ノアピニオン氏がブルームバーグ論説で、過去数年間で最も興味深い論文として、ハーバード*1のXavier Gabaixの「A Behavioral New Keynesian Model」という論文紹介している(H/T Economist's View)。

This paper presents a framework for analyzing how bounded rationality affects monetary and fiscal policy. The model is a tractable and parsimonious enrichment of the widely-used New Keynesian model — with one main new parameter, which quantifies how poorly agents understand future policy and its impact. That myopia parameter in turn affects the power of monetary and fiscal policy in a microfounded general equilibrium.
A number of consequences emerge. First, fiscal stimulus is powerful and, indeed, can pull the economy out of the zero lower bound. More generally, the model allows for the joint analysis of optimal monetary and fiscal policy. Second, the model helps solve the “forward guidance puzzle,” the fact that in the rational model, shocks to very distant rates have a very powerful impact on today’s consumption and inflation: because the agent is de facto myopic, this effect is muted. Third, the zero lower bound is much less costly than in the traditional model. Fourth, even with passive monetary policy, equilibrium is determinate, whereas the traditional rational model generates multiple equilibria, which reduce its predictive power. Fifth, the model is also “neo-Fisherian” in the long run, but Keynesian in the short run — something that has proven difficult for other models to achieve: a permanent rise in the interest rate decreases inflation in the short run but increases it in the long run. The non-standard behavioral features of the model seem warranted by the empirical evidence.


First, the battle between Neo-Fisherism and traditional monetarism is resolved -- low interest rates increase inflation for a while, and then decrease it in the long run. So both theories are right. That result seems to fit the experience of Japan, which has had interest rates at zero for decades, without any sustained rise in consumer prices.


Finally, Gabaix’s idea seems to fit our experience with the zero interest rates. Nominal interest rates can never go very far below zero. In typical theories, this sends the economy nose-diving into a deflationary spiral. But in reality, economies that experience very low rates for many years -- first Japan, and now the U.S. -- seem to grow slowly and have low inflation, but not crash. In Gabaix’s model, that’s exactly what happens.