Abstract

2022年春以降、賃金・物価・金利の正常化が進行している。本稿では、22年春から25年初までの3年間を正常化の第1ステージ、その先2040年までを第2ステージと位置づけたうえで、第2ステージで何が起きるのかを考察する。賃金・物価・金利の3つはいずれもノミナルの変数である。ノミナルの変数が異常な状況に陥ったのが慢性デフレであり、その修復が正常化の第1ステージである。これに対して第2ステージでは、ノミナルではなくリアルの変数の正常化が次の3点で進む。第1は価格メカニズムの正常化である。慢性デフレ期には、効率的な資源配分の実現に不可欠な仕組みである価格メカニズムが機能不全に陥った。賃金・物価の正常化に伴い今後その修復が進むと期待される。第2は実質為替レートの正常化である。慢性デフレが始まった90年代半ばに、実質為替レートはそれまでの円高トレンドから円安トレンドへと反転した。その原因のひとつは賃金マークダウンだ。今後、賃金の正常化が進む中で賃金マークダウンが解消され、実質為替レートへの円安圧力も軽減される。第3は政府債務の正常化だ。デフレ下では一般に債務者の負担は過大となる。実際、最大の債務者である政府の負担は過大だった。賃金・物価の正常化の過程では、その真逆のこと、つまり、債務負担の軽減が起こる。本稿の試算によれば、インフレ率ゼロ％の経済から2％の経済へと移行することで政府債務は180兆円の減額となる。

Introduction

慢性デフレは物価と賃金が毎年据え置かれる現象であり、1990年代半ばに始まり、30年余り続いた。その重要な特徴は、個々の商品の価格の平均値である物価が据え置かれただ けでなく、個々の商品の価格自体も据え置かれたことだ。賃金についても、マクロの平均値が据え置かれただけでなく、企業単位、労働者単位でみたミクロの賃金も据え置かれた。 物価と賃金がこのように据え置かれる中で、日銀は1990年代末に政策金利をゼロまで引き下げ、それ以降、ゼロ近傍の金利が長く続いた。

WP053

2025.01

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WP052_Appendix

2024.10

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Abstract

Seasonality is among the most salient features of price changes, but it is notably less analyzed than seasonality of quantities and the business cycle component of price changes. To fill this gap, we use the scanner data of 199 categories of goods in Japan to empirically study the seasonality of price changes from 1990 to 2021. We find that the following four features generally hold for most categories: (1) The frequency of price increases and decreases rises in March and September; (2) Seasonal components of the frequency of price changes are negatively correlated with those of the size of price changes; (3) Seasonal components of the inflation rate track seasonal components of net frequency of price changes; (4) The seasonal pattern of the frequency of price changes is responsive to changes in the category-level annual inflation rate for the year. We use simple state-dependent price models and show seasonal cycles in menu costs play an essential role in generating seasonality of price changes.

Introduction

It is widely known among both scholars and policymakers that the time series of prices have a sizable degree of seasonality. Figure 1 shows the decomposition of the yearly growth rate of the CPI, for all items and for goods less fresh food and energy, into twelve month-to-month changes within the same year in Japan. It can be seen that there are months in which prices generally increase, such as March and April, and months in which prices generally decrease, such as January and February. Such seasonal patterns have been stable from the 1990s to 2020s.

WP052

2024.10

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Abstract

This paper shows that the Fed’s exit strategy works as optimal monetary policy in a liquidity trap. We use the conventional new Keynesian model including a recent inflation persistence and confirm several similarities between optimal monetary policy and the Fed’s monetary policy. The zero interest rate policy continues even after inflation rates are sufficiently accelerated over the 2 percent target and hit a peak. Under optimal monetary policy, the zero interest rate policy continues until the second quarter of 2022 and the Fed terminates it one quarter earlier. Eventually, inflation rates exceed the target rate for over three years until the latest quarter. The policy rates continue to overshoot the long-run level to suppress high inflation rates. Furthermore, high inflation rates under optimal monetary policy can explain about 70 percent of the inflation data for 2021 and 2022 years. However, these are still lower than the inflation data. This is because optimal monetary policy raises the policy rates faster than the Fed does. The remaining 30 percent of inflation rates can be constrained by the Fed’s more aggressive monetary policy tightening after the zero interest rate policy.

Introduction

The theory of monetary policy has been developed since the 1990s based on a new Keynesian model as represented by Clarida et al. (1999) and Woodford (2003). Woodford (2003) finds history dependence as a general property of optimal monetary policy with commitment in a purely forward-looking new Keynesian model. He shows that the forward-looking economy and history dependence are two sides of a coin in optimal monetary policy. Eggertsson and Woodford (2003b,a), Jung et al. (2001, 2005), and Adam and Billi (2006) extend optimal monetary policy analysis with commitment to an economy in a liquidity trap and show that a robust conclusion about a feature of optimal monetary policy is history dependence. The consequence of optimal monetary policy under commitment in a liquidity trap is predicted by these papers. However, such predictions have not been evaluated in the past two decades. Now, we show the answer.

WP051

2024.07

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Abstract

This paper shows that the Bank of Japan’s monetary policy shares several common points with optimal monetary policy in a liquidity trap to large negative shocks by the recent pandemic. The zero interest rate policy continues even after inflation rates sufficiently exceed the 2 percent and hit the peak. Optimal monetary policy keeps the zero interest rate policy until the second quarter of 2024 and the Bank of Japan continues the zero interest rate at least until the second quarter of 2024. Recent high inflation rates can be explained by a prolonged zero interest rate policy. Average inflation rates from 2021 to 2023 years are 2.2 percent and 2.1 percent in the data and the simulation, respectively. According to scenarios for anchored inflation expectations and long-run natural interest rates, the optimal timing to terminate the zero interest rate policy and a speed of the monetary tightening after the zero interest rate policy change. As anchored inflation expectations and natural interest rates decline, the zero interest rate policy continues longer.

Introduction

In Japan, the Bank of Japan (BOJ) virtually introduces the zero interest rate policy from September 1995 by cutting the policy rate to about 0.5 percent. During the zero interest rate policy, a policy commitment, recently so called as the forward-guidance policy, is a key for monetary policy. For example, the BOJ Governor, Masaru Hayami, announces at a press conference in April 1999 that the BOJ continues the zero interest rate policy until the deflationary concerns are dispelled to lower long-term interest rates. This is the first case of the commitment policy in a liquidity trap. Moreover, in September 2016, the BOJ introduces the inflation-overshooting commitment. Under this policy, the BOJ commits to continue the monetary easing until the year-on-year CPI inflation rate stably exceeds the 2 percent target rate. This commitment policy works as optimal monetary policy to increase an inflation rate and its expectation and to lower the real interest rate as discussed below. Now, the BOJ faces an exit policy from a liquidity trap under the commitment and we would like to evaluate whether the BOJ conducts optimal monetary policy.

WP050

2024.07

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Abstract

The Bank of Japan (BoJ) purchased equity index exchange-traded funds (ETFs), including Nikkei 225 ETFs, for over a decade and has not sold any ETFs it purchased. On March 31, 2021, the BoJ’s ETF holdings were more than 10% of the free float of the First Section of the Tokyo Stock Exchange. Primarily because the Nikkei index is price-weighted, the BoJ’s indirect holdings as a percentage of the market capitalization vary widely among individual stocks. To identify the effects of the uneven demand shocks, this paper runs instrumental-variable cross-sectional regressions of cumulative returns between September 30, 2010, a few days before the first announcement of ETF purchases, and March 31, 2021, when the BoJ terminated Nikkei 225 ETF purchases. The results suggest that the price multiplier is around 6 to 9; a 1 percentage point higher BoJ share in a stock’s market capitalization is associated with a roughly 6 to 9 percentage point higher return. The estimated multiplier is much higher than a typical estimate of 1 based on U.S. data. There is no evidence of a return reversal in the 9 months after Nikkei 225 ETF purchases ended. Various analyses, including monthly return regressions, support the analysis of cumulative returns and provide additional insights.  

Introduction

Many empirical studies find that demand for stocks influences stock prices. The literature often estimates the price multiplier, the percent change in the price of a particular stock when investors purchase 1% of the market capitalization of that stock. Gabaix and Koijen’s (2022) survey suggests that a typical estimate of the price multiplier is about 1.１ On the other hand, finance theory indicates that the impact of demand shocks on asset prices depends on the nature of demand. For instance, if demand shocks are expected to be more persistent, the impact is larger since asset prices reflect not only current but also expected demand. To contribute to this literature and the literature on unconventional monetary policy, this paper explores a unique natural experiment, the Bank of Japan’s (BoJ’s) persistent holdings of equity index exchange-traded funds (ETFs).  

WP049

2024.04

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