ゼロ金利下の長期デフレ

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1 日本銀行ワーキングペーパーシリーズゼロ金利下の長期デフレ渡辺努 * watanabe@e.u-tokyo.ac.jp No.12-J 年 3 月日本銀行郵便事業 ( 株 ) 日本橋支店私書箱第 30 号 * 東京大学大学院経済学研究科日本銀行ワーキングペーパーシリーズは日本銀行員および外部研究者の研究成果をとりまとめたもので内外の研究機関研究者等の有識者から幅広くコメントを頂戴することを意図していますただし論文の中で示された内容や意見は日本銀行の公式見解を示すものではありませんなおワーキングペーパーシリーズに対するご意見ご質問や掲載ファイルに関するお問い合わせは執筆者までお寄せ下さい商用目的で転載複製を行う場合は予め日本銀行情報サービス局までご相談下さい転載複製を行う場合は出所を明記して下さい

2 POS watanabe@e.u-tokyo.ac.jp 4 John Williams Just Weidner 18GS0101

3 % GDP % FRB 2

4 NAIRU Watanabe et al (2012) POS Imai et al (2012) CPI i = r n + π e (1) i r n π e = (1) (1) 3

5 (1) 3 (1) (1) 2 (1) 1 (1) (1) i > r n + π e (2) 2 (1) (1) (2) (2) i π e > r n (3) (3) (3) = (3) > 2 2 Klein (1947) Tobin (1980) the full employment equilibrium real interest rate the Wicksellinan natural rate that equates full employment investment and saving is below zero (Tobin 1980, 5) Krugman (1998) 2 Boianovsky (2004) 3 2 (2006) 3 Hawtrey (1913) It is in order to countreract the effect of the falling prices that the bankers fix a rate of interest lower than the natural rate by the rate 4

6 2 Klein (1947) at which prices are believed to be falling...what if the rate of depreciation of prices is actually greater than the natural rate of interest? If this is so nothing that the bankers can do will make borrowing sufficiently attractive. Business will be in a vicious circle... (Hawtrey 1913, ) 4 Laubach and Williams (2003) Williams (2009) 80 3% 90 2% 3% % Williams (2009) Laubach and Williams (2003) 6 (2006) 5

7 7 Glick and Lansing (2009) Weidner and Williams (2010) Benhabib et al. (2001) 4 (1) % 7 Krugman (1998) Jung et al (2001, 2005), Eggertsson and Woodford (2003) Eggertsson and Krugman (2011) Krugman (1998) savers borrowers 2 1% 2 A A A B B A B (1) π e r n π e = r n 4% 4% A B Benhabib et al. (2001) B

8 4% 0% 1% 2% (1) 8 5 D 4 B B D 1 D -1.5% y 2 D D -2.4% B 4 A 5 C D C Benhabib et al (2001) Benhabib et al (2001) π e = r n r n 3 π e = r n Benhabib et al (2001) % Benhabib et al (2001) % % % 2.4% 10% 1.1% Benhabib et al (2001) 7

9 % 2% 2% 4% % 3 18% % (a) 8% (b) 6% 8% (c) 4% 6% (d) 2% 4% (e) 0% 2% (f) 0% (g) 0% 2% (h) 2% 4% (i) 4% 6% (j) 6% 8% (k) 8% % 8% (b) (c) (d) 2% 4% (b) (c) (d) +2% +8% 9 0% 2% 8 (c) (d) (e) (f) (g) +6% -2% 9 0% 2% 0% Benhabib et al (2001)

10 Benhabib et al (2001) McKinnon (2000) McKinnon (2000) Benhabib et al. (2001) 2 2 π T π N π 2 π = ωπ T + (1 ω)π N (4) θ θ π N = π T + θ (5) (4) (5) 14 2 i = i + d (6) (2001) i i d π T = πt + d (7) πt (4) (5) 2 (6) (7) i = [(i π ) + (1 ω )θ (1 ω)θ] + π (8) (1) * i π ω θ θ > θ i π (8) 11 (1) (8) y (8) 1% 4 2 E F (8) F π = [(i π ) + (1 ω )θ (1 ω)θ] < 0 1% F -1% (6) d = i < 0 F F McKinnon 9

11 15 McKinnon (2000) 11 F McKinnon-Ohno (1) (2) 1 Fuhrer et al. (2011) 15 (8) ω = ω = 1 (8) i = (i π ) + π F (i π ) r n (i π ) = r n NAIRU 3% % 5%

12 3 2 4 B B π e = r n i = 0 (1) B B 11 F F F 16 Krugman (1998) (2) π e (2) 16 Pigou (1943) % 5.2% 13 5% 0% 13 3% 0% Ireland (2005) 11

13 % Saito and Watanabe (2007) 200 POS % % % 12

14 Abe and Tonogi (2010) Saito and Watanabe (2007) XX XX A A Saito and Watanabe (2007) (2008) 18 13

15 Saito and Watanabe (2007) POS Mizuno et al. (2010) Mizuno et al. (2010).com 50 Mizuno et al. (2010) 15 AQUOS LC-32GH persistence Mizuno et al. (2010) Mizuno et al. (2010)

16 Mizuno et al. (2010).com 5 Mizuno et al. (2010) Mizuno et al. (2010) FRB 15 [1], (2008) - POS , , Krugman (1998) liquidity traps Econ- Lit Krugman 1998, p.138 a liquidity trap cannot happen, did not happen, and will not happen again 15

17 [2] (2010) [3] (2010a) [4] (2010b) RIETI Highlight Vol Spring. [5] (2009a) [6] (2009b) RIETI Highlight Vol Spring [7] (2009c) [8] (2007) [9] (2006) [10] (2001) Economic Review [11] (2000) [12] (2006) [13] Abe, N. and A. Tonogi (2010), Micro and Macro Price Dynamics in Daily Data, Journal of Monetary Economics Volume 57, Issue 6, September 2010, [14] Ariga, K. and R. Kambayashi (2010), Employment and Wage Adjustments at Firms under Distress in Japan: An Analysis Based upon a Survey, Journal of the Japanese and International Economies, Volume 24, Issue 2, June [15] Benhabib, Jess, Stephanie Schmitt-Grohe and Martin Uribe, The Perils of Taylor Rules, Journal of Economic Theory 96, 40-69, [16] Boianovsky, Mauro (2004), The IS-LM model and the liquidity trap concept: From Hicks to Krugman, History of Political Economy Annual Supplement to Volume 36, , [17] Eggertsson, G. B., and M. Woodford (2003), The Zero Interest-Rate Bound and Optimal Monetary Policy, Brookings Papers on Economic Activity, 1, 2003, [18] Eggertsson, G. B., and P. Krugman (2011), Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach, Paper presented at the Japan Project Meeting, June 24, [19] Fuhrer, J. C., G. P. Olivei, and G. M. B. Tootell (2011), Inflation Dynamics when Inflation is Near Zero, Federal Reserve Bank of Boston Working Paper No , September [20] Glick, R. and K. J. Lansing (2009), U.S. Household Deleveraging and Future Consump-tion Growth Federal Reserve Bank of San Francisco Economic Letter, , May 15, [21] Hawtrey, R. G. (1913), Good and Bad Trade, New York: A.M.Kelly, [22] Imai, S., C. Shimizu, and T. Watanabe (2012), How Fast Are Prices in Japan Falling? Paper to be presented at the Joint UNECE/ILO Meeting of the Group of Experts on Consumer Price Indices, May 30-June 1, 2012, Geneva. [23] Ireland, Peter N. (2005), The liquidity trap, the real balance effect, and the Friedman rule, International Economic Review 46 (4), , [24] Iwamura, M, T. Kudo, and T. Watanabe (2006), Monetary and Fiscal Policy in a Liquidity Trap: The Japanese Experience , in T. Ito and A. Rose (eds.) Monetary Policy with Very 16

18 Low Inflation in the Pacific Rim, NBER-EASE Volume 15, 2006, [25] Jung, T., Y. Teranishi, and T. Watanabe (2005), Optimal Monetary Policy at the Zero-Interest- Rate Bound, Journal of Money, Credit, and Banking 37 (5), October 2005, [26] Jung, T., Y. Teranishi, and T. Watanabe, (2001), Zero Bound on Nominal Interest Rates and Optimal Monetary Policy. Kyoto Institute of Economic Research Working Paper No.525, March [27] Klein, L. R.(1947), The Keynesian Revolution, New York: Macmillan, [28] Krugman, Paul (1998), It s Baaack: Japan s Slump and the Return of the Liquidity Trap, Brookings Papers on Economic Activity 2:1998, , [29] Laubach, T. and J. C. Williams (2003), Measuring the Natural Rate of Interest, Review of Economics and Statistics, 85(4), November 2003, [30] McKinnon, R. I. (2000), The Foreign Exchange Origins of Japan s Liquidity Trap, Cato Journal, Vol. 20, No. 1, Spring/Summer 2000, [31] Mizuno, T., M. Nirei, and T. Watanabe (2010), Closely Competing Firms and Price Adjustment: Some Findings from an Online Marketplace, Scandinavian Journal of Economics, forthcoming. [32] Mizuno T. and T. Watanabe (2010), A Statistical Analysis of Product Prices in Online Markets, European Physical Journal B, Vol. 76, No.4, August 2010, Japanese Scanner Data, Research Center for Price Dynamics Working Paper Series No.17, December [35] Shimizu, C., K. G. Nishimura, and T. Watanabe (2010), Residential Rents and Price Rigidity: Micro Structure and Macro Consequences, Journal of the Japanese and International Economies, Volume 24, Issue 2, June 2010, [36] Sudo, N., K. Ueda, K. Watanabe, and T. Watanabe (2011), Working Less and Bargain Hunting More: Macro Implications of Sales during Japan s Lost Decade, Paper presented at SWET 2011, August 7, [37] Tobin, James (1980), Asset Accumulation and Economic Activity, Blackwell: Oxford, [38] Watanabe, K., T. Watanabe, N. Sudo, and K. Ueda (2012), Some Implications of Product Creation and Destruction on Japan s Deflation, Paper to be presented at the Joint UNECE/ILO Meeting of the Group of Experts on Consumer Price Indices, May 30-June 1, 2012, Geneva. [39] Weidner, J. and J. C. Williams (2009), The Shape of Things to Come, Federal Reserve Bank of San Francisco Economic Letter, , May 17, [40] Williams, J. C. (2009), Heeding Daedalus: Optimal Inflation and the Zero Lower Bound, Brookings Papers on Economic Activity 2:2009, [33] Pigou, A.C. (1943), The Classical Stationarity State, Economic Journal 53, December 1943, [34] Saito, Y, and T. Watanabe (2007), Menu Costs and Price Change Distributions: Evidence from 17

19 図 1: 消費者物価上昇率と政策金利 25 消費者物価上昇率 20 コール翌日物金利

20 図 2: クラインの流動性の罠出所 :Klein, L. R., The Keynesian Revolution, 1947

21 図 3: 日米の自然利子率 US JP :1 1981:1 1982:1 1983:1 1984:1 1985:1 1986:1 1987:1 1988:1 1989:1 1990:1 1991:1 1992:1 1993:1 1994:1 1995:1 1996:1 1997:1 1998:1 1999:1 2000:1 2001:1 2002:1 2003:1 2004:1 2005:1 2006:1 2007:1 2008:1 2009:1 2010:1 Percent

22 図 4: 自己実現的なデフレ均衡 Policy rates A B Policy reaction function Fisher relation CPI inflation

23 図 5: 日本の政策反応関数 9 8 y = x y = x Overnight Rates C D Fisher relation CPI Inflation

24 図 6: 企業が予想する価格上昇率 1 年後 3 年後累積密度予想価格上昇率

25 図 7: 家計の物価予想年後の物価年後の物価物価上昇物価不変物価下落

26 図 8: 家計が予想する物価上昇率全く可能性がない可能性がないどちらともいえない可能性がある非常に可能性がある <x 6<x<8 4<x<6 2<x<4 0<x<2 x=0-2<x<0-4<x<-2-6<x<-4-8<x<-6 x<-8

27 図 9: 物価の予想レンジ予想レンジの中央予想レンジの右端予想レンジの左端

28 図 10: 家計の賃金予想年後全体物価上昇と回答物価不変と回答物価下落と回答賃金上昇賃金不変賃金下落年後全体物価上昇と回答物価不変と回答物価下落と回答賃金上昇賃金不変賃金下落

29 図 11: 自己実現的な円高均衡 Policy rates E F Policy reaction function Equation (8) CPI inflation

30 図 12: フィリップス曲線消費者物価上昇率年年年完全失業率

31 図 13: 政策金利と物価上昇率の頻度分布度数 [ 月数 ] コール翌日物金利度数 [ 月数 ] 消費者物価上昇率 [ パーセント ]

32 図 14: 消費者物価中分類指数の上昇率の頻度分布 CPI 総合の頻度分布各分類の頻度分布の加重和各分類の頻度分布の単純和

33 図 15: 価格改定の回数と幅 thousand yen 170 Average price Frequency of price changes Price decrease Price increase 50 0 yen Size of price changes Price decrease Price increase Day

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untitled 2007 2 * (i) (ii) 2006 7 1999 2 2000 8 1 (2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) 2 2 3 4 2.1 (2003) (2005) 1) (i) (ii) (i)