Information, central bank communication, and aggregate fluctuations .

摘要

This thesis examines two closely related issues: (1) the ability of imperfect information models to explain some aspects of business cycle dynamics, and (2) the interaction between central bank communications and monetary policy. These issues are related because central bank communications can only be studied in models with imperfect information.Chapter 2 explores the relationship between central bank statements about future policy and the degree of commitment. I allow the central bank to make (possibly vague) statements about its expected future policy. I begin by assuming that the central bank adopts a loss function which internalizes the bygone costs of deviating from such a pre-announced policy action. The resulting policy is a convex combination of pure discretion and full commitment. As the precision of central bank statements increases, this policy converges to the full commitment policy. I then show that this type of commitment to internalize bygone costs is sustainable only for moderate degrees of precision.Chapter 3 studies the impact of central bank communications about the state of the economy. In particular, I examine the extent to which increased central bank transparency creates a meaningful trade-off between beneficially conveying fundamental information and adversely contaminating observed data with the central bank's opinion. This question is addressed in a variant of the model from chapter 1. In this environment, both the central bank and private agents learn about the state of the economy from observations of endogenous variables. By making the central bank learn from endogenous variables, I am able to study the impact of communications precision on the bank's signal extraction problem.In chapter 1, I investigate the ability of a noisy rational expectations model to generate plausible macroeconomic dynamics. The model allows for imperfect, heterogeneous information, and signal extraction from endogenous variables. I find that imperfect information significantly improves the model's ability to generate persistent, hump-shaped responses to a transitory monetary policy shock. This is achieved without the need for mechanical frictions. In addition, the model generates realistic inflation forecast errors.