THE NEUTRALITY OF NOMINAL RATES: HOW LONG IS THE LONG RUN?

• 成果类型: Article
• 署名作者: Azevedo, Joao Valle E.; Ritto, Joao; Teles, Pedro
• 署名单位: Banco de Portugal; Universidade Nova de Lisboa; University of Pennsylvania; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12584
• 发表日期: 2022
• 页码: 1745-1777
• 关键词: unit-root tests; Panel cointegration; inflation; regression; TRENDS; real

摘要

We revisit the empirical relationship between policy interest rates and inflation aimed at understanding the reasons for persistently low inflation in Japan and the euro area and why monetary policy has been unable to raise it. We document the long-run positive relationship between nominal rates and inflation across countries and across time. We also find that a permanent rise in nominal rates leads to an increase in inflation, also in the short run. These findings suggest that the low inflation outcomes are a result of policy rates being kept too low for too long.