資産価格と金融政策 ‐日本のゼロ金利政策・グリーンスパン主義-

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たしろういさやま
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2 cause and effect 80 ;

3 1/2 1/2 Bernanke(2002) Friedman and Schwartz A Monetary History of the United States, 1867 to 1960(1963) FRB Fed FRB (p.290 ) Friedman and Schwartz(1963) John Maynard Keynes 3

4 2/2 1/2 Bernanke(2002) Lean-against-the-bubble strategy FRB Aggressive bubble popping FRB FRB Friedman and Schwartz(1963) aggressive bubble popping 4

5 1/3 2/2 Greenspan(2004) GDP (p.40 ) 5

6 2/3 2/2 6

7 3/3 2/ % FF =1.75% FF =1.25% FF =1 7

8 1. Blinder, Taylor

9 1/2 Blinder( ) Communication There are five main vehicles for delivering information to the public, and most of them have already been mentioned: the statements that accompany policy decisions, the so-called bias announcements, the minutes of committee meetings, official tabulations of votes, and testimony and speeches by members of the MPC. The most appropriate mix of these various modes of communication depends sensitively on the institutional setting---especially on how monetary policy decisions are reached.(2004, p.26) 9

10 2/2 Typology: Decision Communication FRB Collegial Individualistic ECB Collegial Collegial BOE Highly individualistic Collegial 10

11 1/2 Taylor(2009): Black swan (Nassim Taleb) =Libor(London inter-bank offered rate)-ois(overnight index swap) spreads Libor-Repo Repurchase agreements or Libor-Tibor Tokyo spreads =counterparty risk Percent Month LIBOR Repo Spread 3-Month LIBOR OIS Spread Percent LIBOR TIBOR Spread (Left Scale) LIBOR OIS Spread (Right Scale) Percent Jan 07 Apr 07 Jul 07 Oct 07 Jan 08 Apr 08 Jul 08 Libor-Repo spreads Jan 07 Apr 07 Jul 07 Oct 07 Jan 08 Apr 08 Jul 08 Libor-Tibor spreads

12 2/2 Real time diagnosis on the black swan : counterparty risk, NOT shortage of liquidity. FRB s initial responses: based on mistaken diagnosis Term auction facility, etc. for a purpose of providing more easily liquidity. Rather, recapitalization would have been required. 12

13 contd. cause and effect ;

14 1/ CPI

15 1/2 2/3 (2005) 8 JGB 1. 15

16 2/2 2/

17 1/2 3/3 (2008) CPI Grossman and Stiglitz Keynes IIP CPI IIP CPI 17

18 2/2 3/3 CPI (2005) 8 18

19 1/3 DeLong(2008) IT FF 19

20 1/2 2/3 (2005) 7 Takeda and Yajima(2006) FRB BOE CPI? forecast encompassing FRB Greenbook BOE Inflation Report DRI; NIESR 20

21 2/2 2/3 BOE NIESR NIESR BOE FRB<?>DRI DRI<?> 21

22 1/5 3/3 (2009) S&P500 FTSE NAREIT Case and Shiller 22

23 2/5 3/

24 3/5 3/

25 4/5 3/ FF FF

26 5/5 3/ Dynamic forecast: REIT; after Jul.'03 var37(ln price) 2003m1 2004m m1 2006m m m 1 95% CI forecast observ ed Vertical line: Jun.'07(two digits decline) 26

27 contd. cause and effect ;

28 1/2 Borio and Zhu(2008) Expectations channel (2008) (2008) Risk-taking channel (2005) (2005) 8 28

29 1/2 Borio and Zhu(2008) Expectations channel (2008) Risk-taking channel (2005) (2005) 8 29

30 1/2 Borio and Zhu(2008) Expectations channel (2008) (2008) Risk-taking channel (2005) 8 30

31 2/2 Leamer; Farmer; Hamilton ( ) (2005) (2005) 7 Takeda Takeda and Yajima(2006) FRB? (2009) (2009) FRB = =? 31

32 2/2 Leamer; Farmer; Hamilton ( ) (2005) 7 Takeda and Yajima(2006) FRB? (2009) FRB = =? 32

33 2/2 Leamer; Farmer; Hamilton ( ) (2005) (2005) 7 Takeda Takeda and Yajima(2006) FRB? (2009) (2009) FRB = =? 33

34 1/2 (2005) Takeda, Yosuke and Yasuhide Yajima(2006) An Empirical Analysis on Information Aggregation of Inflation-Indexed Bonds, presented at the ESRI International Conference. (2008) - 8 pp (2009) FRB vol.53, pp research.co.jp/report/shoho/2009/vol53/syo0903e.pdf ( Taylor 34

35 2/2 Bernanke, Ben. Asset-Price Bubbles and Monetary Policy, Remarks by Governor Ben S. Bernanke, Before the New York Chapter of the National Association for Business Economics, New York, New York, October 15, Greenspan, Alan. Risk and Uncertainty in Monetary Policy, American Economic Review Papers and Proceedings, vol.94, no.2, 2004, pp Blinder, Alan. Central Banking in Theory and Practice. The MIT Press, The Quiet Revolution---Central Banking Goes Modern. Yale University Press, Taylor, John. Getting off Track---How Government Actions and Interventions Caused, Prolonged, and Worsened the Financial Crisis. Hoover Institution Press, DeLong, Brad. Greenspanism and Its Critics, mimeo Borio, Claudio, and Haibin Zhu. Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link In the Transmission Mechanism? BIS Working Papers, No.268, Farmer, Roger. A New Monetary Policy for the 21 st Century. The Financial Times, Jan. 12, Hamilton, James, Seth Pruitt, and Scott Borger. The Market-Perceived Monetary Policy Rule Leamer, Edward. Housing is the Business Cycle. NBER Working Paper 13428,

ＧＤＰギャップと潜在成長率

ＧＤＰギャップと潜在成長率 2003 output gap 80 1 20 90 20 70 2 1 2 output gap potential output 1 2 (2001) 3 potential rate of growth 2000 Meyer (2000) European Central Bank: (1999b) 2002 10 4 3 (2000) 4 4 () 5 5 5 6 () () 7 Total

資産価格と金融政策 ‐日本のゼロ金利政策・ グリーンスパン主義-

資産価格と金融政策 ‐日本のゼロ金利政策・グリーンスパン主義-