation is delayed.
• Empirical Evidence:
  • Romer Study (1990s disinflation episodes): Found that Fed policy shifts toward tighter inflation control led to declines in production and employment.
  • Ball Study (OECD countries): Identified episodes of sustained inflation decline, often accompanied by output below trend. Output effects are smaller when disinflation is rapid and labor contracts are more flexible.
  • Christiano, Eichenbaum, and Evans: Highlight that while there is no consensus on identifying monetary policy shocks, the qualitative effects are robust: employment and production respond quickly, while inflation follows with a lag.
• Conclusion: A general consensus exists that monetary policy affects macroeconomic performance with a lag, and this is consistent with central bankers’ conventional wisdom.

2. The 1990s: Low Inflation and Unemployment

• Observation: The U.S. experienced a rare period of low inflation and low unemployment in the 1990s.
• Key Factors:
  • Inflation Expectations: Lower inflation expectations shifted the short-run tradeoff between inflation and unemployment.
  • Productivity Growth: Accelerated productivity, especially in information technology, contributed to both faster output growth and lower inflation.
  • NAIRU (Non-Accelerating Inflation Rate of Unemployment): The NAIRU is not constant and can fall with productivity growth.
• Conclusion: The 1990s success was due to a combination of credible inflation expectations and productivity gains, not the disappearance of the Phillips curve.

3. Sluggish Inflation Puzzle

• Empirical Evidence:
  • Inflation exhibits inertia, being strongly correlated with its own lagged values.
  • Monetary policy shocks have gradual and delayed effects on inflation.
• Theoretical Explanations:
  • Inattentive Price Setters: Price setters may not react quickly to policy changes, leading to sluggish inflation.
    • Woodford’s Model: Assumes limited information absorption, leading to slow adjustment in inflation expectations.
    • Ball’s Model: Suggests that expectations are based on univariate forecasts, not multivariate, which explains the sluggishness.
    • Reis and Mankiw’s "Sticky Information" Model: Price setters update their information sets with a fixed probability, leading to delayed responses.
  • Christopher Carroll’s Study: Shows that public inflation expectations lag behind professional forecasts, supporting the inattentiveness hypothesis.
• Conclusion: The sluggishness of inflation is due to slow adjustment in expectations, not necessarily to price stickiness.

4. Monetary Policy Rules

• Concept: Policy rules are contingency plans that guide central banks in responding to economic conditions.
• Arguments for Rules:
  • Time-Inconsistency Problem: Central banks may be tempted to deviate from announced price stability goals due to short-run tradeoffs.
  • Taylor Rule: Optimal policy often follows a Taylor rule, where interest rates respond to inflation and output gaps.
  • Taylor Principle: Nominal interest rates should rise more than one-for-one with inflation to prevent inflationary spirals.
• Empirical Support: The Fed's more aggressive response to inflation in the 1990s compared to the 1970s is associated with better macroeconomic outcomes.
• Conclusion: Policy rules provide a framework for discretionary monetary policy and help avoid time-inconsistency issues.

Research Summaries

1. Explaining Exchange Rate Behavior

• Focus: Link between productivity changes and exchange rates.
• Models:
  • Balassa-Samuelson Hypothesis: Productivity differences between traded and nontraded sectors affect real exchange rates.
  • Long-Run Relationship: Exchange rates and relative prices are correlated, but traditional trend-based misalignment measures may be misleading.
• Case Studies:
  • East Asian Currencies: Malaysian ringgit, Philippine peso, and Thai baht were overvalued before the 1997 crisis, while Indonesian rupiah and Korean won were undervalued.
  • Euro/Dollar Exchange Rate: Productivity differentials strongly influence the real exchange rate, with a one percentage point increase in the U.S.-eurozone productivity gap leading to a 2-5% dollar appreciation.
• Market Characteristics: Intra-industry trade, price-cost margins, and other structural factors affect the speed of real exchange rate adjustment.

2. Overvaluation and Purchasing Power Parity

• Implication: Overvaluation of a currency can lead to misalignment and financial crises.
• Findings:
  • East Asian currencies were overvalued before the 1997 crisis, but this was not the primary cause.
  • The Balassa-Samuelson hypothesis suggests that misalignment measures based on linear trends may be inaccurate.

3. Real Exchange Rate Behavior and Market Structure

• Methodology: Sector-by-sector analysis of real exchange rates.
• Key Variables:
  • Intra-Industry Trade: Higher levels of intra-industry trade are associated with greater persistence in real exchange rate deviations.
  • Price-Cost Margins: Larger margins indicate less substitutability of goods, contributing to real exchange rate persistence.
• Conclusion: Market imperfections, not macroeconomic variables, are robustly associated with persistent real exchange rate deviations.

Additional Information

• NBER Email Service: Offers free daily links to U.S. government economic data releases (e.g., unemployment, GDP, interest rates).
• NBER Structure:
  • President and CEO: Martin Feldstein
  • Board of Directors: Includes prominent economists and representatives from various organizations.
• Funding: NBER relies on contributions from individuals, corporations, and foundations to maintain independence and flexibility.
• Subscription and Distribution: The Reporter is not copyrighted and can be freely reproduced with proper attribution.

Conclusion

The NBER's Spring 2003 issue underscores the importance of understanding monetary policy dynamics, exchange rate behavior, and market structure effects on inflation and economic performance. It highlights the ongoing research into how central banks can improve policy effectiveness through better rules and expectations management, while also emphasizing the complexity and persistence of real exchange rate adjustments.