Evolution of Macroeconomics and Monetary Theory after World War II In this paper, I trace the evolution of macroeconomics and monetary theory during t

Size: px

Start display at page:

Download "Evolution of Macroeconomics and Monetary Theory after World War II In this paper, I trace the evolution of macroeconomics and monetary theory during t"

ときふじつぐ
5 years ago
Views:

2 Evolution of Macroeconomics and Monetary Theory after World War II In this paper, I trace the evolution of macroeconomics and monetary theory during the entire postwar period. At the beginning of this period, the predominant view was Keynesian. However, by the end of the 1960s, this view was subjected to strong criticism. M. Friedman s Monetarism came to occupy center stage in the 1970s, and its offshoot, Monetarism Mark II, became the norm for macroeconomics in the 1980s. The Keynesians, however, revamped their model by incorporating microeconomic foundations, and the resulting New Keynesian macroeconomics emerged in the 1980s. Ironically, macroeconomics turned away from monetary variables towards real variables, and by the turn of the century, macroeconomics seemed to have achieved a consensus under the name, Dynamic Stochastic General Equilibrium Model. This model, however, proved utterly inadequate to cope with the aftermath of the global financial crisis of 2008/2009. Kenjiro Hirayama JEL E00, E10, E40, E50, E60, B22 Keywords Macroeconomics, Monetary Theory, Rational Expectations, Optimization, Monetarism, Monetary Policy * 35

3 (DSGE) A Monetary History of the United States (

4 1) k% ) vs. k% 1980 C.A.E ) 1) De Long (2000). 2) Kydland and Prescott (1977). 3) Goodhart (2003), p

5 II ) ) 4) Klein (1947). 5) (2009) 38

6 6) 7) (2004) 6) For if competition between unemployed workers always led to a very great reduction of the money-wage, there would be a violent instability in the price-level. (Keynes (1936), p. 253) p ) (1994), p

7 65 4 8) J. 9) 8) pp (neo-classical synthesis) Skousen (1997) Economics (1955 ) 9) (2001), p. 9 Blaug (1990), p

8 1977 R.E % 10) 1959 ( ) CEA W.R. 10) (1995), pp

9 65 4 P.A. J. R. J.K. 11) M = kp y M/P = L(i, y) M k k P y L( ) i k y M P y P 11) Friedman and Heller (1969). 42

10 M i P i M (kp y) 43

11 ) M P cause P M cause 12) Stiglitz and Greenwlad (2003), pp

12 13) ) auctioneer (new classical macroeconomics) (microeconomic foundations) 15) 16) 13) 1948 Dillard (1948), p ) Leijonhufvud (1968), p ) Clower (1965). 16) Lucas and Rapping (1969). 45

13 ) 1% 3% A Monetary History of the United States ) The Role of Monetary Policy 1968 American Economic Review 19) ) Phillips (1958). 18) Temin (1976), p ) Friedman (1968). 46

14 OECD, Main Economic Indicators. CPI 1: ( ) 20) 20) Tobin (1995), p

16 ) ) k% 5 II 1970 II 23) 24) (adaptive expectations) P t t E t(p t+1) t t + 1 P 21) (2008), p ) (1975). 23) Tobin (1980). 24) Lucas (1972), Sargent and Wallace (1975), Barro (1977) 49

17 65 4 E t (P t+1 ) = λp t + (1 λ)e t 1 (P t ) = E t 1(P t) + λ(p t E t 1(P t)) (1) 0 < λ < 1 (1) E t (P t+1 ) P t E t 1(P t) P t λ 1 λ 5% 10% 10% (backward looking) (1) 1 E t 1 (P t ) (1) E t 2(P t 1) (1) E t (P t+1 ) = λp t + (1 λ)λp t 1 + (1 λ) 2 λp t 2 + = + (1 λ) 3 λp t 3 + (1 λ) 4 λp t 4 + (2) λ 1 (1 λ)l P t L backward looking solution 50

18 R.E. T ) 3 y t = γ(p t t p t 1) + λy t 1 + u t (3) m t p t = y t + ɛ t (4) tp t 1 = E(p t I t 1) (5) 1 (3) 26) y t p t tp t 1 u t (4) LM 27) ɛ t u t (5) ( t p t 1) I t 1 t 1 (4) I t 1 25) Sargent (1987), pp ) Lucas (1972). signal extraction Lucas surprise supply function island economy 27) M = kp y k P y 51

19 65 4 E(p t I t 1 ) = E(m t I t 1 ) E(y t I t 1 ) (3) 5) E(y t I t 1) = λy t 1 (3) y t = γ(m t y t ɛ t E(m t I t 1 ) + E(y t I t 1 )) + λy t 1 + u t (6) (1 + γ)y t = γ(m t E(m t I t 1 )) γɛ t + (γ + 1)λy t 1 + u t or y t = γ 1 + γ (m t E(m t I t 1 )) γ 1 + γ ɛ t γ u t + λy t 1 (7) (7) y 1 y I t 1 E(y t I t 1 ) = λy t 1 (7) m t = E(m t I t 1 ) y (7) y (3) (5) 52

20 1 1 10% 10% Barro (1974) 100% 28)29) 28) Barro (1974) O Driscoll (1977) 29) 53

21 65 4 Kydland and Prescott (1977) (time inconsistency) Kydland and Prescott (1982) (Real Business Cycle Theory) IS/LM LM Blinder and Solow (1973) 54

22 Blinder (1998) 30) ) Lucas (1976). 55

23 65 4 II I 1980 II ) 32) ) Fischer (1988) Mankiw (1988). 32) Fischer (1988), p

24 After Keynesian Macroeconomics 33) How Dead is Keynes? 34) 40 35) ) ( ) 33) Lucas and Sargent (1978). 34) Tobin (1977). 35) Mankiw (1992), p ) Fischer (1977) Taylor (1980) 57

25 65 4 mildly procyclical 37) 38) 1980 (implicit contract) 39) 37) Fischer (1988), p ) Mankiw (1985), Akerlof and Yellen (1985), Blanchard and Kiyotaki (1987). 39) Azariadis (1975). 58

26 (efficiency wage) 40) The Fall and Rise of Keynesian Economics 1992 The Reincarnation of Keynesian Economics 41) 40) Yellen (1984) Katz (1986) Mankiw (1990), p ) Blinder (1988) Mankiw (1992). 59

27 II ) M1 M2 43) 1980 M1 M1 5 44) B ) Macroeconomics and Reality 46) 1972 cause 42) Goldfeld (1976). 43) Judd and Scadding (1982). 44) Friedman (1988), p ) Nelson (2007), p. 166 M1 M2 M. 46) Sims (1980). VAR (Vector Autoregression) 60

28 47) 1980 VAR (Vector Autoregression) 6 VAR ) (New Classical Macroeconomics) Snowdon et al. (1994) Hoover (1988) ( (model-free estimation) VAR recursive Cholesky VAR (Bernanke (1986)) VAR (2006) VAR 47) Sims (1972). 48) Snowdon et al. (1994) p

29 (RBC, Real Business Cycle) 49) ) I RBC RBC 1980 stylized facts counter-cyclical 49) Long and Plosser (1983), Barro and King (1984), Prescott (1986) 50) King and Plosser (1984). 62

30 Snowdon et al. (1994), p : Y = F (L) L pro-cyclicality RBC 51) 2 AD) AS) AS AS AD a b P 0 P 2 P 0 P 1 counter-cyclical pro-cyclical stylized fact 51) Snowdon et al. (1994), pp

31 65 4 7? ) 1994 Monetary Policy without Monetary Aggregates 53) 1990 D. Keynesian Macroeconomics without the LM Curve LM 54) 2007 How the World Achieved the Consensus on Monetary Policy 55) Is There a New Consensus in Macroeconomics? 56) (2007) Ljungqvist and Sargent (2004) McCandless (2008) Bénassy (2011) Woodford (2003) Galí (2008) Walsh (2010) 52) Bindseil (2004) 53) McCallum (1994). 54) Romer (2000). 55) Goodfriend (2007). 56) Arestis (2007). 64

32 (NKPC, New Keynesian Phillips Curve) 57) DSGE (Dynamic Stochastic General Equilibrium) O/S) 58) 57) NKPC (2008) NKPC 58) (1999), pp. i-ii. 65

33 ) Journal of Economic Perspectives 20 4 Macroeconomic Lessons The Macroeconomist as Scientist and Engineer 60) 180 CEA( CEA 1960 MPS 61) 62) L ) 59) Chari and Kehoe (2006), p ) Mankiw (2006). 61) MPS MIT-Penn-SSRC 62) Ibid., p ) Meyer (2004). 66

34 ) 8 (saltwater economists) (freshwater economists) CEA freshwater economists R ) ) Mankiw (2006), pp ) Lucas (2003). 67

35 (efficient-market hypothesis: EMH) 1 66) (National Economic Council, NEC) L. Financial Times 67) DSGE Financial Times The unfortunate uselessness of most state of the art academic monetary economics 68) B. New York Review of Books The Failure of Economics & the 66) (2011), p ) ) Buiter (2009). 68

36 Economists 69) DSGE DSGE ) DSGE DSGE (fire sale) (periphery) IS/LM ) Friedman (2009). 70) Caballero (2010), pp

37 ) CDS II DSGE) ) 1999 Bernanke et al. (1999) 70

38 DSGE 71

39 65 4 M. 72) (2009) CERN) 72) Friedman (1953) F53 Mäki (2009) 72

40 Akerlof, George A. and Janet L. Yellen (1985) A Near-Rational Model of the Business Cycle, with Wage and Price Inertia, Quarterly Journal of Economics, Vol. 100, No. 5, pp Arestis, Phillip ed. (2007) Is There a New Consensus in Macroeconomics?, Basingstoke, Hampshire, UK: Palgrave Macmillan. Azariadis, Costas (1975) Implicit Contracts and Underemployment Equilibria, Journal of Political Economy, Vol. 83, No. 6, pp Barro, Robert J. and Robert G. King (1984) Time-Separable Preferences and Intertemporal-Substitution Models of Business Cycles, Quarterly Journal of Economics, Vol. 99, No. 4, pp Barro, Robert J. (1974) Are Government Bonds Net Wealth?, Journal of Political Economy, Vol. 82, No. 6, pp (1977) Unanticipated Money Growth and Unemployment in the Unites States, Americal Economic Review, Vol. 67, No. 2, pp Bénassy, Jean-Pascal (2011) Macroeconomic Theory, Oxford: Oxford University Press. Bernanke, Ben S., Mark Gertler, and Simon Gilchrist (1999) The Financial Accelerator in a Quantitative Business Cycle Framework, in John B. Taylor and Michael Woodford eds. Handbook of Macroeconomics, Vol. 1C, pp Bernanke, Ben. S. (1986) Alternative Explanations of the Money-Income Correlation, Carnegie-Rochester Conference Series on Public Policy, Vol. 25, pp Bindseil, Ulrich (2004) Monetary Policy Implementation: Theory-Past-Present, Oxford: Oxford University Press. Blanchard, Olivier J. and Nobuhiro Kiyotaki (1987) Monopolistic Competition and the Effects of Aggregate Demand, American Economic Review, Vol. 77, No. 4, pp Blaug, Mark (1990) John Maynard Keynes: Life, Ideas, Legacy, London: Macmillan. ( 1991 ). 73

41 65 4 Blinder, Alan S. and Robert M. Solow (1973) Does Fiscal Policy Matter?, Journal of Public Economics, Vol. 2, No. 4, pp Blinder, Alan S. (1988) The Fall and Rise of Keynesian Economics, Economic Record, Vol. 64, No. 187, pp (1998) Central Banking in Theory and in Practice, Cambridge, MA: M.I.T. Press. (The Lionel Robbins Lectures). Buiter, Willem (2009) The unfortunate uselessness of most state of the art academic monetary economics. the-unfortunate-uselessness-of-most-state-of-the-art-academic-monetaryeconomics/#axzz1x8yobrcj. Caballero, Ricardo J. (2010) Macroeconomics after the Crisis: Time to Deal with the Presente-of-Knowledge Syndrome, Journal of Economic Perspectives, Vol. 24, No. 4, pp Chari, V.V. and Patrick J. Kehoe (2006) Modern Macroeconomics in Practice: How Theory Is Shaping Policy, Journal of Economic Perspectives, Vol. 20, No. 4, pp Clower, Robert W. (1965) The Keynesian Counter-Revolution: A Theoretical Appraisal, in F.H. Hahn and F. Brechling eds. The Theory of Interest Rates, London: Macmillan, pp De Long, J. Bradford (2000) The Triumph of Monetarism?, Journal of Economic Perspectives, Vol. 14, No. Winter, pp Dillard, Dudley (1948) The Economics of John Maynard Keynes: The Theory of a Monetary Economy, New York: Prentice-Hall. Fischer, Stanley (1977) Long-Term Contracts, Rational Expectations, and the Optimal Money Supply rule, Journal of Political Economy, Vol. 85, No. 1, pp (1988) Recent Developments in Macroeconomics, Economic Journal, Vol. 98, No. 391, pp Friedman, Milton and W.W. Heller (1969) Monetary vs. Fiscal Policy, New York: W.W. Norton. Friedman, Milton (1953) The Methodology of Positive Economics, in Essays in Positive Economics, Chicago: Chicago University Press, pp (1968) The Role of Monetary Policy, American Economic Review, Vol. 63, No. 1, pp Friedman, Benjamin M. (1988) Lessons on Monetary Policy from the 1980s, Journal of Economic Perspectives, Vol. 2, No. 3, pp

42 (2009) The Failure of Economics & Economists, New York Review of Books. May 28, Galí, Jordi (2008) Monetary Policy, Inflation, and the Business Cycle, Princeton: Princeton University Press. Goldfeld, Stephen M. (1976) The Case of the Missing Money, Brookings Papers on Economic Activity, Vol. 3, pp Goodfriend, Marvin (2007) How the World Achieved Consensus on Monetary Policy, Journal of Economic Perspectives, Vol. 21, No. 4, pp Goodhart, Charles A.E. (2003) A Central Bank Economist, in Paul Mizen ed. Central Banking, Monetary Theory and Price, Cheltenham, UK: Edward Elgar, pp Hoover, Kevin D. (1988) The New Classical Macroeconomics: A Sceptical Inquiry, Oxford: Basic Blackwell. Judd, John P. and John L. Scadding (1982) The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature, Journal of Economic Literature, Vol. 20, No. 3, pp Katz, Lawrence (1986) Efficiency Wage Theories: A Partial Evaluation, NBER Macroeconomics Annual, Vol. 1, pp Keynes, John M. (1936) The General Theory of Employment, Interest and Money, London: Macmillan. ( ). King, Robert G. and Charles I. Plosser (1984) Money, Credit, and Prices in a Real Business Cycle, American Economic Review, Vol. 74, No. 3, pp Klein, Lawrence R. (1947) The Keynesian Revolution, New York: Macmillan. ( 1952 ). Kydland, Finn E. and Edward C. Prescott (1977) Rules Rather than Discretion: The Inconsistency of Optimal Plans, Journal of Political Economy, Vol. 85, No. 3, pp (1982) Time to Build and Aggregate Fluctuations, Econometrica, Vol. 50, No. 6, pp Leijonhufvud, Axel (1968) On Keynesian Economics and the Economics of Keynes, New York: Oxford University Press. ( 1978 ). Ljungqvist, Lars and Thomas J. Sargent (2004) Recursive Macroeconomic Theory, Cambridge, MA: The MIT Press, 2nd edition. 75

43 65 4 Long, J. B. and Charles I. Plosser (1983) Real Business Cycles, Journal of Political Economy, Vol. 91, No. 1, pp Lucas, R.E. and L.A. Rapping (1969) Real Wages, Employment, and Inflation, Journal of Political Economy, Vol. 77, No. 5, pp Lucas, Robert E. and Thomas J. Sargent (1978) After Keynesian Macroeconomics, in After the Phillips Curve: Persistence of High Inflation and High Unemployment. Lucas, Robert E. (1972) Expectations and the Neutrality of Money, Journal of Economic Theory, Vol. 4, No. 2, pp (1976) Econometric Policy Evaluation: A Critique, Carnegie-Rochester Conference Series on Public Policy, Vol. 1, pp (2003) Macroeconomic Priorities, American Economic Review, Vol. 93, No. 1, pp Mäki, Uskali (2009) The Methodology of Positive Economics: Reflections on the Milton Friedman Legacy, Cambridge: Cambridge University Press. Mankiw, N. Gregory (1985) Small Menu Costs and Large Business Cycles: A Macroeconomic Model, Quarterly Journal of Economics, Vol. 100, No. 2, pp (1988) Recent Developments in Macroeconomics: A Very Quick Refresher Course, Journal of Money, Credit and Banking, Vol. 20, No. 3, pp (1990) A Quick Refresher Course in Macroeconomics, Journal of Economic Literature, Vol. 28, No. 4, pp (1992) The Reincarnation of Keynesian Economics, European Economic Review, Vol. 36, No. 2-3, pp (2006) The Macroeconomist as Scientist and Engineer, Journal of Economic Perspectives, Vol. 20, No. 4, pp McCallum, Bennett T. (1994) Monetary Policy without Monetary Aggregates, Federal Reserve Bank of St. Louis Proceedings, pp McCandless, George T. (2008) The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Cambridge, MA: Harvard University Press. Meyer, Lawrence H. (2004) A Term at the Fed: An Insider s View, New York: Harper Collins. Nelson, Edward (2007) Milton Friedman and U.S. Monetary History: , Federal Reserve Bank of St. Louis Review, Vol. 89, No. 3, pp

44 O Driscoll, Gerald P., Jr. (1977) The Ricardian Nonequivalence Theorem, Journal of Political Economy, Vol. 85, No. 1, pp Phillips, A.W. (1958) The Relationship between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, , Economica, Vol. 25, No. 2, pp Prescott, Edward C. (1986) Theory Ahead of Business-Cycle Measurement, Carnegie-Rochester Conference Series on Public Policy, Vol. 25, pp Romer, David (2000) Keynesian Macroeconomics without the LM Curve, Journal of Economic Perspectives, Vol. 14, No. 2, pp Sargent, Thomas J. and Neil Wallace (1975) Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule, Journal of Political Economy, Vol. 83, No. 2, pp Sargent, Thomas J. (1987) Macroeconomic Theory, San Diego, CA: Academic Press, 2nd edition. Sims, Christopher A. (1972) Money, Income, and Causality, American Economic Review, Vol. 62, No. 4, pp (1980) Macroeconomics and Reality, Econometrica, Vol. 48, No. 1, pp Skousen, Mark (1997) The Perseverance of Paul Samuelson s Economics, Journal of Economic Perspectives, Vol. 11, No. 2, pp Snowdon, Brian, Howard Vane, and Peter Wynarczyk (1994) A Modern Guide to Macroeconomics: An Introduction to Competing Schools of Thought, Hants, UK: Edward Elgar. Stiglitz, Joseph and Bruce Greenwlad (2003) Towards a New Paradigm in Monetary Economics, Cambridge: Cambridge University Press. ( 2003 ). Taylor, John B. (1980) Aggregate Dynamics and Staggered Contracts, Journal of Political Economy, Vol. 88, No. 1, pp Temin, Peter (1976) Did Monetary Forces Cause the Great Depression?, New York: W.W. Norton. Tobin, James (1977) How Dead is Keynes?, Economic Inquiry, Vol. 15, No. 4, pp (1980) Asset Accumulation and Economic Activity: Reflections on Contemporary Macroeconomic Theory, Chicago: University of Chicago Press. (Yrjö Jahnsson Lectures). 77

45 65 4 (1995) The Natural Rate as New Classical Economics: Reflections on 25 Years of the Hypothesis, in Rod Cross ed. The Natural Rate of Unemployment: Reflections on 25 Years of Hypothesis, Cambridge: Cambridge University Press, pp Walsh, Carl E. (2010) Monetary Theory and Policy, Cambridge, Mass.: MIT Press, 3rd edition. Woodford, Michael (2003) Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton: Princeton University Press. Yellen, Janet L. (1984) Efficiency Wage Models of Unemployment, American Economic Review, Vol. 74, No. 2, pp (1999) (2011) (2007) (2008), B. H.R. (2001) 12 ( B. Snowdon and H.R. Vane, Conversations with Leading Economists: Interpreting Modern Macroeconomics, Edward Elgar, 1999) (2008) (1975) (2004) (2009) (2006) (1994) (1995) 78

2015 : (heterogenous) Heterogeneous homogeneous Heterogenous agent model Bewley 1 (The Overlapping-Generations Models:OLG) OLG OLG Allais (1

2015 : (heterogenous) Heterogeneous homogeneous Heterogenous agent model Bewley 1 (The Overlapping-Generations Models:OLG) OLG OLG Allais (1 2015 : 27 6 13 1 (heterogenous) Heterogeneous homogeneous Heterogenous agent model Bewley 1 (The Overlapping-Generations Models:OLG) OLG OLG Allais (1947) 2 Samuelson(1958) 3 OLG Solow Ramsey Samuelson