米什金货币金融学(英文)PPT (26)

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Hypothetical Example in Which M/M leads Y
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Statistical Evidence
Horse race: correlation of A vs M with Y; Friedman and Meiselman, M wins Criticisms: 1. Reverse causation from Y to M, or third factor driving M and Y are possible 2. Keynesian model too simple, unfair handicap 3. A measure poorly constructed Postmortem with different measures of A: no clear-cut victory
the U.S.
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Monetary Transmission Mechanisms
Traditional Interest-Rate Channels: M , ir , I , Y The interest rate channel of monetary transmission applies equally to C. Also, it places emphasis on ir rather than i. Moreover, it is the long-term ir and not the short-term ir that is viewed as having the major impact on C and I spending. With sticky P, an in M leads to a in short term i and also short term ir. According to the expectations hypothesis of the term structure of interest rates, this also long-term ir. The in short- and long-term ir leads to an in C and I spending. Note: The interest rate transmission mechanism is effective even when i has already been driven to zero by the MA during a deflationary period. With i = 0,
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Real and Nominal Interest Rates
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Early Monetarist Evidence
Monetarist evidence is reduced form Timing Evidence (Friedman and Schwartz) 1. Peak in Ms growth 16 months before peak in Y on average 2. Lag is variable Criticisms: 1. Uses principle: Post hoc, ergo propter hoc 2. Principle only valid if first event is exogenous: i.e., if have controlled experiment 3. Hypothetical example (Fig 2): Reverse causation from Y to M and yet Ms growth leads Y
Reduced Form Evidence M ? Y Structural Model Evidence Advantages: 1. Understand causation because more information on link between M and Y 2. Knowing how M affects Y helps prediction 3. Can predict effects of institutional changes that change link from M to Y Disadvantages: 1. Structural model may be wrong, negating all © 2005 Pearson Education Canada Inc. advantages
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Early Keynesian Evidence
Evidence: 1. Great Depression: i on T-bonds to low levels monetary policy was “easy” 2. No statistical link from i to I 3. Surveys: no link from i to I Objections to Keynesian evidence Problems with structural model 1. i on T-bonds not representative during Depression: i very high on low-grade bonds: Figure 1 in Ch. 6 2. ir more relevant than i: ir high during Depression: Figure 1 3. Ms during Depression (Friedman and Schwartz): money “tight” © 2005 Pearson Education Canada Inc. 4. Wrong structural model to look at link of i and I,
Monetary Transmission Mechanisms
Other Asset Channels
Wealth Channel:
Was introduced by Franco Modigliani in his famous “life cycle hypothesis of consumption.” He argued that the most important transmission mechanism of monetary policy involves consumption. Considering that an expansionary monetary policy stock prices, the wealth transmission mechanism works as follows:
E
eu ro $
M , ir , E , NX , Y
When ir the domestic currency depreciates (see Chapter 7), that is E . This makes domestic goods relatively less expensive and NX .
M
i
I
Y
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Reduced Form Evidence
Advantages: 1. No restrictions on how M affects Y: better able to find link from M to Y Disadvantages: 1. Reverse causation possible 2. Third factor may produce correlation of M and Y
Recent work indicates that the exchange rate transmission mechanism plays an important role in how monetary policy affects the economy.
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Chapter 26
Transmission Mechanisms of Monetary Policy: The Evidence
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Two Types of Empirical Evidence
Structural Model Evidence
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M , Pe , e , i , C and I , Y
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Monetary Transmission Mechels
Exchange Rate Channel:
Monetary Transmission Mechanisms
Other Asset Channels
Tobin’s q Channel:
MVF q RCC
where MVF = market value of firms and RCC = replacement cost of capital. If q is high, MFV is high relative to RCC, and new plant and equipment capital is cheap relative to the market value of firms. In this case, companies can issue stock and get a high price for it relative to the cost of the facilities and equipment they are buying. I because firms can buy a lot of new investment goods with only a small issue of stock. The transmission mechanism for monetary policy is M , Pe , q , I , Y © 2005 Pearson Education Inc. price of equity (not the expected price 26-12 where Pe isCanada the