nep-mon New Economics Papers
on Monetary Economics
Issue of 2010‒08‒06
24 papers chosen by
Bernd Hayo
Philipps-University Marburg

  1. Why do financial market experts misperceive future monetary policy decisions? By Schmidt, Sandra; Nautz, Dieter
  2. The zero lower bound on the interest rate and a Neo-Classical Phillips curve By Ragna Alstadheim
  3. Exchange Rate Arrangements For East Asia Post-Crisis: Examining The Case For Open Economy Inflation Targeting By Tony Cavoli; Ramkishen S. Rajan
  4. "Changes in Central Bank Procedures during the Subprime Crisis and Their Repercussions on Monetary Theory" By Marc Lavoie
  5. The Loonie’s Flirtation with Parity: Prospects and Policy Implications By Philippe Bergevin; Colin Busby
  6. Greater Transparency Needed By Angelo Melino; Michael Parkin
  7. Bank globalization and the balance sheet channel of monetary transmission By Sami Alpanda; Uluc Aysun
  8. Securitization and the balance sheet channel of monetary transmission By Uluc Aysun; Melanie Guldi; Ralf Hepp
  9. Does the Crisis Experience Call for a New Paradigm in Monetary Policy? By John B. Taylor
  10. A Tale of Two Policies: Prudential Regulation and Monetary Policy with Fragile Banks By Ignazio Angeloni
  11. Money Targeting, Heterogeneous Agents and Dynamic Instability By Giorgio Motta; Patrizio Tirelli
  12. Asset prices and monetary policy in a sticky-price economy with financial frictions By Nutahara, Kengo
  13. Monetary Policy Reaction Functions in the OECD By Douglas Sutherland
  14. External debt sustainability under different policy rules By Gabriel Porcile; Alexandre C. Gomes de Souza; Ricardo Viana
  15. Short and Long Interest Rate Targets By Bernardino Adão; Isabel Horta Correia; Pedro Teles
  16. Monetary and fiscal policies coordination - Pakistan's experience By Arby, Muhammad Farooq; Hanif , Muhammad Nadeem
  17. The Welfare Consequences of Monetary Policy and the Role of the Labor Market: a Tax Interpretation By Federico RAVENNA; Carl E. WALSH
  18. Monetary Policy Responses to the Crisis and Exit Strategies By Makoto Minegishi; Boris Cournède
  19. Using estimated models to assess nominal and real rigidities in the United Kingdom By Kamber, Gunes; Millard, Stephen
  20. Israel: Monetary and Fiscal Policy By Charlotte Moeser
  21. Inflation and Growth in the Long Run: A New Keynesian Theory and Further Semiparametric Evidence By Andrea Vaona
  22. Back to the roots: On the origins of the Fed's independence By Farvaque, Etienne
  23. The sterling unsecured loan market during 2006-08: insights from network theory By Wetherilt, Anne; Zimmerman, Peter; Soramaki, Kimmo
  24. Optimal Monetary and Fiscal Stabilisation Policies By Klaus Adam

  1. By: Schmidt, Sandra; Nautz, Dieter
    Abstract: This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover the sources of individual interest rate forecast errors. Based on a panel random coefficient model, we show that financial experts have systematically misperceived the ECB's interest rate rule. However, although experts tend to overestimate the impact of inflation on future interest rates, perceptions of monetary policy have become more accurate since clarification of the ECB's monetary policy strategy in May 2003. We find that this improved communication has reduced disagreement over the ECB's response to expected inflation during the financial crisis. --
    Keywords: Central bank communication,Interest rate forecasts,Survey expectations,Panel random coefficient model
    JEL: E47 E52 E58 C23
    Date: 2010
  2. By: Ragna Alstadheim (Norges Bank (Central Bank of Norway))
    Abstract: With sticky prices, optimizing agents and money in the utility function, I derive the exact analytical solution for optimal monetary policy given a zero lower bound (ZLB) on the interest rate. The Phillips curve is Neo-Classical, and the ZLB is then not a constraint on optimal policy. Optimal policy is history dependent even without a commitment problem and implements a Friedman rule equilibrium. The role of forward guidance in policy is more limited than under a New-Keynesian Phillips curve. The optimal policy rule intercept term is time varying and depends on the variance of the natural real rate.
    Keywords: Zero Lower Bound on Interest Rates, Monetary Policy
    JEL: E31 E52 E61
    Date: 2010–07–01
  3. By: Tony Cavoli; Ramkishen S. Rajan
    Abstract: The infeasibility of a monetary union for East Asia in the near future, as well as the limitations of other forms of super fixes, appears to leave a flexible regime as the only viable policy option. This paper first deliberates on the case for and against a flexible regime. To anticipate the main conclusion -- while favoring relatively more flexible regimes, emerging economies in East Asia and elsewhere have continued to heavily manage their currencies despite being officially described as “floatersâ€. The paper goes on to explore the case for and operational mechanics behind an open inflation targeting regime which has increasingly been advocated for small and open economies in East Asia and elsewhere. The importance of incorporating the exchange rate in open economy monetary policy rules is stressed.
    Keywords: infeasibility, monetary union, East Asia, flexible regime, floaters, East Asia
    Date: 2010
  4. By: Marc Lavoie
    Abstract: The subprime financial crisis has forced several North American and European central banks to take extraordinary measures and to modify some of their operational procedures. These changes have made even clearer the deficiencies and lack of realism in mainstream monetary theory, as can be found in both undergraduate textbooks and most macroeconomic models. They have also forced monetary authorities to reject publicly some of the assumptions and key features of mainstream monetary theory, fearing that, on that mistaken basis, actors in the financial markets would misrepresent and misjudge the consequences of the actions taken by the monetary authorities. These changes in operational procedures also have some implications for heterodox monetary theory; in particular, for post-Keynesian theory. The objective of this paper is to analyze the implications of these changes in operational procedures for our understanding of monetary theory. The evolution of the operating procedures of the Federal Reserve since August 2007 is taken as an exemplar. The American case is particularly interesting, both because it was at the center of the financial crisis and because the U.S. monetary system and its federal funds rate market are the main sources of theorizing in monetary economics.
    Keywords: Federal Funds Rate; Corridor System; Interest on Bank Reserves; Money Multiplier
    JEL: E42 E43 E58
    Date: 2010–08
  5. By: Philippe Bergevin (C.D. Howe Institute); Colin Busby (C.D. Howe Institute)
    Abstract: With the Canadian dollar near parity with its US counterpart, monetary policymakers may come under pressure to curb future interest rate increases to limit the loonie’s appreciation. When the value of the loonie is in line with economic fundamentals, such actions would necessarily compromise the domestic inflation target. By examining the factors underpinning the Canada/US exchange rate, we conclude that the present trading range for the loonie is supported by fundamentals. The Bank of Canada should therefore continue its policy of benign neglect with regard to the exchange rate.
    Keywords: Monitary Policy, Bank of Canada, exchange rate
    JEL: E58 E52 F31
    Date: 2010–06
  6. By: Angelo Melino (University of Toronto); Michael Parkin (University of Western Ontario)
    Abstract: Financial market participants would benefit from a better understanding of how the Bank of Canada sets the overnight interest rate in response to economic developments. More accurate forecasts of the Bank’s future policy choices would lead to better financial decisions and better price and wage-setting decisions, making it easier for the Bank to hit its 2 percent inflation target. Currently, the Bank’s internal model predicts a path for the overnight rate that is inconsistent with the expectations of the Bank’s Governing Council. The Bank could achieve greater transparency by publishing its own conditional forecasts of the future path of the overnight rate or, failing that, by publishing such forecasts with a six-month lag. This would enable market participants to better understand what these forecasts mean and how to use them in economic decision-making.
    Keywords: Monetary Policy, Bank of Canada, overnight interest rate, inflation target
    JEL: E52 E58
    Date: 2010–07
  7. By: Sami Alpanda (Amherst College); Uluc Aysun (University of Connecticut)
    Abstract: The literature typically finds that the development of financial markets has decreased the ability of central banks to affect the real economy. This paper shows that this negative relationship does not hold for the balance sheet channel of monetary transmission and bank globalization -- one aspect of financial development. The reason is that global banks are more sensitive to borrowers' leverage. By affecting this leverage, monetary policy has a larger impact on global banks' lending and aggregate economic activity. We use bank-level, Call Report data to obtain this disparity between more and less global banks. We then use this data in the estimation of a general equilibrium model and find that the balance sheet channel of monetary policy operates mainly through more global banks.
    Keywords: balance sheet channel, bank globalization, financial accelerator
    JEL: E44 F31 F41 O16
    Date: 2010–07
  8. By: Uluc Aysun (University of Connecticut); Melanie Guldi (Mount Holyoke College); Ralf Hepp (Fordham University)
    Abstract: This paper shows that the balance sheet channel of monetary transmission works mainly through U.S. bank holding companies that securitize their assets. This finding is different, in spirit, from the widely-found negative relationship between financial development and the strength of the lending channel of monetary transmission. Focusing on the balance sheet channel, and using bank-level observations, we find that securitized banks are more sensitive to borrowers' balance sheets and that monetary policy has a greater impact on this sensitivity for securitizing bank holding companies. The optimality conditions from a simple partial equilibrium framework suggest that the positive effects of securitization on policy effectiveness could be due to the high sensitivity of security prices to policy rates.
    Keywords: balance sheet channel, banks, bank holding companies, securitization.
    JEL: E44 F31 F41 O16
    Date: 2010–07
  9. By: John B. Taylor
    Abstract: This paper shows that the monetary policy paradigm that was in place before the financial crisis worked very well and that the crisis occurred only after policy makers deviated from that paradigm. The paper also evaluates monetary policy during the financial crisis by dividing the crisis into three periods: pre-panic, panic and post-panic. It shows that the extraordinary measures did not work well in the pre-panic or the post-panic periods; instead they helped bring on the panic, even though they may have some positive impact during the panic. The implication of the paper is that the crisis does not call for a new paradigm for monetary policy.
    Keywords: financial crisis, monetary policy rule, Taylor rule, quantitative easing
    JEL: E43 E52 E58
    Date: 2010
  10. By: Ignazio Angeloni
    Abstract: In a paper co-written with Ester Faia of Geothe University Frankfurt, Visiting Fellow Ignazio Angeloni introduces banks into a standard DSGE model and uses this framework to study the role of banks in the transmission of shocks, the effects of monetary policy when banks are exposed to runs, and the interplay between monetary policy and Basel-like capital ratios. 
    Date: 2009–10
  11. By: Giorgio Motta; Patrizio Tirelli
    Abstract: Christiano et al. (2005) have shown that a standard medium-sized DSGE model can successfully replicate VAR IRFs to a money supply shock. This important result vanishes under limited asset market partic- ipation. Further, even a moderate fraction of constrained consumers is su¢ cient to dampen the real interest rate reaction to inflation, thereby causeing instability. The introduction of a simple fiscal automatic sta- bilizer restores stability and improves the dynamic performance of the model.
    Keywords: Rule of Thumb Consumers, DSGE, Determinacy, Limited Asset, Market Participation
    JEL: E52
    Date: 2010–07
  12. By: Nutahara, Kengo
    Abstract: A recent study shows that equilibrium indeterminacy arises if monetary policy responds to asset prices, especially share prices, in a sticky-price economy. We show that equilibrium indeterminacy never arises if the working capital of firms is subject to their asset values by financial frictions.
    Keywords: asset prices; financial frictions; equilibrium indeterminacy; monetary policy; sticky prices
    JEL: E32 E52 E44 C62
    Date: 2010–04–05
  13. By: Douglas Sutherland
    Abstract: Monetary policy reaction functions can provide insights into the factors influencing monetary policy decisions. Empirical estimates suggest that differences exist across countries as to whether monetary policy reacts solely to expected inflation or also takes into account expected output developments. A range of other factors, such as monetary policy in large economies, can also influence monetary policy reactions in smaller ones. On the other hand, monetary policy has reacted less to contemporaneous measures of the output gap, while asset price developments do not generally appear to have influenced monetary policy decisions.<P>Les fonctions de réaction de la politique monétaire dans la zone de l’OCDE<BR>Les fonctions de réaction de la politique monétaire peuvent utilement éclairer les facteurs qui influent sur les décisions de politique monétaire. Les estimations empiriques montrent qu’il y a des différences d’un pays à l’autre sur le point de savoir si la politique monétaire réagit uniquement à l’inflation anticipée, ou prend également en compte l’évolution prévisible de la production. Plusieurs autres facteurs, notamment la politique monétaire des grandes économies, peut également influer sur les réactions de politique monétaire dans les petites économies. En revanche, la politique monétaire a moins réagi aux mesures instantanées de l’écart de production et l’évolution des prix des actifs ne paraît pas en général avoir influencé les décisions de politique monétaire.
    Keywords: monetary policy, asset prices, output gap, politique budgétaire, prix des actifs, écart de production
    JEL: E42
    Date: 2010–05–04
  14. By: Gabriel Porcile (Department of Economics, Universidade Federal do Paraná); Alexandre C. Gomes de Souza (Department of Economics, Brazilian Central Bank); Ricardo Viana (Department of Physics, Universidade Federal do Paraná)
    Abstract: The paper develops a Kaleckian macroeconomic model which discusses the conditions that may lead to an external debt crisis in a small developing economy fully integrated to global goods and financial markets. The focus is on how policy rules affect the stability of the economy. Two kinds of policy rules are discussed, namely an inflation rate target and a real exchange rate target, implemented through an interest rate operation procedure (IROP). It is argued that in both cases the evolution of the real exchange rate should be closely monitored to avoid external instability.
    Keywords: central banks, open economy, external crisis
    JEL: E12 E58 F43
    Date: 2010
  15. By: Bernardino Adão; Isabel Horta Correia; Pedro Teles
    Abstract: We show that short and long nominal interest rates are independent monetary policy instruments. The pegging of both helps solving the problem of multiplicity that arises when only short rates are used as the instrument of policy. A peg of the nominal returns on assets of different maturities is equivalent to a peg of state-contingent interest rates. These are the rates that should be targeted in order to implement unique equilibria. At the zero bound, while it is still possible to target state-contingent interest rates, that is no longer equivalent to the target of the term structure.
    JEL: E3 E4 E5
    Date: 2010
  16. By: Arby, Muhammad Farooq; Hanif , Muhammad Nadeem
    Abstract: The paper explores how the monetary and fiscal policies have coordinated with each other in Pakistan. It argues that monetary and fiscal policies have been executed independently throughout the study period that is 1964-65 to 2008-09 and there have been very few instances of coordination between the two policies while addressing prevailing economic conditions. The paper does not find any difference between the behavior of monetary and fiscal policies before and after the establishment of Monetary and Fiscal Policies Coordination Board in 1994. Whatever instances of coordination were found were clustered in military regimes; which may be one of the reasons of macroeconomic stability in such regimes.
    Keywords: Monetary Policy; Fiscal Policy;
    JEL: H30 E50 E61
    Date: 2010
  17. By: Federico RAVENNA (IEA, HEC Montréal); Carl E. WALSH
    Abstract: We explore the distortions in business cycle models arising from inefficiencies in price setting and in the search process matching firms to unemployed workers, and the implications of these distortions for monetary policy. To this end, we characterize the tax instruments that would implement the first best equilibrium allocations and then examine the trade-offs faced by monetary policy when these tax instruments are unavailable. Our findings are that the welfare cost of search inefficiency can be large, but the incentive for policy to deviate from the inefficient flexible-price allocation is in general small. Sizable welfare gains are available if the steady state of the economy is inefficient, and these gains do not depend on the existence of an inefficient dispersion of wages. Finally, the gains from deviating from price stability are larger in economies with more volatile labor flows, as in the U.S.
    JEL: E52 E58 J64
    Date: 2010–07
  18. By: Makoto Minegishi; Boris Cournède
    Abstract: Central banks have responded with exceptional vigour to the crisis by using their traditional interest-rate tools to their limits and deploying a wide range of unconventional measures. This paper documents these responses in a systematic way, reviews the evidence about their impact, and discusses the need to exit from these measures. Unconventional monetary policy measures appear to have been broadly successful in terms of improving conditions in financial markets and stabilising the real economy. In line with the improvement in functioning of financial markets, however, these unconventional measures should be gradually removed. Given the considerable changes in the size and composition of central banks' balance sheets, the exit will likely involve the combination of various tools. More challenging questions surround the decisions of when and how fast the current exceptional amount of stimulus should be reduced and then eliminated. A particularly important goal will be to preserve the hard-won anchoring of inflation expectations and dissipate any hypothetical fears that central banks? greater risk exposure and purchases of bonds issued or backed by governments might have reduced their independence regarding monetary policy decisions.<P>Réponses de la politique monétaire à la crise et stratégies de sortie<BR>Les banques centrales ont répondu avec une vigueur exceptionnelle à la crise en poussant leurs instruments traditionnels de taux d'intérêt jusqu'à leurs limites et en déployant une vaste gamme de mesures non conventionnelles. La présente étude fournit une description systématique de ces mesures, fait le bilan des éléments disponibles permettant d'apprécier leur efficacité et examine le besoin de mettre progressivement fin à ces dispositifs. Dans l'ensemble, les mesures de politique monétaire non conventionnelle semblent avoir été couronnées de succès en contribuant à l'amélioration des conditions financières et à la stabilisation de l'économie réelle. Toutefois, au fur et à mesure que les marchés financiers retrouvent un fonctionnement plus normal, ces mesures non conventionnelles devront être retirées. Étant donné l'ampleur des changements qui ont affecté la taille et la composition du bilan des banques centrales, les stratégies de sortie devront nécessairement s'appuyer sur un large éventail d'instruments. Des questions plus délicates encore se poseront lorsqu'il s'agira de décider du calendrier et du rythme selon lesquels l'exceptionnel stimulus monétaire actuel devra être réduit puis éliminé. À cet égard, il sera crucial de préserver l'ancrage, durement acquis, des anticipations d'inflation et d'éviter une situation hypothétique dans laquelle le public craindrait que la plus grande exposition au risque des banques centrales tout comme leurs acquisitions de titres de dette publique ou quasi-publique puissent avoir réduit leur indépendance dans la conduite de la politique monétaire.
    Keywords: monetary policy, financial crisis, exit strategies, unconventional policy, politique monétaire, crise financière, stratégies de sortie, mesures non conventionnelles
    JEL: E31 E42 E44 E50 E51 E52 E58
    Date: 2010–02–18
  19. By: Kamber, Gunes (Reserve Bank of New Zealand); Millard, Stephen (Bank of England)
    Abstract: This paper aims to contribute to our understanding of inflation dynamics in the United Kingdom by estimating two dynamic stochastic general equilibrium models and assessing the role of nominal and real rigidities within them. We first obtain an empirical representation of the monetary transmission mechanism in the United Kingdom and then estimate the models by minimising the difference between this representation and its model equivalents. We find that both models can explain the data reasonably well without relying on undue amounts of price and wage stickiness.
    Keywords: Minimum distance estimation; DSGE models; Nominal and real rigidities
    JEL: E31 E52
    Date: 2010–07–27
  20. By: Charlotte Moeser
    Abstract: Israel’s monetary policy framework is broadly sound. Inflation targeting was introduced in the early 1990s, and low single-digit inflation was established by the end of the decade. However, fast transmission from the exchange rate to inflation means the operational challenges differ somewhat from those in many OECD countries. Also, the Bank of Israel has been intervening heavily in the foreign-exchange market, marking a departure from standard practice in inflation targeting. Past progress in fiscal consolidation has been affected by several economic shocks, including the recent downturn. The government’s strategy of lowering tax rates on corporate profits and on personal income is assessed. Also, various avenues for raising revenues on other fronts are suggested. Primary civilian spending is now relatively low in international comparison, the room for savings has narrowed, and many of the necessary future structural reforms probably require initial fiscal outlays. In budgeting, which is strongly controlled by the Ministry of Finance, there is room for various process improvements. This Working Paper relates to the 2009 OECD Economic Survey of Israel (<P>Les politiques monétaire et budgétaire en Israël<BR>Le cadre de la politique monétaire d’Israël est globalement solide. Le ciblage de l’inflation a été introduit au début des années 1990 et l’inflation s’est maintenue à un niveau nettement inférieur à 10 % dès la fin de cette même décennie. Une transmission rapide du taux de change à l’inflation signifie cependant que les problèmes opérationnels sont assez différents de ceux de la plupart des pays de l’OCDE. Par ailleurs, la Banque d’Israël intervient sur le marché des changes, rompant ainsi avec la pratique habituellement suivie pour cibler l’inflation. Les progrès réalisés dans l’assainissement des finances publiques ont été compromis par plusieurs chocs économiques, et notamment la dernière récession. Nous dressons le bilan de la stratégie du gouvernement de réduire l’impôt sur les sociétés et les tranches supérieures de l’impôt sur le revenu des personnes physiques et proposons plusieurs moyens d’augmenter les recettes sur d’autres fronts. Les dépenses civiles primaires sont désormais relativement faibles par rapport aux autres pays, les possibilités de réaliser des économies se sont réduites et beaucoup de réformes structurelles nécessaires obligeront à faire des dépenses budgétaires initiales. Enfin il y a des améliorations à apporter au processus d’élaboration du budget, qui est étroitement contrôlé par le ministère des Finances. Ce document de travail se rapporte à l’étude économique d’Israël publié par l'OCDE en 2010 (
    Keywords: taxation, public debt, OECD, fiscal policy, monetary policy, public spending, macroeconomic policies, inflation targeting, Israel, government deficit, budget rules, fiscalité, dette publique, OCDE, politique budgétaire, dépenses publiques, politique monétaire, règles budgétaires, politique macro-économique, ciblage de l’inflation, Israël, déficit des administrations publiques
    JEL: E E52 E58 H20 H50 H62 H63
    Date: 2010–06–04
  21. By: Andrea Vaona (Department of Economics (University of Verona))
    Abstract: This paper explores the influence of inflation on economic growth both theoretically and empirically. We propose to merge an endogenous growth model of learning by doing with a New Keynesian one with sticky wages. We show that the intertemporal elasticity of substitution of working time is a key parameter for the shape of the inflation-growth nexus. When it is set equal to zero, the inflation-growth nexus is weak and hump-shaped. When it is greater than zero, inflation has a sizeable and negative effect on growth. Endogenizing the length of wage contracts does not lead to inflation superneutrality in presence of a fixed cost to wage resetting. Once adopting various semiparametric and instrumental variable estimation approaches on a cross-country/time-series dataset, we show that increasing inflation reduces real economic growth, consistently with our theoretical model with a positive intertemporal elasticity of substitution of working time.
    Keywords: inflation, growth, wage-staggering, learning-by-doing, semi- parametric estimator
    JEL: E31 E51 E52 O42 C14
    Date: 2010–05
  22. By: Farvaque, Etienne
    Abstract: This note considers the foundations of the Federal Reserve Board's independence. Its origins are shown to reside in the American political philosophy, under which independence is an essential working condition for a perennial democracy.
    Keywords: Federal Reserve Board; independence; constitution.
    JEL: E58 N20
    Date: 2010–03
  23. By: Wetherilt, Anne (Bank of England); Zimmerman, Peter (Bank of England); Soramaki, Kimmo (Helsinki University of Technology)
    Abstract: We model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established network techniques, we find strong evidence of the existence of a core of highly connected banks alongside a periphery. We find that membership of this core expanded during the crisis and suggest that this is due to a few intermediate banks becoming more connected. The widened reserve target bands may have also had an effect, by partially alleviating the need to manage reserve accounts close to a target and therefore allowing banks to exercise more discretion in forming relationships. However, there is an asymmetry between borrowers and lenders in the overnight market, with borrowers more reliant on the most established of the core banks during the crisis.
    Keywords: Network; topology; interbank; unsecured loan; systemic risk; financial stability.
    JEL: D85 E58 G21
    Date: 2010–07–29
  24. By: Klaus Adam
    Abstract: This paper studies optimal stabilisation policies under commitment when monetary policy sets nominal interest rates and fiscal policy decides on public expenditure, income tax rates, and issuance of nominal non-contingent debt. High levels of government debt adversely affect the steady state of the economy and increase aggregate volatility. The latter emerges because debt exposes the government budget to real interest rate risk and thereby induces stronger volatility of taxes and public spending. The optimal variability of fiscal deficits is found to increase with the level of government debt, while the optimal variability of nominal interest rates decreases. Overall, optimal stabilisation policy does not require annual fiscal deficits to deviate by more than 3 percentage points of GDP from their steady state value or nominal interest rates to fall all the way to zero. Only if the standard deviation of economic disturbances is two to three times larger than suggested by post-war evidence do such events occur with non-negligible probability.<P>Politique optimale de stabilisation monétaire et budgétaire<BR>Cet article étudie la politique optimale de stabilisation dans des conditions telles que la politique monétaire fixe les taux d’intérêt nominaux et la politique budgétaire détermine les dépenses publiques, les taux de l’impôt sur les revenus et l’émission de la dette nominale non contingente. Un niveau élevé d’endettement public a des effets négatifs sur l’état stationnaire de l’économie et accroît la volatilité globale. Cette volatilité tient à ce que la dette expose le budget de l’État à un risque de taux d’intérêt réel et provoque donc une plus grande instabilité de l’impôt et des dépenses publiques. On constate que la variabilité optimale des déficits budgétaires s’accroît en fonction du niveau de la dette publique, contrairement à la variabilité des taux d’intérêt nominaux, qui diminue. Au total, une politique optimale de stabilisation n’exige pas que le déficit budgétaire annuel s’écarte de plus de 3 points de PIB de sa valeur à l’état stationnaire, ni que les taux d’intérêt nominaux tombent totalement à zéro. C’est seulement si l’écart type des perturbations économiques est deux à trois fois supérieur aux résultats observés depuis la fin de la guerre que de tels événements se produisent, avec une probabilité non négligeable.
    Keywords: government spending, Ramsey optimal policy, non-contingent government debt, distortionary taxes, interest rate policy, dépenses publiques, Politique optimale de Ramsey, dette publique non contingente, distorsions fiscales, politique de taux d’intérêt
    JEL: E32 E63
    Date: 2010–05–04

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