Inflation Control in a CVAR Model With an Application to the Burns/Miller Period in the USA
研究了如何通过政策工具使非平稳通胀率变得平稳，发现伯恩斯/米勒时期美国政策利率冲击对通胀有显著正向长期影响，且长期债券利率与政策利率等缺乏协整关系，因此提高联邦基金利率无法降低通胀。
ABSTRACT The paper addresses the problem of “how to make a nonstationary inflation rate stationary by controlling the policy instrument”. It shows that a necessary condition is a significant non‐zero element in the long‐run impact matrix. An application to US data covering the Burns/Miller periods finds a significant, but positive, long‐run impact on inflation from a shock to the policy rate. Furthermore, the long‐term bond rate was not found to be cointegrated with the policy rate, the treasury bill rate, nor with the inflation rate. Thus, important links were missing and it would not have been able to bring US CPI inflation down in this period by raising the federal funds rate.