インフレの不確実性とインフレ率水準の関係

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1 * ** Working Paper

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6 ; How will we cenral bankers know when we have achieved price sabiliy? Cerainly we would deem our policies successful if we removed unproducive price-expecaion-driven acions from economic aciviy, for ha is a necessary condiion for economic sabiliy and maximum efficiencies. This suggess, from a cenral banker s poin of reference, an operaing definiion of price sabiliy : Price sabiliy obains when economic agens no longer ake accoun of he prospecive change in he general price level in heir economic decision making. 5

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9 e p = p + a GAP + e - p p e GAP e e s e p = a p - a 0 a a n p GAP - - 8

10 V [ p ] = V [ a p - - = V [ a ] p = n p + a GAP - + s + V [ e ] - + e ] a a n = 0 s a a a a a a a V p ] V [ GAP ] 0 [ - = - = 9

11 a CPI a a 0

12 0

13 p a p a GAP a GAP a a IPI a IPI + e = p n = p - + å l j Dp - j + c+ e j = e N (0, ) h h m = b 0 + å b ie - i + rh - + g p - + g p - i= I - GAP IPI E[ p I a p a GAP a GAP a IPI a IPI - ] = a I - IPI IPI

14 GAP ( + ) - a a 3 GAP a DGAP a + a 0 a 0 a 0 3 > > 3 < I - E[ p n I - ] = p - + å l j Dp - j + c j = I - g > V [ p I m æ g ö æ g ] 0 4 ö + ç ç - = å b ie -i + g p - + b - i= è g ø è g ø 0 * p = - g g n Dp = å l j Dp - j + c + e j = n 3

15 GAP IPI i a 5 + a 6 > 0 4

16 ( + ) - a a 3 GAP a + a 3 > 0 a DGAP <0 >0 i i h >0 b < * g p - = p = - g e Var [ e ] 0 = m - å i= b g b - 4g i m å i= æ ö ç ç g ç b - > 0 0 è 4g ø i 5

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20 Working Paper Series999. Forhcoming

21 Ball, Laurence, Why does high inflaion raise inflaion uncerainy?, Journal of Moneary Economics. 99. pp Barro, Rober, Inflaion and growh, Economic Review, vol.78, Federal Reserve Bank of S. Louis Bollerslev,T., R.F.Engle and D.B.Nelson, ARCH MODELS, in Handbook of Economerics Vol.4 Caper 49, ed.by R.F.Engle and D.L.McFadden, ELSEVIER SCIENCE B.V., 994. Bollerslev,T. and J.M.Wooldridge, Quasi Maximum Likelihood Esimaion and Inference in Dynamic Models wih Time Varying Covariances, Economeric Reviews, Vol., 99, pp43-7. Briaul, Clive, The coss of inflaion, Quarerly Bullein, Bank of England, February 995. pp Brunner, Allan and Gregory Hess, Are higher levels of inflaion less predicable? A saedependen condiional heeroscedasiciy approach, Journal of Business and Economic Saisics, April vol..no Pp Crawford, Allan and Marcel Kasumovich, Does inflaion uncerainy very wih he level of inflaion?, Working paper, Bank of Canada, Augus 996. Evans, Marin and Paul Wachel, Inflaion regimes and he sources of inflaion uncerainy, Journal of Money, Credi and Banking, vol.5, no pp Fukuda, Shinichi, Hiroshi Teruyama and Hiro Toda, Inflaion and price-wage dispersions in Japan, Journal of he Japanese and Inernaional Economies, no.5, 99. Golob, John, Inflaion, inflaion uncerainy, and relaive price variabiliy: A survey, Working paper 93-5, Federal Reserve Bank of Kansas Ciy, November 993. Golob, John, Does inflaion uncerainy increase wih inflaion?, Economic Review, Federal Reserve Bank of Kansas Ciy, 994. pp Green,W.H., Economeric Analysis (Third Ediion), Prenice Hall, 993. Hess, Gregory and Charles Morris, The long-run coss of moderae inflaion, Economic Review, vol.8, no, Federal Reserve Bank of Kansas Ciy, 996. Holland, Seven, Commen on Inflaion regimes and he sources of inflaion uncerainy, Journal of Money, Credi and Banking, vol.5, no a. pp Holland, Seven, Uncerain effecs of money and he link beween he inflaion and inflaion uncerainy, Economic Inquiry, vol b. pp Judson, Ruh and Ahanasios Orphanides Inflaion, volailiy and growh, Finance and economics discussion paper, Federal Reserve Board, May 996. Mary, A. and Daniel Thornon, Is here a case for Moderae inflaion?, Economic Review, Federal Reserve Bank of S. Louis, 995. Rickees, Nicholas and David Rose, Inflaion, learning and moneary policy regimes in he G- 7 economies, Working paper, Bank of Canada, June 995. Taylor, John, On he relaion beween he variabiliy of inflaion and he average inflaion rae, Carnegie-Rocheser conference series on Public Policy 5, 98. pp

24 π h = α = β = 0 m π i = + β i i = ε + α m β i i ε GAP i + γ + γ π + α GAP π 3 + γ + γ γ π + α + β α 5 γ 4 γ IPI + α 6 IPI + ε π *, γ = γ ε N (0, h ) i R i R

25 π h = α = β = 0 m π i = + β i i = ε + α m β i i ε GAP i + γ + γ π + α GAP π 3 + γ + γ γ π + α + β α 5 γ 4 γ IPI + α 6 IPI + ε π *, = ε N (0, h γ γ ) i R i R

26 g - g g - g g - g

29 p = n c + l p + e, e N (0, h j = j j ) h = b m = 0 i = + b e b e i i + rh + rh + g p + g p + g g + g p + b 0 g 4g p * = g g GDP AR(n) R n=8 n=8 n=8 WPI AR(n) R n=5 n=5 n=5 3CPI AR(n) R n=4 n=5 AR(n)SBIC(Schwarz s Bayesian Informaion Crierion)

30 g - g g - g g - g

金融政策の波及経路と政策手段

金融政策の波及経路と政策手段 Krugman(988) Woodford(999) (2000) (2000) 4 rae-of-reurn dominance 405 4 406 (i) a 2 cash good credi good b King and Wolman(999) (ii) 407 3 4 90 (iii) (iv) 408 λ κ (2.8) π x π λ = x κ Svensson 999 sric