Monetary Economics in Globalised Financial Markets

Transcription

1 Monetary Economics in Globalised Financial Markets Bearbeitet von Ansgar Belke, Thorsten Polleit 1st ed. 2009, Corr. 4th printing Buch. xiii, 819 S. Hardcover ISBN Format (B x L): 15,5 x 23,5 cm Gewicht: 1416 g Wirtschaft > Volkswirtschaft > Makroökonomie Zu Leseprobe schnell und portofrei erhältlich bei Die Online-Fachbuchhandlung beck-shop.de ist spezialisiert auf Fachbücher, insbesondere Recht, Steuern und Wirtschaft. Im Sortiment finden Sie alle Medien (Bücher, Zeitschriften, CDs, ebooks, etc.) aller Verlage. Ergänzt wird das Programm durch Services wie Neuerscheinungsdienst oder Zusammenstellungen von Büchern zu Sonderpreisen. Der Shop führt mehr als 8 Millionen Produkte.

2 Contents 1 Money and Credit Supply Money Definition, Functions, Kinds and Origin Definition and Functions KindsofMoney OriginofMoney From the Gold to the Paper Money Standard The Gold Standard Gold Standard and the Price Level Trade, Gold Movements, Prices and Income Pros and Cons of the Gold Standard The End of the Gold Standard MoneyandCreditCreation Base Money Supply Central Bank Balance Sheet The US Federal Reserve TheEurosystem CreditandMoneyCreation Multiple Credit and Money Creation The Tinbergen Approach to the Money Multiplier OpenMarketOperations ACloserLookattheDemandforBaseMoney Supply of and Demand for Base Money Impact of Short- on Long-Term Rates Exogenous Versus Endogenous Money Supply MoneyAggregates International Definitions of Money Aggregates Digression: Divisia Monetary Aggregates Impact of Portfolio Shifts on Money Autonomous Bank Refinancing Bank Refinancing Via Selling Assets Disintermediation InversionoftheYieldCurve A Look at Global Liquidity ix

3 x Contents Calculating a Global Liquidity Aggregate The Effects of Cross-Border Selling of National Currency on National Monetary Aggregates Digression: Key Facts About Major Central Banks References Money and Credit Demand Classical Demand for Money Theory The Cambridge Approach The Role of Wealth in the Transaction Approach Keynesian Money Demand Theory Explaining the Trend of Income Velocity of Money Some Empirically Testable Money Demand Hypotheses Portfolio Oriented Money Demand Theory Monetarist Money Demand Post-Keynesian Money Demand Theory Digression: Income Velocities of US Monetary Aggregates Money-in-the-Utility Function and Cash-In-Advance Models ofmoneydemand Money-in-the-Utility Function of Money Demand Cash-in-Advance Models of Money Demand Estimating Money Demand Functions for the US andtheeuroarea MoneyDemandintheUS Euro Area Money Demand 1980-Q1 to 2001-Q Euro Area Money Demand 1980-Q1 to 2006-Q CreditDemand References Interest Rate Theories Introductory Remarks The Austrian Theory of the Interest Rate The Neo-Classical Theory of the Interest Rate The Intertemporal Budget Constraint The Intertemporal Production Frontier (IPPF) DeterminingtheMarketInterestRate SumoftheParts:theNeo-ClassicalInterestRate Knut Wicksell s Theory of the Interest Rate Wicksell s Loanable Funds Theory The Concept of the Real Neutral Interest Rate EstimatingtheNaturalRealInterestRate The Keynesian Liquidity Preference Theory NominalVersusRealInterestRates...187

4 Contents xi 3.7 Credit Spreads References Financial Market Asset Pricing Prices,ReturnsandDistributions PricesandReturns Joint, Marginal, Conditional and Unconditional Distributions Stylised Facts for International Asset Price Linkages LatestDevelopments DescriptiveStatisticsandSomeTests Measuring International Asset Return Linkages Digression: Price Earnings Ratios and Future Stock Market Performance Rational Expectations and the Efficient Market Hypothesis FormalisingtheEMH Orthogonality Property Random Walk No Abnormal Returns MarketRelevantInformation Bond Valuation Basic Valuation Concepts Prices,YieldsandtheRVF Theories of the Term Structure of Interest Rates Digression: The Information Content of the US Term Spread for Future Economic Activity The Term Structure Spread and Future Short-Term Rate Changes StockValuation Discounted Cash Flow Under EMH-RE Dividend Yields, Expected Returns and the Campbell-Shiller Model Capital Asset Pricing Model (CAPM) Portfolio Selection Theory Model of the Capital Market Line (CML) Two-Fund Separation Theorem The Capital Asset Pricing Model EstimatingtheBeta-Factor Liquidity Provision A Theoretical Framework The Financial System as a Private Provider of Liquidity Financial Fragility and Cash-in-the-Market Pricing Contagion AsymmetricInformation References Causes, Costs and Benefits of Sound Money The Objective of Price Stability

5 xii Contents The Index Regime Measuring Price Stability HeadlineVersusCoreIndices PredictivePowerofCoreInflation Role of Core Inflation in Monetary Policy Definitions of Price Stability InflationVersusPriceLevelObjective Price Level Stability and Positive Supply-Side Shocks Inflation Versus Price Level Targeting in a Simple Phillips Curve Model ABriefLookatInflationHistory CausesofInflation Monetary Inflation Theory Non-Monetary Inflation Theory Fiscal Theory of the Price Level Costs and Benefits of Inflation CostsofInflation Benefits of Inflation The Phillips Curve A Path-Dependent Long-Run Phillips Curve The Case ofhysteresis Monetary Policy and the Phillips Curve Optimal Inflation Deflation Demand and Supply Shocks and Deflation Debt-Deflation Theories AssetPriceInflation From Bubbles to Asset Price Inflation TheRoleofAssetPriceInflation References Theory of Monetary Policy Uncertainty in Monetary Policy Making Model Uncertainty Data Uncertainty The Debate About Rules Versus Discretion Arguments in Favour of Monetary Policy Discretion ArgumentsinFavourofRules The Time Inconsistency Problem Time Inconsistency in a Two-Period Model Time Inconsistency in a Multi-Period Model AlternativeSolutionstotheInflationBias Conflicting Views on the Relation Between the Degree of Monetary Policy Autonomy and Structural Reforms A Benchmark Model Results from the Benchmark Model I: Credible Commitment to a Strict Monetary Policy Rule

6 Contents xiii Autonomy Results from the Benchmark Model II: Discretion and Time Inconsistency of Optimal Monetary Policy Welfare Comparisons of Different Monetary PolicyRegimes Putting the Model into Perspective: Conditions for More Reforms Under a Discretionary Regime Conditions Favoring More Reforms Under arule-basedregime Extension to the Open Economy Case Institutions for Safeguarding Price Stability The Way Towards Central Bank Independence Dimensions of Central Bank Independence Measuring Independence Empirical Evidence The Relation Between Fiscal and Monetary Policy The Government s Single-Period Budget Constraint Seigniorage and the Budget Constraint Inflation and the Single-Period Budget Constraint The Limits to Seignorage Deficit Financing The Intertemporal Budget Constraint The Government Debt Dynamics ExtensionoftheAnalysis ConsolidationEfforts When Does It Become a Ponzi Game? Digression: The Allocation of Power in the Enlarged ECB Governing Council References Transmission Mechanisms The Effects of Changes in Money Supply Interest Rate Channel Asset Price Channel Credit Channel CreditRationing Digression I: The Financial Crisis of 2007/2008 Overview and Policy Lessons Exchange Rate Channel Theory of Crisis Transmission: The Austrian Theory ofthebusinesscycle The Vector-Autoregressive (VAR) Model A Benchmark for Analysing Transmission Mechanisms Overview on Vector Autoregression (VAR) Models Technicalities of the VAR Model ImposingRestrictions...627

7 xiv Contents Impulse Response Functions A Simple VAR Model for the US Digression II: Global Liquidity and the Dynamic Pattern of Price Adjustment: A VAR Analysis for OECD Countries Monetary Policy and the Zero Bound to Nominal Interest Rates Alternative Channels for Monetary Policy References Monetary Policy Strategies Strategy Requirements On the Monetary Policy Strategy IntermediateVariable A Model for Intermediate Targeting Monetary Targeting (MT) MoneyGrowthTargets The Income Velocity of Money Inflation Indicators Measures of Excess Liquidity ThePriceGap TheRealMoneyGap TheNominalMoneyGap The Monetary Overhang Comparisons of the Measures of Excess Liquidity The Difference Between the Nominal Money Gap and the Monetary Overhang The Difference Between the Nominal Money Gap andtherealmoneygap InflationTargeting(IT) The Role of the Inflation Forecast Under IT A Critical Review of the Inflation Forecasting Exercises Nominal Income Targeting (NIT) Positive Demand Side Shock Negative Demand Side Shock Positive Supply Side Shock Negative Supply Side Shock ACriticalReviewofNIT ComparingNITwithMT TheTaylorRule A Taylor Rule for the Swedish Riksbank TheMeasurementProblemsoftheTaylorRule DoestheTaylorRuleQualifyasaPolicyStrategy? ComparingtheTaylorRulewithMT TheMcCallumRule CalculatingtheMcCallumRule IllustrationsoftheBasicMcCallumEquation ExtensionsoftheMcCallumRule...735

8 Contents xv FinalRemarks InterestRateTargeting Monetary Policy and the Neutral Real Interest Rate Poole s Analysis of Interest Rate Targeting Versus Monetary Targeting Poole s Analysis in the Context of Stochastic Shocks The Monetary Conditions Index (MCI) Digression:HowtheECBandtheUSFedSetInterestRates References Index...797