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Stabilizing Taylor rules and determinacy under unit root supply shocks: A re-examination
Journal of Macroeconomics ( IF 1.556 ) Pub Date : 2021-04-03 , DOI: 10.1016/j.jmacro.2021.103312
Marco M. Sorge

I revisit the stabilizing and determinacy properties of Taylor-type policy rules in the canonical New Keynesian model when allowing for a unit root in the supply shock process. While able to offset inflationary pressure from non-stationary disturbances, interest-rate feedback rules that are unresponsive to fluctuations in the output gap necessarily produce unstable dynamics and explosive volatility for the latter. Specifically, rules fulfilling the Taylor principle are found to enforce the unique (non-stationary) equilibrium featuring well-anchored inflation expectations and immunity to sunspots; yet there exists no equilibrium predicting stationary behavior for both the inflation and output gap series, irrespective of whether the policy stance induces determinacy or indeterminacy. I show this property survives the adoption of forecast-based instrument rules, and also explore the relationship between Taylor-type rules and optimal discretionary policies in this particular New Keynesian environment.



中文翻译:

在单位根供应冲击下稳定泰勒规则和确定性:重新审查

当在供应冲击过程中考虑到单位根时,我将重新审视经典的新凯恩斯主义模型中泰勒式政策规则的稳定性和确定性。尽管能够抵消非平稳扰动引起的通货膨胀压力,但对产出缺口波动无反应的利率反馈规则必然会产生不稳定的动力和后者的爆炸性波动性。具体来说,发现满足泰勒原理的规则可以增强独特的(非平稳)均衡,其特征是锚定的通货膨胀预期和对黑斑的免疫力;然而,无论政策立场是引起确定性还是不确定性,都没有均衡的指标可以预测通货膨胀和产出缺口序列的平稳行为。

更新日期:2021-04-09
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