Asset price beliefs and optimal monetary policy

• 成果类型: Article
• 署名作者: Caines, Colin; Winkler, Fabian
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.07.006
• 发表日期: 2021
• 页码: 53-67
• 关键词: Optimal monetary policy; asset prices; Natural real interest rate; learning; Leaning against the wind

摘要

We characterize optimal monetary policy when agents learn about endogenous asset prices. Learning leads to inefficient asset price fluctuations and distortions in consumption and investment decisions. We find that the policy-relevant natural real interest rate increases with subjective asset price beliefs. Optimal monetary policy raises interest rates when expected capital gains are high, but does not eliminate deviations of asset prices from their fundamental value. When we add investment to the model, optimal policy also leans against the wind. In a simple calibration of the model, a positive response to capital gains in simple interest rate rules is beneficial. Published by Elsevier B.V.