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  • 「流動性の罠と最適金融政策:展望」

    Abstract

    本稿では Krugman (1998) 以降の流動性の罠に関する研究をサーベイし,そこで得られた知見を整理する。第 1 に,最近の研究が対象とするのは超短期金利の非負制約がバインディングになる現象であり,永久国債の金利に注目するケインズの定義と異なっている。ケインズの罠は超短期金利がバインディングな状態が無限遠の将来まで続く恒久的な罠であり,最近の研究が扱っているのは一時的な罠である。第 2 に,一時的な罠に対する処方箋としてこれまで提案されてきたアイディアの多くは,現代の金融政策論に照らして標準的なものである。流動性の罠の下で経済厚生を最大化する金融政策ルールは広い意味でのインフレターゲティングとして表現できる。流動性の罠はその奇異な見かけから特殊な現象と受け取られがちであるが,少なくとも罠が一時的である限り,それに対する処方箋は意外なほどにオーソドックスである。

    Introduction

    流動性の罠に関する先駆的な論文である Krugman(1998) が執筆された当時,流動性の罠(liquiditytraps)という言葉を EconLit で検索すると,論文数は1975 年以降で 21 本に過ぎなかった(Krugman (1998,p.138))。クルーグマンはこの関心の低さの背景として “a liquidity trap cannot happen, did not happen,and will not happen again” という認識がマクロ経済学者の間に広まっていたことを挙げている1。しかし現時点(2006 年 7 月)で同じ検索を行うと,論文数は160 本を超えており(図 1),マクロ経済学者の関心の低さが急速に是正されてきたことがわかる。これは,言うまでもなく,流動性の罠が実際に生じ得る現象であることを日本経済が証明した結果である2。本稿の目的は,流動性の罠に関する Krugman (1998) 以降の研究をサーベイし,そこで得られた新たな知見が何であるかを考察することである。

  • Optimal Monetary Policy at the Zero Interest Rate Bound: The Case of Endogenous Capital Formation

    Abstract

    This paper characterizes optimal monetary policy in an economy with the zero interest rate bound and endogenous capital formation. First, we show that, given an adverse shock to productivity growth, the natural rate of interest is less likely to fall below zero in an economy with endogenous capital than the one with fixed capital. However, our numerical exercises show that, unless investment adjustment costs are very close to zero, we still have a negative natural rate of interest for large shocks to productivity growth. Second, the optimal commitment solution is characterized by a negative interest rate gap (i.e., real interest rate is lower than its natural rate counterpart) before and after the shock periods during which the natural rate of interest falls below zero. The negative interest rate gap after the shock periods represents the history dependence property, while the negative interest rate gap before the shock periods emerges because the central bank seeks to increase capital stock before the shock periods, so as to avoid a decline in capital stock after the shock periods, which would otherwise occur due to a substantial decline in investment during the shock periods. The latter property may be seen as central bank’s preemptive action against future binding shocks, which is entirely absent in fixed capital models. We also show that the targeting rule to implement the commitment solution is characterized by history-dependent inflation-forecast targeting. Third, a central bank governor without sophisticated commitment technology tends to resort to preemptive action more than the one with it. The governor without commitment technology controls natural rates of consumption, output, and so on in the future periods, by changing capital stock today through monetary policy.

    Introduction

    Recent literature on optimal monetary policy with the zero interest rate bound has assumed that capital stock is exogenously given. This assumption of fixed capital stock has some important implications. First, the natural rate of interest is exogenously determined simply due to the lack of endogenous state variables: namely, it is affected by exogenous factors such as changes in technology and preference, but not by changes in endogenous variables. For example, Jung et al. (2005) and Eggertsson and Woodford (2003a, b) among others, start their analysis by assuming that the natural rate of interest is an exogenous process, which is a deterministic or a two-state Markov process. More recent researches such as Adam and Billi (2004a, b) and Nakov (2005) extend analysis to a fully stochastic environment, but continue to assume that the natural rate process is exogenously given. These existing researches typically consider a situation in which the natural rate of interest, whether it is a deterministic or a stochastic process, declines to a negative level entirely due to exogenous shocks, and conduct an exercise of characterizing optimal monetary policy responses to the shock, as well as monetary policy rules to implement the optimal outcome.

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