偏好安全资产的前瞻性指导

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE Imf Economic Review Pub Date : 2024-08-19 DOI:10.1057/s41308-024-00242-1

Ansgar Rannenberg

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引用次数: 0

摘要

我的研究表明，对安全资产的偏好（POSA）是通过对家庭贴现率与市场利率之间的楔差以及政府债券供应对其收益率的影响的目标估计值进行校准的，它通过降低消费对未来利率的反应能力并从实际政府债券持有量中产生财富效应，从而削弱了新凯恩斯主义模型中前瞻性指导的效果。根据欧元区宏观经济、财政和利率预期数据估算的 POSA 中型模型也具有这种衰减效应。POSA 模型的经验拟合效果大大优于没有 POSA 的相同模型。

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Forward Guidance with Preferences over Safe Assets

I show that preferences over safe assets (POSA), calibrated by targeting estimates of the wedge between household discount and market interest rates and the effect of the supply of government bonds on their yields, attenuate the of effect forward guidance in a New Keynesian model, by reducing consumption’s responsiveness to future interest rates and generating a wealth effect from real government bond holdings. The attenuation carries over to a medium-scale model with POSA estimated on Euro Area macroeconomic, fiscal and interest-rate expectation data. The empirical fit of the POSA model strongly outperforms an otherwise identical model without POSA.

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来源期刊

Imf Economic Review Multiple-

CiteScore

5.50

自引率

4.70%

发文量

期刊介绍： The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome. The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein. Comments “The IMF Economic Review has been uniquely successful in publishing papers that rigorously analyze real international macroeconomic problems and in a manner that has immediate policy relevance. This success is owed to a great extent to the high quality of the editorial board, which is able to identify papers that are both relevant for policy and are executed using state-of-the-art tools so as to make the analysis compelling.” - Gita Gopinath, Economic Counsellor and Director of Research, IMF “IMF Economic Review is devoted to state-of-the-art research on the global economy. Given the Fund''s unique position on the front lines of surveillance and crisis management, anyone interested in international economic policy or in macroeconomics more generally will find this journal to be essential reading.” - Maurice Obstfeld, Professor of Economics at University of California, Berkeley; and former Economic Counsellor and Director of Research, IMF “There is great need for a rigorous academic publication that addresses the key global macro questions of our times. This is what the IMF Economic Review aims to be.” - Pierre-Olivier Gourinchas, Professor of Economics at University of California, Berkeley; and former Editor of the IMF Economic Review “To navigate the global crisis, and to take the best policy decisions, will require mobilizing and extending the knowledge we have about open economy macro, from the implications of liquidity traps, to the dangers of large fiscal deficits, to macro-financial interactions, to the contours of a better international monetary and financial system. My hope and my expectation is that the IMF Economic Review will be central to the effort.” - Olivier J. Blanchard, Peterson Institute for International Economics; former Economic Counsellor and Director of Research Department, IMF

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