Very Low Interest Rate Policy under Imperfect Capital Mobility

概要

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After the global financial crisis, very low interest rate policy, which includes a zero interest rate policy (ZIRP) or a quantitative easing policy (QEP),spread throughout the United States, Japan, and Europe. International capital movements did not respond to returns sufficiently, because international investors had become more sensitive to risks during the financial crisis. In this paper, we construct a two-country model with imperfect capital mobility and the difference of the price-adjustment speed between countries. We characterize the optimal response of monetary policies to an asymmetric productivity shock by conducting numerical analyses. There were three primary results of our analysis. First, there exists a policy objective trade-off between output stability and optimal allocation of resources. The slightly tight monetary policy was found to be optimal, in the sense of the marginal cost equalization of the two objectives. Second, the higher the sensitivity of international capital mobility to a difference of returns, the smaller the interest cut necessary. Third, if capital is completely immobile between sectors, the policy rule insisted by Aoki (2001) is the optimal response.