Central Bank Balance Sheet Policies Without Rational Expectations
研究了在人们通过迭代层次思维形成预期时，量化宽松和外汇干预等央行资产负债表政策的效果，发现这些政策在理性预期下无效，但在层次思维下有效，且资产购买对产出的影响取决于资产回报的周期性。
Abstract We study the effects of central bank balance sheet policies—namely, quantitative easing and foreign exchange interventions—in a model where people form expectations through an iterative level-k thinking process. We emphasize two main theoretical results. First, under a broad set of conditions, central bank interventions are effective under level-k thinking, while they are neutral in the rational expectations equilibrium. Second, when preferences exhibit constant relative risk aversion, asset purchases increase aggregate output if they target assets with pro-cyclical returns but reduce it if asset returns are counter-cyclical. Finally, we empirically show that forecast errors about future asset prices are predictable by balance sheet interventions, a property that differentiates our channel from popular alternatives, such as portfolio-balance and signaling channels.