Monetary policy and models

Transcription

1 Moneay polcy and odels Kes Næss and Kes Haae Moka Noges Bank Moneay Polcy Unvesy of Copenhagen, 8 May 8

2 Consue pces and oney supply Annual pecenage gowh. -yea ovng aveage Gowh n oney supply Inflaon Souces: Sascs Noway and Noges Bank

3 Consue pces and goss doesc poduc Annual pecenage gowh. 5-yea ovng aveage 5 5 Inflaon GDP-gowh Souces: Sascs Noway and Noges Bank

4 Wha can oneay polcy deene n he long un? Ove e, oneay polcy deenes he aveage level of nflaon Oupu s deened by he supply of labou, capal and echnology

5 Moneay polcy can conbue o soohng cyclcal flucuaons n he sho o edu e Noges Bank Acual and end GDP. Manland Noway. Bllons NOK ) Oupu gap Tend GDP Acual GDP Oupu gap. Pecenage devaon beween acual and end GDP ) ) Poecon fo 5 Souces: Sascs Noway and Noges Bank 5

6 Moneay polcy n Noway The Govenen has defned an nflaon age fo oneay polcy n Noway The opeaonal age s consue pce nflaon of close o,5 pe cen ove e 6

7 Wan o nfluence expecaons Moneay polcy s anageen of expecaons Fo no only do expecaons abou polcy ae, bu ) vey lle else aes [T]he cuen level of he ovengh nees aes as such s of neglgble poance fo econoc decson-akng Woodfod 5) 7

8 How do changes n he nees ae affec he econoy? Exchange ae Ipoed nflaon Noges Bank s key ae Make nees aes Inflaon expecaons Inflaon Consupon Invesens Labou ake Wage gowh Magns 8

9 Flexble nflaon ageng - heoy Loss funcon: L * ) λy y*) Flexble: λ > Sc: λ 9

10 Oupu gap and CPI-ATE CPI-ATE - Oupu gap Souces: Sascs Noway and Noges Bank

11 Oupu gap and CPI-ATE Sc CPI-ATE - Oupu gap Souces: Sascs Noway and Noges Bank

12 Oupu gap and CPI-ATE Sc Flexble CPI-ATE - Oupu gap Souces: Sascs Noway and Noges Bank

13 Flexble nflaon ageng Povdes he econoy wh a nonal ancho Allows oneay polcy o sooh flucuaons n oupu and eployen

14 Role of he cenal bank: Bng he econoy back o seady sae! 6 5 Ineval fo neual eal nees ae 6 5 CPI-ATE? Inflaon age Real nees ae? - - Oupu gap? Balanced oupu

15 Consan Inees Rae Move 5

16 Inees ae Inflaon Real exchange ae gap) Oupu gap 6

17 Inees ae Inflaon Real exchange ae gap) Oupu gap 7

18 Inees ae Inflaon Real exchange ae gap) Oupu gap 8

19 Inees ae Inflaon Real exchange ae gap) Oupu gap 9

20 Inees ae Inflaon Real exchange ae gap) Oupu gap

21 Inees ae Inflaon Real exchange ae gap) Oupu gap

22 Inees ae Inflaon Real exchange ae gap) Oupu gap

23 Inees ae Inflaon Real exchange ae gap) Oupu gap

24 Inees ae Inflaon Real exchange ae gap) Oupu gap

25 Inees ae Inflaon Real exchange ae gap) Oupu gap 5

26 Inees ae Inflaon Real exchange ae gap) Oupu gap 6

27 Inees ae Inflaon Real exchange ae gap) Oupu gap 7

28 Inees ae Inflaon Real exchange ae gap) Oupu gap 8

29 Inees ae Inflaon Real exchange ae gap) Oupu gap 9

30 Inees ae Inflaon Real exchange ae gap) Oupu gap

31 Inees ae Inflaon Real exchange ae gap) Oupu gap

32 Inees ae Inflaon Real exchange ae gap) Oupu gap

33 Consan Inees Rae Move

34 9 8 Key polcy ae Coe nflaon Baselne scenao n MPR /8 Pe cen. 6 Q Q % 5% 7% 9% 5 Noges Bank 5 5 Oupu gap Inflaon Souces: Sascs Noway and Noges Bank

35 Models ae used fo. Analyss of he cuen econoc suaon and denfcaon of shocks. Poecons. Polcy analyss and analyss of sks and unceany. Councaon The a s as uch o undesand he econocs of he poecons as o poduce uanave esaes BoE, Mach ) 5

36 Models n Noges Bank Model a NEMO Vaous salle odels 6

37 Buld he odel on he blackboad 7

38 Model a Noges Bank Oupu gap IS cuve δ δ δ [ ψ *) ψ *) ψ ψ ) 6 *) ] *) δ f ε y Depends on Inees ae sho and long,.e. expecaons) Exchange ae Gowh aboad Exogenous shocks 8

39 Model a Noges Bank Inflaon Phllps cuve E ) * Δ 5 β Δ ε Depends on Inflaon expecaons pevous, fuue, age) Oupu gap Exchange ae and pces aboad Exogenous shocks 9

40 Model a Noges Bank Exchange ae f E ) ε Depends on Exchange ae expecaons Inees ae dffeenal Exogenous shocks

41 euaons... [ ] f y f E E ε ε β ε δ δ ψ ψ ψ ψ δ δ Δ Δ ) * ) *) *) 6 ) *) *) 5

42 euaons and endogenous vaables:,, and [ ] f y f E E ε ε β ε δ δ ψ ψ ψ ψ δ δ Δ Δ ) * ) *) *) 6 ) *) *) 5

43 Moneay polcy wo appoaches Sple nees ae ule * * ) * β Opal polcy: nzng a loss funcon L * ) λ λ )

44 Opal polcy Dsceon Re-opze each peod Take expecaons as gven Coen Rasey: Re-opze n he fs peod, bu neve agan Teless pespecve: Ac as f you coed long e ago

45 Inflaon shock Noges Bank Oupu gap Inflaon. Poduksonsgap.6 Inflason Dskesonæ Dsceon X,5, Dskesonæ Dsceon TIME Souce: Noges Bank5

46 Inflaon shock Noges Bank Oupu gap Inflaon. Poduksonsgap.6 Inflason Dskesonæ Dsceon Bndng Coen X,5 X,5..,6, Dsceon Coen Dskesonæ Bndng TIME Souce: Noges Bank 6

47 Dsceon vesus coen,75,7,65 Dsceon Vaance n nflaon,6,55,5,5, Coen hghe λ,5,5,5,5 Vaance n oupu gap 7

48 Go lve 8

49 9 The odel a [ ] [ ] f y f E E E ε ε β ε δ δ ψ ψ ψ ψ δ δ λ λ β Δ Δ ) * ) *) *) 6 ) *) *) gven he odel : ) *) n 5,

50 5 The odel a [ ] [ ] f y f E E E ε ε β ε δ δ ψ ψ ψ ψ δ δ λ λ β Δ Δ ) * ) *) *) 6 ) *) *) gven he odel : ) *) n 5,

51 Inflaon shock Noges Bank.75 Inflaon / 5. Inees ae λ. λ Real exchange ae Oupu gap

52 5 Inflaon he poance of expecaons ε β Δ Δ 5 * ) ) - backwad-lookng expecaons: E E E E E - ε β Δ Δ 5 * ) E - have assued: odel conssen/aonal expecaons : E E [ I ] The aonal expecaon hypohess was noduced o acoeconoc heoy by Robe E. Lucas n 97 Expecaons and he Neualy of Money, Jounal of Econoc Theoy, )

53 Inflaon shock: he poance of expecaons.75 Inflaon / 6.5 Inees ae Real exchange ae Model-conssen expecaons backwad-lookng expecaons. Oupu gap

54 5 The odel a [ ] [ ] f y f E E E ε ε β ε δ δ ψ ψ ψ ψ δ δ λ λ β Δ Δ ) * ) *) *) 6 ) *) *) gven he odel : ) *) n 5,

55 Inflaon shock: lowe nees ae effec on oupu Inflaon / Inees ae Benchak, δ.5 Real exchange ae lowe eal nees ae elascy, δ.75 Oupu gap

56 56 The odel a [ ] [ ] f y f E E E ε ε β ε δ δ ψ ψ ψ ψ δ δ λ λ β Δ Δ ) * ) *) *) 6 ) *) *) gven he odel : ) *) n 5,

57 Inflaon shock: Sc vesus flexble nflaon ageng Inflaon / Inees ae λ. λ λ. λ Real exchange ae Flexble nflaon ageng Sc nflaon ageng Oupu gap

58 Noges Bank 58