On the optimal monetary policy response to noisy indicators

• 成果类型: Article; Proceedings Paper
• 署名作者: Aoki, K
• 署名单位: Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(03)00023-0
• 发表日期: 2003
• 页码: 501-523
• 关键词: Optimal monetary policy; data uncertainty; policy cautiousness

摘要

We describe a behavior of a central bank when its measures of current inflation and output are subject to measurement errors, in a framework of optimizing models with nominal price stickiness. In our model, a central bank sets the interest rate equal to its current estimate of the so-called Wicksellian natural rate of interest. This is shown to imply that the interest rate responds to the central bank's estimates of both current inflation and output gap, as advocated by Taylor (1993). It is also shown that the noise contained in the indicators justifies a degree of policy cautiousness. A reduced-form representation of optimal policy should exhibit interest-rate smoothing, which is often found in the empirical literature on monetary policy reaction functions. (C) 2003 Elsevier Science B.V. All rights reserved.