Monetary Economics Seminar of Kobe University
第607回International Symposium on Monetary Policy
Jointly Supported by Grant-in-Aid for Scientific Research (S) #20H05633 / RIEB Seminar / Center for Computational Social Science of Kobe University
Date & Time
Hybrid (Face to Face / Online by Zoom)
The seminar is for the workshop members only.
Slides data will be sent to the attendees only.
2:00pm ～ 3:20pm
- Monetary Policy Surprises: What Were They Thinking?
- Kenneth Neil KUTTNER (Department of Economics, Williams College)
- Most state-of-the-art applied research in monetary economics uses unexpected changes in the federal funds rate ("surprises") as a proxy for exogenous policy actions ("shocks"). The information content of these surprises is a topic of ongoing debate, however. In this paper, we use internal Fed documents to better understand the nature of the surprises, and why the Fed chose to deviate from market expectations. Specifically, we use deviations from the "default" policy settings in the Bluebook and Greenbook as indicators to distinguish shocks from endogenous reactions to economic conditions. We find that the effects of interest rate surprises that are associated with the Bluebook and Greenbook defaults are more "shock-like" than those that do not.
3:20pm ～ 3:40pm 休憩（Short Break)
3:40pm ～ 5:00pm
- Inflation, Business Cycle, and Monetary Policy: The Role of Inflation Pressure
- 柴本 昌彦（神戸大学計算社会科学研究センター）
Masahiko SHIBAMOTO (Center for Computational Social Science, Kobe University)
Despite growing attention to the importance of trend inflation and inflation expectations in inflation dynamics, there is insufficient empirical evidence on their driving forces and economic significance.
This paper proposes a novel empirical framework to analyze the causality between future inflation, the business cycle, and monetary policy. Our framework of a structural vector autoregressive model measures the inflation pressures as anticipated shocks to future inflation caused by surprise changes in the variables other than the inflation itself.
Empirical results reveal that identified inflation pressures qualify as demand-pull factors in the inflation dynamics and act as driving forces for stochastic changes in trend inflation. Furthermore, the economic significance of inflation pressures hinges on the systematic response of monetary policy to them. These results have implications for central banks in that their preemptive and proactive policy reactions to inflation forecasts are crucial to achieving their goal of macroeconomic stability.