Testing the Inflation Bias Hypothesis

检验通货膨胀偏差假设

• 批准号: 9986671
• 负责人: Varadarajan Chari
• 金额: $ 19.73万
• 依托单位: University of Minnesota-Twin Cities
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-07-01 至 2004-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9986671&HistoricalAwards=false
• 关键词: Testing; Inflation; Bias; Hypothesis

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.

该提案描述了货币经济学和宏观经济学中的三种项目，所有这些项目都遵循货币机构的设计。 第一个项目询问为什么许多国家 /地区经历了很长时间的昂贵，高通货膨胀以及延长通货膨胀时期的时间，以及可以采取什么措施防止高通货膨胀再次发生。一个假设是，货币政策中存在时间不一致的问题，这会导致通货膨胀偏见：没有承诺的通货膨胀率高于承诺。如果该假设是正确的，那么重新设计货币机构以获得更大的承诺很重要。我建议通过开发定量，一般均衡的货币模型来检验通货膨胀偏差假设，在这种模型中，通过优化仁慈的政策制定者，依次设定货币政策。我问这样的模型在多大程度上可以解释宏观经济变量的动态，例如通货膨胀，输出和数据中的就业。 在两个标准的货币模型中，一个常规的现金学分商品模型和有限的参与模型，对于大量参数值没有通胀偏见。在这两种模型中，货币供应量高于预期增长的好处是产出增加，成本是相对价格的扭曲。货币管理局最佳地平衡了收益和成本，事实证明，通货膨胀的成本大于收益。这些模型的缺乏是，它们不重现观察到的金钱需求的动态。这种缺陷导致了内源性现金学分商品模型的建设，该模型引入了金融中介技术，以内生化现金和信用货物之间的区别。该模型似乎更有前途，因为它与数据的关键特征一致：高通货膨胀率很长时间，低通胀的时间延长，它似乎也能够考虑到通货膨胀，产出，就业和其他变量的观察到的动态。第二个项目研究货币工会中的自由骑手问题和战略代表团。我试图找出货币联盟是否会引起主权政府的战略行为，以及成员国是否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。 答案在很大程度上取决于货币当局能够承担未来行动的程度。我表明，在一大批模型中，没有承诺，战略行为会产生效率低下的结果，因此，像在欧洲货币联盟的《马斯特里奇特条约》中一样，可以对成员国政府的政策施加约束。通过承诺，这种约束是不受欢迎的。第三个项目研究信息级联和金融危机的目的是开发牛群行为模型的对象，这可能解释了诸如挥发性资本之类的观察结果。我扩展了现有的牛群行为模型，以允许内源性的投资决策时机。我表明牛群更有可能发生。然后，我将该模型嵌入国际设置中，并表明该模型会产生更多波动的资本流入和发展发展国家，而不是在发达国家之间。