Is There an Operational Interest Rate Rule
检验了Siegel（1983）提出的一个看似可操作的利率规则，该规则仅需价格和利率的协方差即可实施，但作者指出该规则违反了Lucas批判，在价格灵活和代理人观察本地价格的模型中，总供给和总需求函数的系数会随货币供给规则变化，导致规则不可操作。
In his 1983 paper, Jeremy Siegel derives a seemingly implementable policy rule involving optimal responses to interest rates. The existence of such a rule would be of tremendous interest to central banks whose monetary policies place heavy weight on responses to interest rates. The Siegel rule is especially appealing because it is (i) an optimal combination policy in the sense of William Poole (1970), and (ii) the proposed implementation of the rule does not require detailed knowledge of the structure of the economy. All that is required is a calculation of the covariance between innovations in prices and interest rates. Within the confines of a rational expectations equilibrium model, in which Siegel assumes agents do not make use of information embodied in the current nominal interest rate, he is able to design an optimal combination policy that does not require detailed information about the economy. That such an optimal policy exists is not new, but that it can be easily implemented is novel.' The policy rule depends solely on the covariance between innovations in the aggregate price level and innovations in the nominal rate of interest, normalized by the variance of innovations in the interest rate. When this index is zero, policy has been set optimally. When the index is positive the feedback term on interest rates in the money supply rule is too large, and when the index is negative the feedback term is too small. Given that one can obtain reduced-form expressions for prices and interest rates, the index is easily computed. Unfortunately, Siegel's proposal violates Robert Lucas's (1976) critique. That is, he implicitly treats as invariant certain aspects of economic behavior that will generally change when one moves to an operational interest rate This note shows in detail that in a model where prices are flexible and agents observe local market prices (i.e., the model at least employed verbally by Siegel), that the coefficients in the aggregate supply and demand functions are not invariant to the form of the money supply rule. This lack of invariance will cause Siegel's rule to be nonoperational. The sensitivity of parameters in aggregate supply functions to policy is not restricted to equilibrium models with flexible prices. This property also extends to contracting models with endogenous indexing (see, for example, Jo Anna Gray, 1976). Therefore, Siegel's rule will not be implementable in a wide variety of commonly used macro models.