Mối quan hệ đánh đổi giữa ổn định sản lượng và ổn định lạm phát trong điều hành chính sách tiền tệ
Nội dung chính của bài viết
Tóm tắt
Nghiên cứu này điều tra thực nghiệm mối quan hệ đánh đổi giữa ổn định sản lượng và ổn định lạm phát trong thực thi chính sách tiền tệ bằng cách xem xét mối quan hệ của phương sai có điều kiện của hai biến trong một khung phân tích GARCH-BEKK đa chiều. Sử dụng dữ liệu trong giai đoạn 1959 – 2017 ở Anh, chúng tôi tìm thấy bằng chứng thực nghiệm hỗ trợ mối quan hệ đánh đổi mà cơ quan tiền tệ phải đối mặt giữa ổn định sản lượng và ổn định lạm phát trong giai đoạn nghiên cứu. Điều này gợi ý về một “lựa chọn chính sách” thay thế lý thuyết đường cong Phillips trong điều hành chính sách tiền tệ ở các quốc gia.
Chi tiết bài viết
Từ khóa
Chính sách tiền tệ, lạm phát, tăng trưởng, sản lượng, đánh đổi
Tài liệu tham khảo
Arestis, P. and Mouratidis, K. (2004) ‘Is there a trade-off between inflation variability and output- gap variability in the EMU countries?’, Scottish Journal of Political Economy, 51(5), pp. 691– 706. doi: 10.1111/j.0036-9292.2004.00328.x.
Bernanke, B. S. et al. (1997) ‘Systematic Monetary Policy and the Effects of Oil Price Shocks’, Brookings Papers on Economic Activity, 1997(1), pp. 91–157. Available at: https://www. princeton.edu/~mwatson/papers/Bernanke_Gertler_Watson_BPEA_1997.pdf (Accessed: 10 August 2018).
Bernanke, B. S. (2004) ‘The Great Moderation’. Remarks at the meetings of the Eastern Economic Association, Washington, DC.
Bollerslev, T. (1986) ‘Generalized autoregressive conditional heteroskedasticity’, Journal of Econometrics. North-Holland, 31(3), pp. 307–327. doi: 10.1016/0304-4076(86)90063-1.
Castelnuovo, E. (2006) ‘Monetary Policy Switch, the Taylor Curve, and the Great Moderation’, SSRN Electronic Journal. doi: 10.2139/ssrn.880061.
Cecchetti, S. (2000) ‘Making monetary policy: Objectives and rules’, Oxford Review of Economic Policy, 16(4), pp. 43–59. doi: 10.1093/oxrep/16.4.43.
Cecchetti, S. and Ehrmann, M. (2002) ‘Does Inflation Targeting Increase Output Volatility? An International Comparison of Policymakers’ Preferences and Outcomes’, in Norman Loayza and Klaus Schmidt-Hebbel (eds) Monetary Policy: Rules and Transmission Mechanisms. Cambridge, MA, pp. 247–274. doi: 10.3386/w7426.
Cecchetti, S. G. (1999) ‘Legal Structure, Financial Structure, and the Monetary Policy Transmission Mechanism’, FRBNY ECONOMIC POLICY REVIEW, (JULY 1999), pp. 9–32.
Cecchetti, S. G., Flores-lagunes, A. and Krause, S. (2006) ‘HAS MONETARY POLICY BECOME MORE EFFICIENT ? A CROSS-COUNTRY ANALYSIS’, The Economic Journal, 116, pp. 408–433.
Cecchetti, S. G., Flores-Lagunes, A. and Krause, S. (2006) ‘Has monetary policy become more efficient? A cross-country analysis’, Economic Journal, pp. 408–433. doi: 10.1111/j.1468- 0297.2006.01086.x.
Chatterjee, S. (2002) ‘The Taylor curve and the unemployment-inflation tradeoff’, Business Review, Federal Re(Q3), pp. 26–33.
Cobham, D., Macmillan, P. and Mcmillan, D. G. (2004) ‘The inflation/output variability trade-off: further evidence’, Applied Economics Letters. Taylor & Francis Group , 11(6), pp. 347–350. doi: 10.1080/1350485042000228178.
Cover, J. P. and Hueng, C. J. (2003) ‘The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model’, Southern Economic Journal. Southern Economic Association, 70(1), p. 75. doi: 10.2307/1061632.
Cover, J. P. and Pecorino, P. (2007) The Price-Output Correlation and the Variance of Output, SSRN Electronic Journal. doi: 10.2139/ssrn.1005246.
Dittmar, R., Gavin, W. T. and Kydland, F. E. (1999) ‘The Inflation- Output Variability Tradeoff and Price-Level Targets’, Federal Reserve Bank of St. Louis Review, (Jan), pp. 23–32.
Elder, J. and Serletis, A. (2010) ‘Oil Price Uncertainty’, Journal of Money, Credit and Banking.
Wiley, 42(6), pp. 1137–1159. doi: 10.2307/40784879.
Enders, W. (2015) Applied Econometric Time Series. Fourth. John Wiley & Sons, Inc. Available at: https://www.amazon.com/Applied-Econometric-Wiley-Probability-Statistics-ebook/dp/ B00P6SS6RA (Accessed: 10 August 2018).
Engle, R. F. (1982) ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’, Econometrica. The Econometric Society, 50(4), p. 987. doi: 10.2307/1912773.
Engle, R. F. (1983) ‘Estimates of the Variance of U. S. Inflation Based upon the ARCH Model’, Journal of Money, Credit and Banking. Ohio State University Press, 15(3), p. 286. doi: 10.2307/1992480.
Engle, R. F. and Kroner, K. F. (1995) ‘Multivariate Simultaneous Generalized Arch’, Econometric Theory. Cambridge University Press, 11(1), pp. 122–150. doi: 10.2307/3532933.
Erceg, C. J., Henderson, D. W. and Levin, A. T. (1998) ‘Output-gap and Price Inflation Volatilities : Reaffirming Tradeoffs in an Optimizing Model by Conference on Monetary Policy Rules Wudghr v ehwzhhq Lq dwlrq dqg Rxwsxw0Jds Yduldqfhv lq dq Rswlpl } lqj0Djhqw Prgho’, in Conference on Monetary Policy Rules. Stockholm.
Fuhrer, J. C. (1997) ‘Inflation / Output Variance Trade-Offs and Optimal Monetary Policy’, Journal of Money, Credit and Banking, 29(2), pp. 214–234.
Greene, W. H. (2012) Econometric Analysis. Seventh. New Jersey: Upper Saddle River. Available at: https://spu.fem.uniag.sk/cvicenia/ksov/obtulovic/Manaž. štatistika a ekonometria/ EconometricsGREENE.pdf (Accessed: 10 August 2018).
Hamilton, J. D. and Herrera, A. M. (2004) ‘Comment: Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy’, Journal of Money, Credit and Banking. Ohio State University Press, 36(2), pp. 265–286. doi: 10.2307/3839020.
Hendry, D. and Ericsson, N. R. (1991) ‘Modeling the Demand for Narrow Money in the United Kingdom and the United States’, European Economic Review, 35, pp. 833–886.
Hodrick, R. J. and Prescott, E. C. (1997) ‘Postwar U.S. Business Cycles: An Empirical Investigation’. Journal of Money, Credit and Banking, 29(1), pp. 1–16. doi: 10/07/2009 11:45.
Key Monetary Policy Dates Since 1990 (2018) Bank of England. Available at: http://www. bankofengland.co.uk/monetarypolicy/history.htm.
Kilian, L. and Vigfusson, R. J. (2011) ‘Nonlinearities in the oil price–output relationship’, Macroeconomic Dynamics. Cambridge University Press, 15(S3), pp. 337–363. doi: 10.1017/ S1365100511000186.
King, M. (1999) ‘Challenges for Monetary Policy: New and Old’, in New Challenges for Monetary Policy. Federal Reserve Bank of Kansas City Jackson Hole, pp. 11–57.
King, M. (2003) Remit for the Monetary Policy Committee of the Bank of England and the New Inflation Target. London. Available at: https://www.bankofengland.co.uk/-/media/boe/files/ letter/2003/chancellor-letter-101203 (Accessed: 27 November 2018).
King, M. (2013) ‘Monetary policy - many targets, many instruments. Where do we stand?’, in Rethinking macro policy II: first steps and early lessons. Washington DC: IMF, pp. 1–8.
Lee, J. (1999) ‘The Inflation-Output Variability Tradeoff and Monetary Policy: Evidence from a GARCH Model’, Economics Letters, 62, pp. 63–67. doi: 10.2307/1061563.
Lee, J. (2002) ‘The Inflation-Output Variability Tradeoff and Monetary Policy: Evidence from a GARCH Model’, Southern Economic Journal, 69(1), pp. 175–188. doi: 10.2307/1061563.
Lee, J. (2004) ‘The inflation-output variability trade-off: OECD evidence’, Contemporary Economic Policy, 22(3), pp. 344–356. doi: 10.1093/cep/byh025.
Mankiw, N. G. (1989) ‘Real Business Cycles: A New Keynesian Perspective’, The Journal of Economic Perspectives.American EconomicAssociation, 3(3), pp. 79–90. doi: 10.2307/1942761.
Mishkin, F. S. and Posen, A. S. (1997) Inflation targeting: Lessons from four countries. 6126. Cambridge. Available at: https://www.nber.org/papers/w6126.pdf (Accessed: 27 November 2018).
Mishkin, F. S. and Schmidt-Hebbel, K. (2007) Does inflation targeting make a difference?, NBER Working Paper. Cambridge, MA.
Mishkin, F. and Schmidt-Hebbel, K. (2002) ‘One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know?’, in Loayza, N. and Raimundo Soto (eds) Inflation Targeting: Design, Performance, Challenges. Santiago: : Central Bank of Chile, pp. 171–219. doi: 10.3386/w8397.
Mitchell, D. W. (1994) ‘Business cycle sources and price level-output correlation’, Journal of Macroeconomics. North-Holland, 16(3), pp. 547–551. doi: 10.1016/0164-0704(94)90023-X.
Ndou, E. et al. (1999) The Inflation- Output Variability Tradeoff and Price-Level Targets, Working Paper Series. Edited by J. C. Fuhrer. Tunis, Tunisia: Central Bank of Chile. doi: 10.1111/j.1467- 9957.2009.02153.x.
Olson, E., Enders, W. and Wohar, M. E. (2012) ‘An empirical investigation of the Taylor curve’, Journal of Macroeconomics. Elsevier Inc., 34(2), pp. 380–390. doi: 10.1016/j. jmacro.2011.12.005.
Phelps, E. S. and Taylor, J. B. (1977) ‘Stabilizing Powers of Monetary Policy under Rational Expectations’, Journal of Polttical Economy, 85(1), pp. 163–190. Available at: https:// web.stanford.edu/~johntayl/Onlinepaperscombinedbyyear/1977/Stabilizing_Powers_of_ Monetary_Policy_under_Rational_Expectations.pdf (Accessed: 7 August 2018).
Rudebusch, G. and Svensson, L. E. O. (1999) ‘Policy Rules for Inflation Targeting’, in John B. Taylor (ed.) Monetary Policy Rules. University of Chicago Press, pp. 203–262. Available at: http://www.nber.org/chapters/c7417 (Accessed: 9 August 2018).
Taylor, J. B. (1979) ‘Estimation and Control of a Macroeconomic Model with Rational Expectations’, Econometrica, 47(5), pp. 1267–1286.
Taylor, J. B. (1994) ‘The Inflation/Output Variability Trade-off Revisited’, in Fuhrer, J. C. (ed.).
Goals, Guidelines, and Constraints Facing Monetary Policymakers, pp. 21–28.
Taylor, J. B. (2006) ‘Comments on “Tradeoffs in Monetary Policy” by Milton Friedman’, in Festschrift Conference in Honor of David Laidler.
Zellner, A. (1962) ‘An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias’, Journal of the American Statistical Association. Taylor & Francis, Ltd. American Statistical Association, 57(298), p. 348. doi: 10.2307/2281644.
Bernanke, B. S. et al. (1997) ‘Systematic Monetary Policy and the Effects of Oil Price Shocks’, Brookings Papers on Economic Activity, 1997(1), pp. 91–157. Available at: https://www. princeton.edu/~mwatson/papers/Bernanke_Gertler_Watson_BPEA_1997.pdf (Accessed: 10 August 2018).
Bernanke, B. S. (2004) ‘The Great Moderation’. Remarks at the meetings of the Eastern Economic Association, Washington, DC.
Bollerslev, T. (1986) ‘Generalized autoregressive conditional heteroskedasticity’, Journal of Econometrics. North-Holland, 31(3), pp. 307–327. doi: 10.1016/0304-4076(86)90063-1.
Castelnuovo, E. (2006) ‘Monetary Policy Switch, the Taylor Curve, and the Great Moderation’, SSRN Electronic Journal. doi: 10.2139/ssrn.880061.
Cecchetti, S. (2000) ‘Making monetary policy: Objectives and rules’, Oxford Review of Economic Policy, 16(4), pp. 43–59. doi: 10.1093/oxrep/16.4.43.
Cecchetti, S. and Ehrmann, M. (2002) ‘Does Inflation Targeting Increase Output Volatility? An International Comparison of Policymakers’ Preferences and Outcomes’, in Norman Loayza and Klaus Schmidt-Hebbel (eds) Monetary Policy: Rules and Transmission Mechanisms. Cambridge, MA, pp. 247–274. doi: 10.3386/w7426.
Cecchetti, S. G. (1999) ‘Legal Structure, Financial Structure, and the Monetary Policy Transmission Mechanism’, FRBNY ECONOMIC POLICY REVIEW, (JULY 1999), pp. 9–32.
Cecchetti, S. G., Flores-lagunes, A. and Krause, S. (2006) ‘HAS MONETARY POLICY BECOME MORE EFFICIENT ? A CROSS-COUNTRY ANALYSIS’, The Economic Journal, 116, pp. 408–433.
Cecchetti, S. G., Flores-Lagunes, A. and Krause, S. (2006) ‘Has monetary policy become more efficient? A cross-country analysis’, Economic Journal, pp. 408–433. doi: 10.1111/j.1468- 0297.2006.01086.x.
Chatterjee, S. (2002) ‘The Taylor curve and the unemployment-inflation tradeoff’, Business Review, Federal Re(Q3), pp. 26–33.
Cobham, D., Macmillan, P. and Mcmillan, D. G. (2004) ‘The inflation/output variability trade-off: further evidence’, Applied Economics Letters. Taylor & Francis Group , 11(6), pp. 347–350. doi: 10.1080/1350485042000228178.
Cover, J. P. and Hueng, C. J. (2003) ‘The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model’, Southern Economic Journal. Southern Economic Association, 70(1), p. 75. doi: 10.2307/1061632.
Cover, J. P. and Pecorino, P. (2007) The Price-Output Correlation and the Variance of Output, SSRN Electronic Journal. doi: 10.2139/ssrn.1005246.
Dittmar, R., Gavin, W. T. and Kydland, F. E. (1999) ‘The Inflation- Output Variability Tradeoff and Price-Level Targets’, Federal Reserve Bank of St. Louis Review, (Jan), pp. 23–32.
Elder, J. and Serletis, A. (2010) ‘Oil Price Uncertainty’, Journal of Money, Credit and Banking.
Wiley, 42(6), pp. 1137–1159. doi: 10.2307/40784879.
Enders, W. (2015) Applied Econometric Time Series. Fourth. John Wiley & Sons, Inc. Available at: https://www.amazon.com/Applied-Econometric-Wiley-Probability-Statistics-ebook/dp/ B00P6SS6RA (Accessed: 10 August 2018).
Engle, R. F. (1982) ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’, Econometrica. The Econometric Society, 50(4), p. 987. doi: 10.2307/1912773.
Engle, R. F. (1983) ‘Estimates of the Variance of U. S. Inflation Based upon the ARCH Model’, Journal of Money, Credit and Banking. Ohio State University Press, 15(3), p. 286. doi: 10.2307/1992480.
Engle, R. F. and Kroner, K. F. (1995) ‘Multivariate Simultaneous Generalized Arch’, Econometric Theory. Cambridge University Press, 11(1), pp. 122–150. doi: 10.2307/3532933.
Erceg, C. J., Henderson, D. W. and Levin, A. T. (1998) ‘Output-gap and Price Inflation Volatilities : Reaffirming Tradeoffs in an Optimizing Model by Conference on Monetary Policy Rules Wudghr v ehwzhhq Lq dwlrq dqg Rxwsxw0Jds Yduldqfhv lq dq Rswlpl } lqj0Djhqw Prgho’, in Conference on Monetary Policy Rules. Stockholm.
Fuhrer, J. C. (1997) ‘Inflation / Output Variance Trade-Offs and Optimal Monetary Policy’, Journal of Money, Credit and Banking, 29(2), pp. 214–234.
Greene, W. H. (2012) Econometric Analysis. Seventh. New Jersey: Upper Saddle River. Available at: https://spu.fem.uniag.sk/cvicenia/ksov/obtulovic/Manaž. štatistika a ekonometria/ EconometricsGREENE.pdf (Accessed: 10 August 2018).
Hamilton, J. D. and Herrera, A. M. (2004) ‘Comment: Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy’, Journal of Money, Credit and Banking. Ohio State University Press, 36(2), pp. 265–286. doi: 10.2307/3839020.
Hendry, D. and Ericsson, N. R. (1991) ‘Modeling the Demand for Narrow Money in the United Kingdom and the United States’, European Economic Review, 35, pp. 833–886.
Hodrick, R. J. and Prescott, E. C. (1997) ‘Postwar U.S. Business Cycles: An Empirical Investigation’. Journal of Money, Credit and Banking, 29(1), pp. 1–16. doi: 10/07/2009 11:45.
Key Monetary Policy Dates Since 1990 (2018) Bank of England. Available at: http://www. bankofengland.co.uk/monetarypolicy/history.htm.
Kilian, L. and Vigfusson, R. J. (2011) ‘Nonlinearities in the oil price–output relationship’, Macroeconomic Dynamics. Cambridge University Press, 15(S3), pp. 337–363. doi: 10.1017/ S1365100511000186.
King, M. (1999) ‘Challenges for Monetary Policy: New and Old’, in New Challenges for Monetary Policy. Federal Reserve Bank of Kansas City Jackson Hole, pp. 11–57.
King, M. (2003) Remit for the Monetary Policy Committee of the Bank of England and the New Inflation Target. London. Available at: https://www.bankofengland.co.uk/-/media/boe/files/ letter/2003/chancellor-letter-101203 (Accessed: 27 November 2018).
King, M. (2013) ‘Monetary policy - many targets, many instruments. Where do we stand?’, in Rethinking macro policy II: first steps and early lessons. Washington DC: IMF, pp. 1–8.
Lee, J. (1999) ‘The Inflation-Output Variability Tradeoff and Monetary Policy: Evidence from a GARCH Model’, Economics Letters, 62, pp. 63–67. doi: 10.2307/1061563.
Lee, J. (2002) ‘The Inflation-Output Variability Tradeoff and Monetary Policy: Evidence from a GARCH Model’, Southern Economic Journal, 69(1), pp. 175–188. doi: 10.2307/1061563.
Lee, J. (2004) ‘The inflation-output variability trade-off: OECD evidence’, Contemporary Economic Policy, 22(3), pp. 344–356. doi: 10.1093/cep/byh025.
Mankiw, N. G. (1989) ‘Real Business Cycles: A New Keynesian Perspective’, The Journal of Economic Perspectives.American EconomicAssociation, 3(3), pp. 79–90. doi: 10.2307/1942761.
Mishkin, F. S. and Posen, A. S. (1997) Inflation targeting: Lessons from four countries. 6126. Cambridge. Available at: https://www.nber.org/papers/w6126.pdf (Accessed: 27 November 2018).
Mishkin, F. S. and Schmidt-Hebbel, K. (2007) Does inflation targeting make a difference?, NBER Working Paper. Cambridge, MA.
Mishkin, F. and Schmidt-Hebbel, K. (2002) ‘One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know?’, in Loayza, N. and Raimundo Soto (eds) Inflation Targeting: Design, Performance, Challenges. Santiago: : Central Bank of Chile, pp. 171–219. doi: 10.3386/w8397.
Mitchell, D. W. (1994) ‘Business cycle sources and price level-output correlation’, Journal of Macroeconomics. North-Holland, 16(3), pp. 547–551. doi: 10.1016/0164-0704(94)90023-X.
Ndou, E. et al. (1999) The Inflation- Output Variability Tradeoff and Price-Level Targets, Working Paper Series. Edited by J. C. Fuhrer. Tunis, Tunisia: Central Bank of Chile. doi: 10.1111/j.1467- 9957.2009.02153.x.
Olson, E., Enders, W. and Wohar, M. E. (2012) ‘An empirical investigation of the Taylor curve’, Journal of Macroeconomics. Elsevier Inc., 34(2), pp. 380–390. doi: 10.1016/j. jmacro.2011.12.005.
Phelps, E. S. and Taylor, J. B. (1977) ‘Stabilizing Powers of Monetary Policy under Rational Expectations’, Journal of Polttical Economy, 85(1), pp. 163–190. Available at: https:// web.stanford.edu/~johntayl/Onlinepaperscombinedbyyear/1977/Stabilizing_Powers_of_ Monetary_Policy_under_Rational_Expectations.pdf (Accessed: 7 August 2018).
Rudebusch, G. and Svensson, L. E. O. (1999) ‘Policy Rules for Inflation Targeting’, in John B. Taylor (ed.) Monetary Policy Rules. University of Chicago Press, pp. 203–262. Available at: http://www.nber.org/chapters/c7417 (Accessed: 9 August 2018).
Taylor, J. B. (1979) ‘Estimation and Control of a Macroeconomic Model with Rational Expectations’, Econometrica, 47(5), pp. 1267–1286.
Taylor, J. B. (1994) ‘The Inflation/Output Variability Trade-off Revisited’, in Fuhrer, J. C. (ed.).
Goals, Guidelines, and Constraints Facing Monetary Policymakers, pp. 21–28.
Taylor, J. B. (2006) ‘Comments on “Tradeoffs in Monetary Policy” by Milton Friedman’, in Festschrift Conference in Honor of David Laidler.
Zellner, A. (1962) ‘An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias’, Journal of the American Statistical Association. Taylor & Francis, Ltd. American Statistical Association, 57(298), p. 348. doi: 10.2307/2281644.