有限的能源供應、太陽黑子和貨幣政策.pdf

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1、Limited energy supply,sunspots,and monetary policyIMF/Norges Bank/IMFER-OsloNils Gornemann1,Sebastian Hildebrand2and Keith Kuester3June 15,20231Board of Governors of the Federal Reserve System2University of Bonn3University of Bonn,CEPR,ECONtributeThe views expressed herein are the authors.They do no

2、t necessarily reflect the views of the Board of Governors or the Federal Reserve System.1MotivationEurope has seen a monumental change in the external environment shortages of imported goods,energy most recently volatile import/energy pricesShould this affect the way we think about monetary policy?A

3、ctive or passive response?2What we do provide conditions under which self-fulfilling fluctuations could arisefrom supply constraints on an input factor(here:energy)how can monetary policy can prevent those fluctuations?pencil-and-paper calibrated model3New Keynesian small open economyBlanchard/Gal(2

4、009)meets Bilbiie(2021)heterogeneous households(two-types)consume goods and energy produce goods using labor and energy,nominal rigidities energy either owned domestically or imported from ForeignWe deviate as regards the energy environment inelastic supply of energy energy price moves flexibly to c

5、lear the domestic market for energy4Energy-price-economic-activity feedback loop closed economySuppose non-fundamental beliefs of high energy prices high marginal costs costs not passed on(nominal rigidities)depresses markups redistribute to high MPC hh aggregate demand rises unless monetary policy

6、curbs domestic demand enough production rises and this requires energy energy price responds to demand conditionsvalidated.5Energy-price-economic-activity feedback loop open economySuppose non-fundamental beliefs of high energy prices with Foreign ownership high marginal costs costs not passed on(no

7、minal rigidities)depresses markups redistribute to high MPC hh in Home and redistribute to Foreign(lower markups and high energy price)external demand linked to terms of trade:higher external demand(MPC of Foreign)aggregate demand rises unless monetary policy curbs domestic demand enough production

8、rises and this requires energy energy price responds to demand conditionsvalidated.6Heterogeneity and fiscal supportIncome redistribution:labor supply needs to rise,wages rise supports demand by hand-to-mouth householdsEnergy in consumption,not only production:counteracts rising wages for effective

9、incomes makes energy supply to firms more elasticSubsidies to energy:dampen reduction in demand support energy price further7Implications for monetary policy respond to energy price even though energy price flexible energy price matters for demand stronger response to consumer-price inflation core C

10、PI inflation:23.84,headline CPI inflation:2.66 target input price inflation(lean against wage and energy price):18Related literature literature on energy and the macroeconomy e.g.Blanchard and Gal,2009;Blanchard and Riggi,2013;Datta et al.,2021;Knzig,2022;Nakov and Pescatori,2009;Olivi et al.,2022 a

11、nd many others contribution:scarce energy supply can generate self-fulfilling loops literature questioning the Taylor principle e.g.Ascari and Ropele,2009;Bilbiie,2008;Branch and McGough,2009;Gal et al.,2004;Holden,2022 and many others contribution:novel mechanism through imported energy shortages l

12、iterature on optimal monetary policy and shocks e.g.Airaudo and Zanna,2012;Aoki,2001;Bodenstein et al.,2008;Carlstrom et al.,2006;Eusepi et al.,2011;Rubbo,2022 and many others contribution(i):choice of price index matters for determinacy contribution(ii):better not“see through shocks”9ModelHousehold

13、s maximize lifetime utility E0?Pt=0t?C1i,t1 N1+i,t1+?hours worked,Ni,t consumption aggregator Ci,t=?1?Ci,E,t e?1+(1 )1C1i,G,t?1:share of energy in consumption:willingness to substitute goods and energy e:subsistence level of energy energy consumption10Budget constraintsExposition here assumes all en

14、ergy is owned by Foreign.Savers:Bt1+PE,tCS,E,t+PG,tCS,G,t=WtNS,t+Pt(DtTt)1+s1Bt1Rt1 share 1 of savers,stay saver with probability s own firms pay all taxes risk-free nominal bond Bt,at nominal return RtHand-to-mouth households:PE,tCH,E,t+PG,tCH,G,t=WtNH,t+1sBt1Rt111DetailsHouseholds optimality condi

15、tions consumption allocationCi,E,t e=?PE,tPt?Ci,tandCi,G,t=(1 )?PG,tPt?Ci,t labor supply decision:Wt/Pt=Ci,tNi,t savers intertemporal consumption decision:CS,t=Et?sCS,t+1+(1 s)CH,t+1?Rtt+1?12Firms differentiated goods,demand elasticity 1 production function:YG,t=hE1t+(1 )N1ti1:share of energy:elasti

16、city of substitution between energy and labor quadratic price adjustment costs standard NK Phillips curve13DetailsMonetary and fiscal policyFiscal policy balanced budget households and firms pay PE,tfor energy,Foreign receivesePE,t energy subsidy ifePE,tePE taxes fall on saver households.Monetary po

17、licy Rt/R=(G,t)14Foreign supplies energy energy in fixed supply,E energy price PE,tdetermined by market clearing in Home imports Home goods budgetBt=ePE,tE PG,tXG,t+Rt1(Bt1)can accumulate net foreign assets(Bt)15Foreign demand parameterize Foreigns demand for Home goodsXG,tXG=?YtY?1 exp?2Bt1/Pt1Y?Fo

18、reigns energy revenues,in real terms:Yt=ePE,t/PG,t E 1:Foreigns marginal propensity to demand exports out of energy revenues 2:Foreigns marginal propensity to consume out of savings16Market clearing bonds:domestic savings equal foreign debt labor:Nt=NH,t+(1 )NS,t energy:E=CH,E,t+(1 )CS,E,t+Et goods:

19、YG,t=CH,G,t+(1 )CS,G,t+XG,t GDP:PtGDPt=PG,tCG,t+ePE,tCE,t+PG,tXG,tePE,tE17Paper-and-pencil intuitionSimplifying assumptions for now representative household(saver)energy is used in production only balanced trade share of energy in production equals elasticity of substitution 1Three-equation represen

20、tation analogous to closed economy in Bilbiie(2008).18EquationsSignsThreshold for determinacyTaylor principle is violated(need 1 for determinacy)if and only if12?/1 23.84 headline CPI:determinacy if 2.66some alternatives input-price inflation:determinacy if 1.0 or respond to energy price itself suff

21、iciently strongly25DefinitionsDeterminacy for alternative parameterizations of Taylor ruleRt=G,t,00.01.0abundantupper with abundant energy supply,determinacy for 1.39 with scarce energy supply,local determinacy for 126Determinacy for alternative parameterizations of Taylor ruleRt=G,t,00.01.0abundant

22、upper with abundant energy supply,determinacy for 1.39 with scarce energy supply,local determinacy for 126Determinacy for alternative parameterizations of Taylor ruleRt=G,t,00.01.0abundantupper with abundant energy supply,determinacy for 1.39 with scarce energy supply,local determinacy for 126Determ

23、inacy with dovish policyRt=G,t,00.01.0abundantupperlower.or for.01 (1+)sgne =sgn?+(1 )?=e 01 1?+?(1+)0 and 1?+?0,also e 0 for e 0 or e 12?/1 ,that is,if the Phillips curve absent energy-price feedback is sufficiently flat(low?/),ifhouseholds are sufficiently unwilling to substitute intertemporally(h

24、igh),and ifenergy inputs are a sufficiently important cost factor in production(high).42BackAppendix:Calibration other parametersHouseholdsdiscount factor;2%real rate of interestinverse of IES;realistic IES of consumption of 1/3disutility of labour supply;normalize labor supply to unity;implies 0.89

25、98Frisch elasticity of labor supply of 1/2;in line with range in literatureshare of hand-to-mouth households of 0.22;estimates by Slacalek et al.(2020)sprobability of staying unconstrained of 0.98;Bilbiie et al.(2022)Firmselasticity of substitution varieties;conventional 10%markupprice adjustment co

26、sts;match 0.05 slope of NKPC,implies 500Energy supply2Foreigns MPC out of savings of 0.02,stabilize net foreign assetsGovernmentyproduction subsidy;no markup in steady statedno profit redistribution;savers receive profits and pay all taxesresponse to inflation of 1.5;standard value43BackAppendix:Cal

27、ibration how to think about Foreigns MPC?energy exporter is an emerging-market economy w/o sovereign wealth fund facts to keep in mind:emerging-market economies have higher MPCs financial trade with Russia,but also other energy exporters,is limited due to sanctions,implying a relatively higher MPC(c

28、loser to instant settlement)current situation:are Russians in the middle of a severe crisis likely to save or spend?MPC also governs the behavior of debt relative to the trade volume,how much would acountry borrow to another country(in percent of trade volume)?MPC out of energy revenues is likely to

29、 be higher than“normal”MPC(e.g.due topro-cyclicality of government spending in energy exporting countries)!44BackAppendix:Calibration symmetric across householdsVariableValueDescriptionVariableValueDescriptionHouseholdsPricesC1.0556ConsumptionG=1InflationCE0.19Energy cons.PE/P0.055705Real energy pri

30、ceCG0.9405Goods cons.PG/P1.1141Real goods priceN1Labor supplyW/P1.0584Real wageProductionR1.005Gross nom.rateYG1OutputE1Energy in prod.D0.11141Profits1.1141Real marginal costsHouseholds energy expenditure share&firms energy expenditure share as targeted,economy-wide expenditure on energy over value

31、of output is 5.95%.45BackAppendix:Quantitative results methodology Bianchi and Nicol(2021):approach to deal with indeterminacy in LRE models augment original state space with a set of auxiliary exogenous equations to achieve theadequate number of explosive roots the solution in the expanded state sp

32、ace is always determinate and identical to theindeterminate solution in the original state space selection of equilibrium based on zero restriction:set correlation of the fundamentaldisturbances with the sunspot shocks to zero other approaches select other equilibrium but span the same set of equili

33、bria e.g.Lubik and Schorfheide(2004)minimize distance between IRFs of indeterminate anddeterminate solution at boundary of determinacy region irrelevant for determinacy threshold,only matters for the precise shape of the IRFs whichwe just use to illustrate the mechanism that causes the indeterminacy

34、46BackAppendix:Quantitative results methodologyour case:up to one degree of indeterminacy add one auxiliary equation and sunspotshock,t,linking(any)forecast error to the sunspot shock,for instance,logt=logt1+,t+?logCt Et1logCt?determinate model:choose 1,one additional explosive root sunspot affects

35、equilibrium,tmust be zero,hence,sunspot shifts forecast error therebyaffecting agents decisions,for instance,consumption is non-fundamentally higher thanexpected(variable does not matter here)47BackIRFs:fundamental energy price increase under hawkish policyEnergy price,PE,t/PtCore inflation,G,tNomin

36、al rate,RtSs goods cons.,CS,G,tOutput,YG,t048120510150481200.010.020.030.040481200.5104812-0.4-0.3-0.2-0.100481200.050.10.150.2Exports,XG,t/YGGoods cons.,CG,tHs goods cons.,CH,G,tReal wage,Wt/PtGDP,GDPt0481200.20.40.604812-0.4-0.3-0.2-0.1004812-0.4-0.2004812-0.8-0.6-0.4-0.2004812-1-0.50quartersquart

37、ersquartersquartersquartersPercentage dev.from st.st.,except exports(percent of st.st.output).Interest&inflation rates are in ann.pp.;=23.84,core inflation.20%fundam.increase in energy import prices marginal costs and core inflation increase CB increases interest rates a lot savers consumption falls

38、 much more effect of heterogeneity muted because real wage falls48SunspotAppendix:Quantitative results sensitivity analyses model features Foreigns MPC:essential for feedback loop,higher foreign demand kick-starts thefeedback loop,baseline is determinate for 1 0.3 household heterogeneity:crucial at

39、baseline(foreign demand kick-starts,Keynesianmultiplier fuels),for 1 0.7,even for rep.agent model not determinate elasticity of energy supply:weakens(but not necessarily overturns)the results,for smallelasticities,Taylor principle still insufficient domestic ownership of energy supply:standard deter

40、minacy regions,feedback loop isinitialized by foreign demand(some)parameter choices firms energy dependence strengthens results,households weakens energy demand elasticity weakens results,subsistence strengthens intertemporal elasticity of substitution weakens results labor supply elasticity weakens

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