FTPL(Fiscal Theory of Price Level)を巡る論点について

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1 ESRI Discussion Paper Series No.35 FTPL(Fiscal Theory of Price Level) By ( ) May 2003 Economic and Social Research Institute Cabinet Office Tokyo, Japan

3 * 本稿の作成に当たり内閣府経済社会総合研究所で開催されたセミナーにおいて渡辺努氏 ( 一橋大学 ) から貴重なコメントを頂いたこと及び同氏をはじめ多数の出席者の方との討論の機会を得たことを感謝いたします残った誤りは筆者の責任に帰するものです 1 内閣府政策統括官 ( 経済財政 - 運営担当 ) 付企画官経済社会総合研究所特別研究員 2 内閣府経済社会総合研究所総括政策研究官

4 1 1 2 FTPL FTPL Ricardian HTPL, TTPL, CTPL, (time-consistency) NR R

5 Abstract This paper surveys and reexamines Fiscal Theory of Price Level s (FTPL, hereafter) theoretical framework as well as empirical and policy implications. A simple theoretical model, which unifies various models and notations scattered in the literature, is presented and reexamined through changes in assumptions underlying the model. Manipulating the assumptions is quite useful to show usefulness and limits of FTPL, which are critically surveyed here. This paper is intended to be more comprehensive than other surveys like Christiano and Fitzgerald (2000) and Kimura (2002) in that this comprises empirical results and policy proposals. FTPL s assertion that today s price level is determined through government s budget constraint could be obscure if assumptions such as monetary policy rule and maturity structure of government debt are altered. It remains to be seen whether Non-Recardian type fiscal policy, which is a critical assumption of FTPL argument, is actually adopted. This paper casts a doubt on validity of FTPL as a policy proposal to overcome Japan s liquidity trap by arguing that the current Japanese macro policies are, in fact, consistent with prescriptions given by FTPL. Hence, a question is Why has not Japan escaped the trap?

6 1 (FTPL, Fiscal Theory of Price Level) FTPL Leeper (1991)Woodford (1994, 1995) Sims (1994)Cochrane (1998) Buiter (2002) FTPL FTPL Christiano and Fitzgerald (2000) (2002) 1970 FTPL FTPL Friedman Friedman Sargent and Wallace (1981) unpleasant monetarist arithmetic monetize k FTPL Sargent and Wallace (1981) Λ1 Sargent and Wallace (1981) (Sargent, 1982) FTPL FTPL 3 4 FTPL 5 FTPL Λ1 Carlstrom and Fuerst (2000) Sargent and Wallace (1981) weak form of FTPL 1

7 6 2 FTPL FTPL MIUMoney-in-Utility Λ2 M t B t Λ3 R t τ t () (2) (1) c t ;M t B t max t=0 β t U(c t ; M t P t ) (1) s.t. M t + B t + P t c t = P t (y t τ t )+M t 1 + R t 1 B t 1 t = 0;1;2;:::: (2) (2) A t ( M t + B t ) A t + P t c t = P t (y t τ t )+(1 R t 1 )M t 1 + R t 1 A t 1 (3) (3) (1) M t ;c t ;y t 0 (FOC, First Order Condition) 2 U c (t) P t = R t β U c(t + 1) P t+1 t = 0;1;2;:::: (4) U m (t) + β U c(t + 1) U c(t) = t = 0;1;2;:::: (5) P t P t+1 P t (separable) Λ4 U(c t ; M t P t ) v(c t )+x(m t ) t = 0;1;2;:::: () (6) c1 η t 1 η + φ m1 η t 1 η () (7) Λ2 Cash-in-Advance(CIA) CIA Woodford (1994), Cochrane (2000), Dupor (2000) Λ3 2 Λ

8 c t g t y t (y t = c t + g t ) P t y t g t (y t = ȳ;g t = ḡ)c t ( c) (4) 2 β = 1=r ( r) r = R t (5)(6)(8) P t P t+1 t = 0;1;2;:::: (8) x 0 (m t )=(1 R 1 t )v 0 ( c) t = 0;1;2;:::: (9) (7) M t 1 1 R t 1 η Rt 1 = c = θ P t φ R t R t 1 η t = 0;1;2;:::: (10) B t NPG (No Ponzi Game) T 1 lim T! R 1 j j=0 A T 0 (11) (3) R 1 A 1 [(R 1 1)M 1 P 0 (y 0 τ 0 c 0 )] + lim T j 1 T! j=1 i=0 R 1 Λ i (R j 1 1)M j 1 P j (y j τ j c j ) (12) (11) (12) (Transversality Condition) R t = R t = 0;1;2;:::: (13) (8) M t + B t + P t τ t = P t g t + M t 1 + R t 1 B t 1 t = 0;1;2;:::: (14) 3

9 A t A t +(R t 1 1)M t 1 + P t τ t = P t g t + R t 1 A t 1 t = 0;1;2;:::: (15) lim T! ψ T 1 R 1 j j=0! A T» 0 (16) NPG R 1 A 1» [(R 1 1)M 1 P 0 (g 0 τ 0 )] + lim T j 1 T! j=1 i=0 R 1 Λ i (R j 1 1)M j 1 P j (g j τ j ) (17) (16) (17) (15) s f t ( τ t g t ) s m t ( (R t 1)M t =P t ) R t 1 A t 1 = P t (s f t + s m t )+A t t = 0;1;2;:::: (18) (8) a t+1 = r a t (s f t + s m t ) Λ t = 0;1;2;:::: (19) a t R t 1 A t 1 =P t A t =P t a R 1A 1 (s 0 = P 0 f i + sm i ) a T i=0 r i + lim T! r T (20) (16) NPG (8) a T lim T! r T = 0 (21) a 0 R 1A 1 = P 0 i=0 (s f t + s m t ) r i (22) 0 0 s t ( st f + st m ) Λ5 s t = s 0 (23) (22) ( sr=(r 1)) a 0 R 1 A 1 P 0 (22) FTPL Non-RicardianNR Λ6 NR P 0 Λ5 (13) s m t (10) s m t = ψ(1 r R )(1 R 1 ) 1 η s f t Λ6 (2002) s t = κ()+()( κ = 0:5) 4

10 2.1.3 (23) (22) P Λ 0 = R 1A 1 =[ sr(r 1) 1 ] (19) (23) a t r (19) 45 a Λ sr=(r 1) = i=0 ) ( s=ri a Λ (11) (16) a t = a Λ ; (t = 0;1;2;::::) 0 a Λ P0 Λ 1 13 (8) (9) (pure interest rate peg) indeterminacy Λ7 NR (8) (9) FTPL (23) s 1 0 < s 2 < s 1 (Woodford, 2001) 4.3 Sargent and Wallace (1981) FTPL (22) 2.2 (22) 0 a R 1A 1 0 = E 0 P 0 i=0 (s f i + sm i ) r i E 0 z 0 (24) (Taylor, 2000) NR (p.153)taylor R Λ7 Sargent (1987) (p.463) McCallum (1981, 1986, 1999) 5

11 1 a t+1 6 Φ ΦΦ Φ ΦΦ ff Φ ΦΦ E Λ Φ ΦΦ ff? Ω ΩΩ Ω ΩΩ Ω ΩΩ F Φ Φ E 0 Φ ΦΦ Ω ΩΩ a t+1 = r(a t s) Ω Ω 45 Ω ΩΩ a t+1 = r(1 ε)a t + s 0? Ω ΩΩ - a Λ a f a 0 Ω ΩΩ Ω ΩΩ a t δ (ffl) =E t (ffl) E t 1 (ffl) P 1 P 1 δ 0 = δ 0 (z 0 ) (25) P 0 R 1 A 1 Christiano and Fitzgerald (2000) Woodford s really unpleasant arithmetic (R t 1)M t Canzoneri, Cumby and Diba (2001a) G7 Λ bp Λ8 GDP

12 2.3 unit of account FTPL Buiter (2002) (phlogiston) Cochrane (1998, 2000) Woodford (1998b) Λ9 Friedman (1999) (checks against reservable bank deposits) (Friedman, 2000) FTPL Cochrane (2000) (Tax Theory of Money) assignats Λ10 (Sargent and Velde, 1995) 2.4 FTPL ffl FTPL ffl FTPL Sargent and Wallace (1981) 3 FTPL Λ9 Λ10 assignats 7

13 3.1 Ricardian (23) FTPL FTPL RicardianR R Λ11 s t = εa t s (26) (19) a t+1 = r(1 ε)a t + s 0 (27) r(1 ε) < 1 1 E 45 s 0 [1 r(1 1 ε)] (23) NR (26) R a f E E 3.2 M t+1 = µ (28) M t (8) (9) β v 0 ( c)m t+1 = µm t (v 0 ( c) x 0 (m t )) (29) m t Obstfeld and Rogoff (1983) (29) A(m t+1 );B(m t ) 2 ffl m 0 m Λ P 0 = M 0 =m Λ 2 2 m Λ (28) µ ffl m 0 m Λ (i) lim m!0 mx 0 (m) < 0 m 0 (ii) lim m!0 mx 0 (m) =0 2 Λ11 Christiano and Fitzgerald (2000) 8

14 2 6 B(m t ) Φ ΦΦΦΦ A(m t+1 ) Φ ΦΦΦΦ ff Φ ΦΦΦΦ ffφ ΦΦΦΦ 0? m 0 m Λ - m t ;m t+1 A(m t+1 ) β v 0 ( c)m t+1 ; B(m t ) µm t (v 0 ( c) x 0 (m t )) m 0 = m 0 m = 0 self-fulfilling ffl m 0 m Λ (11) 5.2 Buiter (2002) McCallum (2002) (i) 2 m Λ (ii) Λ12 Λ12 McCallum (2002) FTPL Evans and Honkapohja (2001) E-stable 9

15 3.3 Buiter (2002) NR (14) M t + D t B t + P t τ t = P t g t + M t 1 + D t 1 R t 1 B t 1 (30) D t Λ13 D t = 1 (30) ã t ( R t 1 (M t 1 + D t 1 B t 1 )=P t ) Buiter (2002) Cushing (1999) FTPL D t D t P t 3.4 HTPL, TTPL, CTPL,... FTPL HTPL (15) (y t = c t + g t ) (2) (15) (2) FTPL FTPL HTPL(Household Theory of Price Level) (Buiter, 2002) Λ14 TTPL FTPL HTPL TTPLToyota Theory of Price Level Sims (1999), Cochrane (2000) t k t Q t PR t σ ( Q t k t =[Q t k t PR t ]) PR t =[ Q t σt ] E-stable FTPL E-stability learnability Λ13 D t D t» 1 D > 1 D t 3.6 Λ14 Bergin (2000, p.38) The fiscal theory suggests that the price level is determined by the need to set a real value for nominal household wealth that is consistent with equilibrium. The household intertemporal budget constraint then is regarded as the condition that determines the equilibrium price level. 10

16 » k t+1 = σ t k PR t t t = 0;1;2;:::: (31) Q t Q 1 k 1 = i=0 PR i r i (32) 2 (16) (22) k t A t σ t R t PR t s t Q t P t 1 Λ15 FTPL unit of account TTPL equity bond (Cochrane, 2003) CTPL Too big to fail (Sims, 1999) FTPL Λ FTPL CTPL (Corporate Theory of Price Level) ( j = 1) 2 ( j = 2) 2 1 Canzoneri et al. (2001a) ( (1) (2)) max U(c 1;t + c 2;t; M 1;t P 1;t ; M 2;t ) v(c 1;t + c 2;t )+x 1 (m 1;t )+x 2 (m 2;t ) (33) P 2;t s.t. M 1;t + B 1;t + e t (M 2;t + B 2;t )+P 1;tc 1;t + e t P 2;tc 2;t = P 1;t (y 1;t τ 1;t )+e t P 2;t (y 2;t τ 2;t )+M 1;t 1 + R 1;t 1B t 1 + e t (M 2;t 1 + R 2;t 1B 2;t 1) (34) FOC (8) (9) 2 r = R j;t P j;t P j;t+1 j = 1;2;t = 0;1;2;:::: (35) x 0 (m j;t )=(1 R 1 j;t )v0 (c t )=(1 R 1 j;t )v0 ( c) j = 1;2;t = 0;1;2;:::: (36) Λ st m = 0 Λ16 M inside money outside money 11

17 P 1;t = e t P 2;t t = 0;1;2;:::: (37) P 2;t = 1 (13) NR P 1;t (15) e t st m R 1 B 1 s = ē f i + sm i r i (38) ē (38) R NR (Giavazzi and Pagano (1988) ) FTPL (33) (34) (8) (9) (ω j;t) i=0 R j;t 1A j;t 1 = P j;t(s f j;t + ω j;ts m t )+A j;t t = 0;1;2;:::: j = 1;2 (39) NPG HTPL 2 NR 1 NR NR 2 1 Ponzi Game R Λ17 NPG (i) NPG (ii) 1 NR 2 R 1 2 (i) (iii) NR Dupor (2000) 1 2 PG NR Λ17 B A,B B Bergin (2000) 12

18 R ( Canzoneri et al., 2001a) k (k 2) Cochrane (2001) t j B t ( j) B t ( j) =0 j» t Pt b ( j) Pb t (t) =1 (18) B t 1 (t)+ j=1 P b t (t + j)b t 1(t + j) =P t s t + B t 1 (t) j=1 j=1 P b t (t + j)b t(t + j) t = 0;1;2; (40) P b t (t + j)[b t(t + j) B t 1 (t + j)] = P t s t (41) Pt b ( j) ( c) Pt b (t + j) =E t β j u0 (c t+ j ) u 0 (c t ) (41) B t 1 (t) P t j=1 B t 1 (t) P t + j=1 p t p t+ j = β j pt E t p t+ j (42) 1 β j E t [B t (t + j) B t 1 (t + j)] = s t (43) p t+ j 1 β j E t B t 1 (t + j) =E t p t+ j j=1β j s t+ j (44) s t ;B t (t + j); j = 1;2;:::: (22) (22) P t (41) t Pt b (t + j) Pb t (t + j) P0 b ( j) P 0 (43) (44) P (22) p t = B t 1 (t)= j=0 β j s t+ j t B t (t + j) =B t 1 (t + j) 43 p t = B t 1 (t)=s t 13

19 k 43 B t k (t) 1 β k E t B t (t + k) =s t P t p t+k p t = B t k (t) E t j=0 β jk s t+ jk = B t 1 (t) E t j=0 β jk s t+ jk k Λ18 FTPL t k Λ19 B t (t + k) = B t+1 (t + k) =::: = B t+k 1 (t + k) > 0 t+k 43 B t+k 1 (t + k) P t+k j=1 1 β j E t [B t+k (t + k + j) B t+k 1 (t + k + j)] = s t+k (45) p t+k+ j 1 B t+k 1 (t +k) P t+k t+k-1 B t+k 2 (t + k 1) P t+k 1 j=1 β j E t 1 p t+k 1+ j [B t+k 1 (t + k 1 + j) B t+k 2 (t + k 1 + j)] = s t+k 1 (46) 2 P t+k 1 B t+k 2 (t + k) P t+k 1 P t+k t + k 1 P t+k > P t+k 1 > ::: > P t+1 > 0 P t 43B t (t + k) P t+ j ; j = 1;2;:::;k Cochrane (2001) P t ( P t < 0) 1 k () (OMO) B t+ j 1 (t + j); j = 0;1;:::;k B t+ j 1 (t + j) =0 (i) long memory process (ii) 2 FTPL FTPL DMTPL (Debt Management Theory of Price Level) Λ18 2 B t (t + j) =B t+ j 1 (t + j)φ j B t 1 (t) =B t 1 (t + j)θ j p t = B t 1 (t)=[φs t + E t j=0 β j s t+ j ] φ Λ19 (2000) 14

20 (Missale and Blanchard, 1994) FTPL 3.7 (time-consistency) FTPL (perishables) 2.2 Λ20 FTPL Bohn (1998b) FTPL NR NR Cochrane (2001) (23) NR s t < 0 s t+ j (= s t =r i ) > 0 s Canzoneri, Cumby and Diba (2001b) R Bohn R Cochrane (2000) (32) Λ21 (32) Λ20 Bohn (1988) lump sum Λ21 (2) FOC c t ( c) (32) 15

21 (costly) Bassetto (2002) McCallum (1999, 2002) (29) ffl R FTPL ffl FTPL ffl FTPL ffl ffl ffl FTPL R 4 NR R FTPL NR R NR 16

22 Λ22 FTPL FTPL FTPL FTPL R NR Hamilton and Flavin (1986) (22) NR (Hamilton and Flavin, 1986) (Wilcox, 1989) Ahmed and Rogers (1995) (τ t ;g t ;r t 1 b t 1 ) cointegration vector (1, -1, -1) cointegrate (= τ t g t r t 1 b t 1 ) stationary process Λ23 Λ24 Fukuda and Teruyama (1994) Hamilton and Flavin (1986) Cointegration Λ25 R NR FTPL Roseveare, Leibfritz, Fore and Wurzel (1996) Ahmed and Rogers (1995) Λ26 Λ22 (30) surprise surprise Hall (1978) FTPL forward looking surprise Λ23 Ponzi Game Λ24 cointegration vector Λ25 structural break 1975 Λ26 17

23 4.1.2 Bohn (1998a) (26) GDP ε Λ27 Ihori, Doi and Kondo (2001) Bohn (1998a) 1990 OECD (2002) OECD (1) 1990 EMU (2) Ihori et al. (2001) ε R R NR R backward looking NR forward looking backward-looking R forward-looking NR (i) GDP (ii) Λ28 FTPL NR (i) (1998) Λ27 GDP (Barro, 1979) Λ28 NR 18

24 4.2 NR R Canzoneri et al. (2001b) R (26) NPG (26) s t = ε t b t + ζ t 0» ε t» 1 limsupε t > ε Λ > 0 ε Λ R NR Woodford (1995) R N NR R NR R NR R NR (Canzoneri, Cumby and Diba, 2002) Forward-looking R NR Canzoneri et al. (2001b) GDP VAR forward looking backward looking s t a t+ j,( j = 1;2;3:::) s t R NR NR s t s t+ j a t Canzoneri et al. (2001b) R (2002) R 1990 R (p.173) Canzoneri et al. (2001b) R Cochrane (2001) 19

25 FTPL () Λ29 NR FTPL (2000) Λ30 (p.200) Cochrane (2001) joint process misspecification Canzoneri et al. (2001b) joint process R FTPL FTPL 1 (strong exogeneity) R NR Burnside, Eichenbaum and Rebelo (2001) CTPL FTPL Sargent and Wallace (1981) FTPL Λ29 Cochrane (2001) Λ30 (2000) 1973,74 71,72 66,67 1/41/ ,

26 1 (2002) (90 ) 1990 (2002) Perotti (1999) Sutherland (1997) Λ31 FTPL Λ32 NR (41) (30) FTPL FTPL 1990 Sargent and Wallace (1981) monetization FTPL 4.3 FTPL s t w w = sr=(r 1) = 1:05 w = 21s s w = 21 s (i) 0.1 GDP Λ33 (ii) Λ FTPL Λ32 Woodford (1996, 1998b)Canzoneri and Diba (2000) y t U c (4) (22) (2002) 1 1 (41) Λ33 IMF, Japan 2000 Article IV Consultation 21

27 GDP P P GDP = 0.2 GDP = s GDP (47) P=P 1 s s=gdp = 238 s GDP (i),(ii) 0.4 Λ34 s=gdp = 28 1 Woodford (2001) R NR (Lucas critique)ftpl NR R ffl FTPL N NR ffl R NR ffl FTPL FTPL ffl 5 FTPL ( ) FTPL NR Λ34 (i) 0.4 CEA, The Economic Report of President

28 5.1 (8) Pt R t = R(π t ) π (48) P t 1 = α 0 + α 1 π t () (49) Taylor (1999) α Λ35 Clarida, Gali and Gertler (1998) (49) forward looking G Forward looking α 1 > 1 α 1 < 1 (accommodate) Clarida, Gali and Gertler (2000) (8) (49) π t+1 = α 0 r + α 1 r π t (50) α 1 =r π Λ ( α 0 =(r α 1 )) 4 R NR (22) P 0 P 0 =P 1 π Λ (49) Woodford (1996, p.707,714) (49) α 1 = 1:5 R Λ36 Loyo Λ35 Taylor rule (Taylor, 1993) GDP y Λ36 Woodford Leeper (1991) passive (Woodford, 1998a, p.407) (2000) passive active FTPL Clarida et al. (1998) Canzoneri et al. (2001b) (2002) R 23

29 3 π t+1 6 Ω ΩΩ - -6 Ω ΩΩ E Λ ffω ΩΩ ff? Ω ΩΩ Ω Ω Ω ΩΩ π t+1 = α 0 r + α 1 r π t 45 π Λ - π t (1997) NR 5.2 Benhabib, Schmitt-Grohe and Uribe (2001, 2002) (48) (i) R (R 0 (π) > 0)(ii) (R(π) 1) (8) (48) 2 4 E E π Λ π L π L < 1 E (4) (5) (4) (U c (t)) (5) Edgeworth complements, U cm (t) > 0) R E E E R E 24

30 R 4 R(π t ) rπ t+1 6 E 1:0 ff? E 0 π L ff? π Λ - π R π R 1 NR (26) (i) π > π(> π L ) ε > r r(1 ε) < 1(ii) π» π ε < r r(1 ε) > 1 E E NR Woodford s really unpleasant arithmetic 2.2 E m 0 > m Λ Benhabib et al. (2002) R Λ37 NR m Λ 4 E R E Λ37 R R 25

31 NR Benhabib et al. (2002) 5.3 FTPL FTPL NR Benhabib et al. (2002, p ) (15) a T lim T! r T = lim T a 0 T! t=0 R 1 t (51) (R t = 1) NR Λ38 Λ39 R Benhabib et al. (2002) A t+1 = k (52) A t k R(π L ) < k < R(π Λ ) (53) (21) (53) FTPL Λ38 (2002, p.173) Λ39 OECD, Economic Outlook 72 (Dec. 2002) 2002 GDP t t OECD broadly neutral 26

32 NR 30 FTPL Λ40 FTPL Λ FTPL FTPL (22) (2002) FTPL Λ Λ43 FTPL FTPL FTPL Λ44 Λ40 Missale, Giavazzi and Benigno (2002) Λ Λ42 (2002) Λ Λ44 (i) (ii) (iii) 27

33 FTPL (2002) (22) OECD G7 3 FTPL Λ ffl R ffl NR ffl FTPL ffl FTPL ffl FTPL 6 FTPL Λ45 (2002) FTPL FTPL FTPL 28

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