資産価格と物価：バブル生成から崩壊にかけての経験を踏まえて

Size: px

Start display at page:

Download "資産価格と物価：バブル生成から崩壊にかけての経験を踏まえて"

あきみわたぬき
5 years ago
Views:

2 CPIWPIGDP GDP FRBAchieving Price Stability Greenspan

3 CPIWPI WPIWPI

5 Alchian and Klein1973intertemporal cost of living index ICLI

6 ICLI DEPI: dynamic equilibrium price indexdepialchian and Klein ICLIGDP p t q t α 1 α p t q t DEPI 0t =. p 0 q 0 αα =ρ/+ ρ ρ ShiratsukaDEPI GDP ShiratsukaFigure DEPI α α t =(1+ρ) t / s = 0 (1+ρ) s ρ DEPI DEPI

7 DEPIGDP DEPIGDP DEPI GDP DEPIGDP DEPI DEPI DEPI DEPI Shiratsukab ShiratsukabDEPIGDPGDP VARvector autoregression

8 DEPI DEPI DEPI DEPI DEPI MPKr π q / p Shiratsukaa

9 q / p = MPK/ (r π ) Bernanke and Gertler external finance premium

10 Kent and Lowe Bernanke, Gertler, and Gilchrist inancial accelerator

11 misguided prices GDP Crockett1998 the prevailing consensus is that monetary policy should not target asset price in any direct fashion but should rather focus on achieving price stability in goods markets and creating financial systems strong enough to survive asset price instability.

12 Bernanke and GertlerBernanke and Gertler flexible inflation targeting GDP Taylor i t = i + β (π t π )+γ ( y t y ) i t t i π t t π y t t GDPy GDP GDP GDP GDP GDP Bernanke and Gertler MeyerGDP GDP GoodhartGDP

13 Bernanke and Gertler Bernanke and Gertler

14 Bernanke and Gertler GDP Orphanides et al. Bernanke and Gertler I don t see how a central bank can increase interest to 8 or 10% when we don t have inflation at all. Yamaguchi Bernanke and Gertler Bernanke and Gertler

15 GDP GDP GDP GDPGAPGDPGAP GAP

16 GDPGAPGDPGAP GAP GAP GDP GAP GDPGAPGAP GDP GDP ρ i t =(1 ρ)[i + β (π e t π )+γ (y t y )]+ρi t 1 GDPβ γ ρ GDP GAPGDP GDP GDP GAP GDPy Amato and Laubach

17 e i t =1 ρ i + β π t π * + γy t y* + ρi t 1 t i t i e π t y t y * t ρ ρ

18 FRBMeyer GDP GDP GDP GDP Nonlinear Taylor Rule under Uncertainty GDPGDP best estimate GDP Orphanides and Wilcox GDP

19 Clarida, Gali, and Gertler Goodfriend

20 FRBBlinder Goodfriend

21 lexicographic ordering

22 too little, too late Brainardconservative Blinder Stock

24 Crockett2000 the economic history of the twentieth century can be seen as a quest to simultaneously secure the elusive twin goals of monetary and financial stability. GDP

26 Kindleberger cookbook rules of the game 26 Kindleberger1995 When speculation threatens substantial rises in asset prices, with a possible collapse in asset markets later, and harm to the financial system, or if domestic conditions call for one sort of policy, and international goals another, monetary authorities confront a dilemma calling for judgment, not cookbook rules of the game. It is, I believe, realistic.

27 GDP Alchian, Armen A., and Benjamin Klein, On A Correct Measure of Inflation, Journal of Money, Credit, and Banking, 5 (1), 1973, pp Amato, Jeffery D., and Thomas Laubach, The Value of Interest Rate Smoothing: How the Private Sector Helps the Federal Reserve, Economic Review, Federal Reserve Bank of Kansas City, Third Quarter, 1999, pp Bernanke, Ben S., and Mark Gertler, Inside the Black Box: The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives, 9 (4), 1995, pp , and, Monetary Policy and Asset Price Volatility, Economic Review, Federal Reserve Bank of Kansas City, Fourth Quarter, 1999, pp ,, and Simon Gilchrist, The Financial Accelerator and the Flight to Quality, Review of Economics and Statistics, 78 (1), 1996, pp Blinder, Alan S., Central Banking in Theory and Practice, MIT Press, Borio, C. E. V., N. Kennedy, and S. D. Prowse, Exploring Aggregate Asset Price Fluctuations Across Countries: Measurement, Determinants and Monetary Policy Implications, BIS Economic Papers, No. 40, Brainard, William, Uncertainty and the Effectiveness of Policy, American Economic Review, 57 (2), 1967, pp

28 Clarida, Richard, Jordi Galí, and Mark Gertler, The Science of Monetary Policy: A New Keynesian Perspective, Journal of Economic Literature, 37 (4), 1999, pp Crockett, Andrew, Introduction," in BIS ed. Asset Prices and Monetary Policy: Four Views, Centre for Economic and Policy Research, 1998., In Search of Anchors for Financial and Monetary Stability, speech given at SUERF Colloquium, Vienna, April 27-29, Goodfriend, Marvin, Interest Rates and the Conduct of Monetary Policy, Carnegie-Rochester Conference Series on Public Policy, 34, 1991, pp , Financial Stability, Deflation, and Monetary Policy, Monetary and Economic Studies, 19 (S-1), Institute for Monetary and Economic Studies, Bank of Japan, 2001 (forthcoming). Goodhart, Charles A. E., Central Bankers and Uncertainty, Proceedings of the British Academy, 101, 1999, pp Greenspan, Alan, Opening Remarks, in Achieving Price Stability: Federal Reserve Bank of Kansas City, Kent, Christopher, and Philip Lowe, Asset-Price Bubbles and Monetary Policy, Research Discussion Paper, No. 9709, Reserve Bank of Australia, Kindleberger, Charles P., Asset Inflation and Monetary Policy, BNL Quarterly Review No. 192, 1995, pp Meyer, Laurence, Structural Change and Monetary Policy, Oliner, Stephen, and Daniel Sichel, Computers and Productivity Growth in the 1990s, mimeo, Orphanides, A., R. D. Porter, D. Reifschneider, R. Tetlow, and F. Finan, Errors in the Measurement of the Output Gap and the Design of Monetary Policy, Finance and Economics Discussion Series, No , Board of Governors of the Federal reserve System, 1999., and David W. Wilcox, The Opportunistic Approach to Disinflation, FRB Finance and Economics Discussion Paper, No , Shiratsuka, Shigenori, Measurement Errors in the Japanese Consumer Price Index, Monetary and Economic Studies, 17 (3), Institute for Monetary and Economic Studies, Bank of Japan, 1999a, pp , Asset Price Fluctuation and Price Indices, Monetary and Economic Studies, 17 (3), Institute for Monetary and Economic Studies, Bank of Japan, 1999b, pp Stock, James H., Monetary Policy in a Changing Economy: Indicators, Rules, and the Shift Toward Intangible Output, IMES Discussion Paper, No. 99-E-13, Institute for Monetary and Economic Studies, Bank of Japan, Taylor, John B., Discretion versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 39, 1993, pp Yamaguchi, Yutaka, Asset Price and Monetary Policy: Japan s Experience, in New Challenges for Monetary Policy, Federal Reserve Bank of Kansas City, 1999.

資産価格バブルと金融政策：1980年代後半の日本の経験とその教訓

資産価格バブルと金融政策：1980年代後半の日本の経験とその教訓 foreward-looking E-mail: kunio.okina@boj.or.jp E-mail: masaaki.shirakawa@boj.or.jp E-mail: shigenori.shiratsuka@boj.or.jp Cargill, Hutchison, and Ito GDP GDP GDP Morgan Stanley Capital Internationalhttp://www.msci.com