金融政策の波及経路と政策手段

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1 Krugman(988) Woodford(999) (2000) (2000) 4 rae-of-reurn dominance 405

2 4 406

3 (i) a 2 cash good credi good b King and Wolman(999) (ii) 407

4 (iii) (iv) 408

5 λ κ (2.8) π x π λ = x κ Svensson 999 sric Woodford(999a) 409

6 flexible Roemberg and Woodford, 999, 2000 i r * * * * i = r + π + α ( π π ) + β ( x x ) Woodford(999a) Woodford(999a) 40

7 (2.6) Woodford(999b,c) policy ineria π x E = 0 2 [ π + λ x ] 0 2 β 2 + z + π + = β π κ x+ + u+ 4

8 (2.2) λ π ( ) + + x + x = 0 κ x 2 (2.20) (2.2) (2.4) (2.23) 3 * * * * i = r + π + α ( π π ) + β ( x x ) + γ i 2 Roemberg and Woodford, 999, 2000 Taylor, (2000) 42

9 hisory-dependen policy Woodford, 999a 3 (a) Tinsley(998) 3 Reifschneider and Williams(999) 4 Reifschneider and Williams(999) 43

10 Woodford, 999a π p p ) + + λ [ π ( ) + + x + x = 0 ] κ Clarida, Gali, and Gerler, 999 λ p + + x+ = 0 κ (b) 44

11 Svensson and Woodford(999) π x + z + E = 0 2 [ π + λ x ] 0 2 β (2.) 2 π + = β π κ x+ + u+ (2.2) u + a = u + ε + ρ (2.3) n = x σ i π r ) (2.4) x ( r n n + = r + η+ ω (2.5) (2.) + [ x + + i i i= 0 i π = β κ u ] (2.6) (2.4) 45

12 x + ( + + i + 2+ i + + i i= 0 n = σ i π r ) (2.7) Clarida, Gali, and Gerler(999) min s.. 2 ( π + λ 2 x ) + F 2 π = κ x + f φ π ϕ = 0 λ x + κ ϕ = 0 λ π = x (2.8) κ Svensson and Woodford(999) (2.2) (2.) (2.2) (2.4) (2.2) (2.4) L E β [ π + λ x ] + ϕ ( β π + κ x + u π ) = 0 2 (2.9) 46

13 π ϕ + ϕ 0 (2.0) + + = λ x + κ ϕ 0 (2.) + + = (2.) ϕ (2.0) λ π ( ) + + x + x = 0 (2.2) κ (2.2) (2.2) λ λ ( x+ x ) = β ( x+ 2 x+ ) + κ x + + u + κ κ 2 κ κ β x 2 + β + + x + + x u+ = 0 λ λ λ α 2 κ + λ( + β ) κ αβ x+ 2 x+ + αx α u+ = 0 (2.3) λ x + = δ x + µ u + (2.4) (2.4) x δ x + µ u = δ x + µ ρ u ε ] = [ (2.3) ακ ( αβδ ) x + + αx + αβρµ u + = 0 λ α ακ x+ = x + αβρµ u+ = 0 (2.5) αβδ αβδ λ (2.4) (2.3) (2.4) (2.5) 47

14 δ α = (2.6) αβδ ακ µ = αβρµ (2.7) αβδ λ (2.6) 2 2 αβδ δ + α = 0 2 δ = 4α 2αβ 2 β α (2.7) δ = αβδ δ ακ κδ µ = αβρµ = δβρµ α λ λ κδ µ = λ( δβρ) κδ x+ = δ x u + (2.8) λ( δβρ) π δ π + = δ π ( u+ u ) (2.9) ( δβρ) + (2.8) (2.9) Svensson and Woodford(999) "imeless perspecive" n lim δ x = 0 u ρ u ε x n n κδ λ( δβρ) + = δ x ρ u + a =

15 κδρ λ( δβρ) κδρ λ( δβρ) = δ δ x u u + κδρ λ( δβρ) κδρ λ( δβρ) 2 = δ δ x 2 u 2 δ u κδρ x + = δ λ( δβρ) j= 0 π + j u j κδρ u λ( δβρ) (2.20) = δρ j π + u ( δ ) δ u j (2.2) ( δβρ) j = (2.4) (2.4) n i + = r + + π ( x + 2 x+ ) (2.22) σ (2.2) π λ ( ) + x + x = 0 κ + λσ κ λσ n i + = r + + π + 2 (2.22) 2.2 i n λσ κ δρ = + j ω r ρ u ( δ δ u j (2.23) λσ ( δβρ) j= 0 * + ) (2.23) indeerminacy Svensson and Woodford(999) 49

16 * λ i + = i+ + g [ π + + ( x+ x )] (2.24) κ Clarida, Gali, and Gerler, 999 π p p ) + + λ (2.2)[ π ( ) + + x + x = 0 ] κ λ p + + x+ = 0 κ (2.25) 420

17 Working Paper 00-8, Clarida, Richard, Jordi Gali, aned Mark Gerler, The Science of Moneary Policy:A New Keynsian Perspecive, Journal of Economic Lieraure, 999. King, Rober, and Alexander Wolman, Wha Should he Moneary Auhoriy Do When Prices Are Sicky? in John Taylor, ed., Moneary Policy Rules, Universiy of Chicago Press, 999. Krugman, Paul, I's Baaack! Japan's Slump and he Reurn of he liquidiy Trap, Brookings Papers on Economic Aciviy, 998:2, pp Reifschneider, David, and John Williams, Three Lessons for Moneary Policy in a Low Inflaion Era, Working Paper, Board of Governors, Federal Reserve sysem, Sepember 999. Roemberg, Julio, and michael Woodford, Ineres Rae Rules in an Esimaed Sicky Price Model, in John Taylor, ed., Moneary Policy Rules, Universiy of Chicago Press, 999. Svensson, Lars, Inflaion Targeing as a Moneary Policy Rule, Journal of Moneary Economics, vol.43(999), pp Svensson, Lars, and Michael Woodford, Implemening Opimal Policy hrough Inflaion-Forecas Targeing, Working Paper, Insiue for Inernaional Economic Sudies, Sockholm Universiy,

18 Taylor, John, Inroducion, in John Taylor, ed., Moneary Policy Rules, Universiy of Chicago Press, 999. Tinsley, P. A., Shor Rae Expecaions, Term Premiums, and Cenral Bank Use of Derivaives o Reduce Policy Uncerainy, Working Paper, Federal Reserve Board, Sepember 998. Woodford, Michael, Commenary:How Should Moneary Policy Be Conduced in an Era of Price Sabiliy, paper presened a he conference, New Challenges for Moneary Policy, held by he Federal Reserve Bank of Kansas Ciy, Augus 26-28, 999a. [Available a Woodford, Michael, Opimal Moneary Policy Ineria, NBER Working Paper No.726, 999b. [Available a Woodford, Michael, Price-Level Deerminaion under Ineres Rae Rules, chp.2, Ineres and Prices, book manuscrip, April 999c. [Available a 422

19 8- π C B A x 423

20 8-2 Hisory-dependen policy (a) (b)

21 :00 6: Nakashama, Kiyoaka, and Makoo Saio, Srong Money Demand and Nominal Rigidiy:Exidence from he Japanese Money Marke June

22 426

23 3 7 VAR 2 Cash-in-Advance Informaive 3 4 k 2 k k 427

24 Wolman 5 VAR 6 7 Block-Recursive Finding 4 7 VAR 428

25 3 accommodae a priori WPI plausible 0 Leader 429

26 0.08% 0.25% M2 M2 M2 M2 M2 M2 M2 2 2 VEC accommodae 2 VEC 430

27 M M 989 VAR VAR AIC 43

28 ( ) 2. (a) ( 2 ) (b) ( 5 6 ) (c) ( ) ( 5 ) (d) ( 4 ) 3. ( 3 7 ) (a) (b) (c) (d) ( 8 ) 2 432

29 :Farmer(996),Nakashima and Saio(2000) (996) ( m - p ) m - p = -α i + β () m m = m α m p = i - β ( ) ( ) e p + p τ (τ =0) - p = α β p + m α β + + α β + τ = - β α p m τ α β τ = 0 α β α β + β p + = p + m β α α < p α m 433

30 p = + p i 3?. (a) 434

31 (b) ( ) (c) 2. (a) (b) 3. (a) (b) (c) (d) 435

財政赤字の経済分析：中長期的視点からの考察

財政赤字の経済分析：中長期的視点からの考察 000 364 645 (ax smoohing (Barro(979 Barro(979 (consumpion smoohing Hall(978 Campbell(987 Barro(979 Hall(978 Campbell(987 Campbell(987 B ( r B G T ( ( r E B G T Y T/Y r ( No Ponzi Game ( [ Ω ] Y ( lim (