© 2003 Prentice Hall Business PublishingMacroeconomics, 3/eOlivier Blanchard Prepared by: Fernando Quijano and Yvonn Quijano 14 C H A P T E R 预期：基本工具

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 理性预期与新古典宏观经济学  理性预期假设是新古典宏观经济学的核心信条之一  卡特和马多克： “ 因为所有的经济决策实际上都涉及对 未来不确定的收益采取行动，因此对未来的预期在决策 中是至关重要的。 ”  如，通货膨胀的预期会影响工会与雇主之间的谈判。如果工会 的谈判者低估了商定工资契约时期的通货膨胀率，工人就可能 发现他们遭受名义工资增加和实际工资的减少。  理性预期的政策主张  上有政策、下有对策  当政策的效果被人们事先完全预期到，政策就变得无效

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 名义利率与实际利率 14-1  Nominal interest rates are interest rates expressed in terms of dollars.  Real interest rates are interest rates expressed in terms of a basket of goods.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 名义利率与实际利率 Definition and Derivation of the Real Interest Rate i t = nominal interest rate for year t. r t = real interest rate for year t. (1+ i t ): Lending one dollar this year yields (1+ i t ) dollars next year. Alternatively, borrowing one dollar this year implies paying back (1+ i t ) dollars next year. P t = price this year. P e t+1 = expected price next year.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 名义利率与实际利率 then, we have Consequently, Given, and knowing that If the nominal interest rate and the expected rate of inflation are not too large, a simpler expression is:  The real interest rate is (approximately) equal to the nominal interest rate minus the expected rate of inflation.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 名义利率与实际利率  Here are some of the implications of the relation above:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Nominal and Real Interest Rates in the United States Since 1978 Nominal and Real One-Year T-bill Rates in the United States, While the nominal interest rate has declined considerably since the early 1980s, the real interest rate is actually higher in 2001 than it was then.  Despite the large decline in interest rates, borrowing is actually more expensive in 2001 than it was in 1981.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 预期贴现值 预期贴现值 Computing Present Discounted Values The expected present discounted value of a sequence of future payments is the value today of this expected sequence of payments  The term 1/(1+i t ) is called the discount factor, and the one-year nominal interest rate, i t, it is often called the discount rate.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 预期贴现值 (a) One dollar this year is worth 1+i t dollars next year. (b) If you lend/borrow dollars this year, you will receive/repay dollar next year. dollars this year, you will receive/repay dollar next year. (c) One dollar is worth dollars two years from now. (d) The present discounted value of a dollar two years from today is equal to

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 贴现值计算通式  The present discounted value of a sequence of payments, or value in today’s dollars equals:  When future payments or interest rates are uncertain, then:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Using Present Values: Examples  This formula has these implications:  Present value depends positively on today’s actual payment and expected future payments.  Present value depends negatively on current and expected future interest rates.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard （ 1 ） Constant Interest Rates  To focus on the effects of the sequence of payments on the present value, assume that interest rates are expected to be constant over time, then:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard （ 2 ） Constant Interest Rates and Payments  When the sequence of payments is equal—called them $z, the present value formula simplifies to:  The terms in the expression in brackets represent a geometric series. Computing the sum of the series, we get:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard （ 3 ） Constant Interest Rates and Payments, Going on Forever  Assuming that payments start next year and go on forever( 例如，无限期债券的情况 ), then:  Using the property of geometric sums, the present value formula above is:  Which simplifies to:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard 名义利率、实际利率与现值  Replacing nominal interest with real interest rates to obtain the present value of a sequence of real payments, we get:  Which can be simplified to:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Nominal and Real Interest Rates, and the IS-LM Model  When deciding how much investment to undertake, firms care about real interest rates. Then, the IS relation must read: 14-3  The interest rate directly affected by monetary policy—the one that enters the LM relation—is the nominal interest rate, then:  The real interest rate is:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Money Growth, Inflation, and Nominal and Real Interest Rates  This section focuses on the following assertions:  Higher money growth leads to lower nominal interest rates in the short run, but to higher nominal interest rates in the medium run.  Higher money growth leads to lower real interest rates in the short run, but has no effect on real interest rates in the medium run. 14-4

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Revisiting the IS-LM Model Equilibrium Output and Interest Rates The equilibrium level of output and the equilibrium nominal interest rate are given by the intersection of the IS curve and the LM curve. The real interest rate equals the nominal interest rate minus expected inflation.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Nominal and Real Interest Rates in the Short Run The Short-run Effects of an Increase in Money Growth An increase in money growth increases the real money stock in the short run. This increase in real money leads to an increase in output and a decrease in both the nominal and the real interest rate.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Nominal and Real Interest Rates in the Medium Run  In the medium run,, then:  The relation between the nominal interest rate and the real interest rate is:  In the medium run, the real interest rate equals the natural interest rate, r n, then:  In the medium run, expected inflation is equal to actual inflation, so  Finally, in the medium run, inflation is equal to money growth:

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Nominal and Real Interest Rates in the Medium Run  In the medium run, the nominal interest rate increases one for one with inflation. This result is known as the Fisher effect, or the Fisher Hypothesis. （费雪或费希尔假说）  For example, an increase in nominal money growth of 10% is eventually reflected by a 10% increase in the rate of inflation, a 10% increase in the nominal interest rate, and no change in the real interest rate.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard From the Short Run to the Medium Run （ 考察动态过程 ）  In the short run, lower nominal interest rates lead to higher output and inflation. In the medium run, this situation changes.  In the short run,  Over time,  In the medium run,

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard From the Short Run to the Medium Run The Adjustment of the Real and the Nominal Interest Rate to an Increase in Money Growth An increase in money growth leads initially to a decrease in both the real and the nominal interest rate. Over time, the real interest rate returns to its initial value. The nominal interest rate converges to a new higher value, equal to the initial value plus the increase in money growth.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Evidence on the Fisher Hypothesis  To see if increases in inflation lead to one-for- one increases in nominal interest rates, economists look at:  Nominal interest rates and inflation across countries. The evidence of the early 1990s finds substantial support for the Fisher hypothesis.  Swings in inflation, which should eventually be reflected in similar swings in the nominal interest rate. Again, the data appears to fit the hypothesis quite well.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Evidence on the Fisher Hypothesis Nominal Interest Rates and Inflation Across Latin America in the Early 1990s Roughly half of the points are above the line, the other half below. This is evidence that a 1% increase in inflation should be reflected in a 1% increase in the nominal interest rate.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Evidence on the Fisher Hypothesis The Three-Month Treasury Bill Rate and Inflation, The increase in inflation from the early 1960s to the early 1980s was associated with an increase in the nominal interest rate. The decrease in inflation since the mid- 1980s has been associated with a decrease in the nominal interest rate.

© 2003 Prentice Hall Business PublishingMacroeconomics, 3/e Olivier Blanchard Key Terms  nominal interest rate, nominal interest rate, nominal interest rate,  real interest rate, real interest rate, real interest rate,  expected present value, expected present value, expected present value,  discount factor, discount factor, discount factor,  discount rate, discount rate, discount rate,  present discounted value, present discounted value, present discounted value,  present value, present value, present value,  Fisher effect, Fisher hypothesis, Fisher effect, Fisher hypothesis, Fisher effect, Fisher hypothesis,