货币政策、就业缺口与自然利率假说

FinanceandEconomicsDiscussionSeries FederalReserveBoard,Washington,D.C.ISSN1936-2854(Print) ISSN2767-3898(Online) MonetaryPolicy,EmploymentShortfalls,andtheNaturalRateHypothesis MichaelT.Kiley2024-032 Pleasecitethispaperas: Kiley,MichaelT.(2024).“MonetaryPolicy,EmploymentShortfalls,andtheNaturalRateHypothesis,”FinanceandEconomicsDiscussionSeries2024-032.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.032. NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers. MonetaryPolicy,EmploymentShortfalls,andtheNaturalRateHypothesis MichaelT.Kiley*May19,2024 Abstract Activityshortfallsaremorecostlythanstrongactivity.Iconsideroptimalmonetarypolicyunderdiscretionwithanasymmetric(activityshortfalls)lossfunction.Themodelsatisfiesthenaturalratehypothesis.Theasymmetriclossfunctionandresultingoptimalmonetarypolicyexacerbatesshortfallsinactivity.Theadditionalfrequencyofactivityshortfallsarisesfromtheadjustmentofexpectationsimpliedbythenaturalratehypothesis.Theshortfallsasymmetryleadstoaninflationarybias,similartoresultsinthetime-consistencyliterature.Mandatingacentralbankobjectivewithgreatersymmetrythanthesociallossfunctionimprovesoutcomes.Greatersymmetrylowersthemagnitudeofactivityshortfalls.Greatersymmetryalsoreducesinflationbias.Themodelalsoimpliesthatanoptimalmonetarypolicydoesnotaccommodatefluctuationsfromaggregatedemandshocks,asisstandardinsuchmodels.Asaresult,theanalysisimpliesthatmonetaryaccommodationofstrengthineconomicactivitylikelyrequiresjustificationsotherthanasymmetriccostsofshortfalls. Keywords:MonetaryPolicy,Rules,discretion,symmetriclossfunction,asymmetriclossfunction JELCodes:E52,E58,E37 *Email:michael.t.kiley@frb.gov.TheviewsexpressedhereinarethoseoftheauthoranddonotreflectthoseoftheFederalReserveBoardoritsstaff.IwouldliketothankparticipantsinaworkshoponrelatedworkattheFederalReserveBoardforcommentsandsuggestions. i 1.Introduction Iexaminetheconsequencesofmonetarypolicyapproachesresultingfromasymmetriesinthelossesassociatedwithemploymentshortfallsandstrength.Themodelassumesthenaturalratehypothesis—monetarypolicyisneutralinthelongrun.Theanalysisdemonstratesthatasymmetricmonetarypolicyapproacheshaveunintendedconsequences,includingexacerbatingactivityshortfallsandcreatinganinflationarybias.Mandatingthatcentralbanksbehave(relatively)symmetricallymitigatestheseunintendedconsequencesandimproveswelfare.Theanalysissuggeststhat,allelseequal,theasymmetryinthecostsoflabormarketweaknessandstrengthdoesnotwarrantmonetaryaccommodationofstronglabormarkets.Otherfactors,suchaspermanenteffectsofstronglabormarketsoneconomicpotential,maybenecessaryforoptimalmonetarypolicytoaccommodatelabormarketstrength. Recentresearchandpracticeatcentralbanksmotivatestheanalysis.Thecostsofweaklabormarketsandpotentialbenefitsofstronglabormarketsaresizeable.2Someresearchhassuggestedthatsuchbenefitsimplythatmonetarypolicyshouldaccommodatelabormarketstrengthintheabsenceofinflation.3Researchhasexploredtheimplicationsofinequalityformonetarypolicy,withstronglabormarketsgenerallyviewedasreducing(atleastintheshortrun)inequality.4Inaddition,policyapproachesthataimtoaccountforthepotentialbenefitsofstronglabormarketshaveenteredincentralbankdeliberations.Forexample,theFederalOpenMarketCommittee(FOMC)emphasizedemploymentshortfallsinits2020framework.5Inrecentyears,monetarypolicydiscussionshaveemphasizedasymmetriccostsoflabormarketshortfalls,includinginanalysesofasymmetriclossfunctionsinresearchandincentralbankpolicyanalyses.6Practitionersandcentralbankshavepresentedpolicyruleswithasymmetrictreatmentofactivityshortfallsintheiranalyses.7 2Forexample,Aaronsonetal,2019;HotchkissandMoore,2022. 3Forexample,BernsteinandBentele,2019.Evans,2024,discussestheFederalOpenMarketCommittee’s2020frameworkandnotesthat“thestrategyhighlightedeliminatingemploymentshortfallsonly,thusallowingpolicytosupportstrongerlabourmarketvibrancysolongasthepricestabilitymandateremainsincheck.” 4Forexample,Feivesonetal,2020,andChang,2022.KileyandMishkin,2024,reviewtherecentdiscussion. 5Altigetal,2020,andClarida,2022,discusstheFederalReserve’s2020framework,includingtheroleofactivityshortfalls. 6Gust,Lopez-Salido,andMeyer,2017;PenalverandSiena,2024;andFederalReservestaffpolicysimulationspreparedforFOMCmeetingsinTealbookBfrom2016tothemostrecentlyavailablepublicversions(TheFed-Transcriptsandotherhistoricalmaterials(federalreserve.gov). 7Forexample,Fuentes-AlberoandRoberts,2021;PapellandProdhan,2022;BundickandPetrosky-Nadeau,2023;andtheFederalReserve’s MonetaryPolicyReportinrecentyears Monetarypolicyconductedonadiscretionarybasiscanleadtoaninflationarybiaswhenhigheractivityiss