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KAKO VRATITI

NOVAC U MONETARNU

POLITIKU

Rezime

Rezultati ovog rada pokazuju da je potrebno povećati realnu masu novca u opticaju putem smanjenja obaveznih deviznih rezervi bez narušavanja sistema ciljane inflacije Standardni DSGE model sa odgovarajućim adaptacijama pokazuje da bi se time postigla veća stopa rasta BDP-a uz svođenje inflacije na nivo ciljane inflacije u periodu od osam kvartala Efekat smanjenja obaveznih rezervi imao bi sličan rezultat kao i jednokratni pozitivni šok porasta agregatne tražnje

U povećanju novčane mase postoje granice u okviru kojih relaksacija monetarne politike ne bi morala da kompromituje obaranje inflacije Izvan te granice postoji klasičan trade-off između inflacije i privrednog rasta

Model koji je razvijen u ovom radu jeste modifikovani novo-kejnzijanski model koji osim referentne kamatne stope vodi računa i o oportunitetnom trošku nekamatonosne aktive koja zavisi od regulatorne politike centralne banke On na transparentan način povezuje politiku obaveznih rezervi sa politikom ciljane inflacije i prati njihove efekte na realni kurs i realnu kamatnu stopu a preko njih i na nivo privredne aktivnosti To predstavlja novinu koju ovaj rad pruža u odnosu na dosadašnje analize monetarne politike u okviru novo-kejnzijanskog teorijskog pristupa

Ključne reči Ciljana inflacija obavezne rezerve DSGE modeli recesija tražnja za novcem oportunitetni trošak nekamatonosna aktiva novo-kejnzijanski modeli NBS

JEL klasifikacija E47 E58

originalni naučni rad

UDK 3382333674(49711)

Prof dr Miroljub LabusPravni fakultet Univerziteta u Beogradu

Miroljublabusiusbgacrs

Rad primljen 09122011

Odobren za štampu 22122011

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Summary

How should monetary policy in Serbia react to the second wave of the current crisis This paper calls for monetary easing by reducing mandatory foreign currency reserve requirements Contrary to widespread doubts this is compatible with inflation targeting regime and the associated policy of inflation control under reasonable conditions Standard DSGE model which is the analytical basis of both this paper and the NBSrsquos model with suitable modifications indicates that a one-off decrease of required reserves would result in a higher GDP growth rate along with reduction of inflation rate to the target level over the period of eight quarters The effect of downward adjusted mandatory reserves would be similar to a positive shock in aggregate demand That would be a useful policy in the situation when another wave of recession threatens

Of course an increase of money stock has certain limits that permit an easing of monetary policy without compromising anti-inflation measures Beyond those limits there is a classic trade-off between inflation and economic growth

The model developed in this paper is a modified New-Keynesian model In addition to policy interest rate it also accounts for opportunity cost of non-interest bearing assets which depends on central bankrsquos regulatory policy That way it makes a transparent link between regulative policy of the NBS and its inflation targeting policy and tracks their effects on real exchange rate and real interest rate and consequently on the level of economic activity This is an innovation in a standard New-Keynesian theoretic approach

Key words Target inflation mandatory reserves DSGE models recession demand for money opportunity cost of holding non-interest bearing assess New-Keynesian models NBS

JEL Classification E47 E58

HOW TO BRING MONEY BACK INTO MONETARY POLICY IN SERBIA

original scientific paper

UDC 3382333674(49711)

Prof Miroljub Labus PhDFaculty of Law University of BelgradeMiroljublabusiusbgacrs

Paper received 09122011

Approved for publishing 22122011

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Uvod

Naslov ovog članka mogao bi da izazove nedoumicu - zar nije monetarna politika u stvari politika novca Ona to i jeste i nije Efekti monetarne politike odražavaju se na količinu novca u opticaju a time i na likvidnost privrede i banaka U tom smislu monetarna politika jeste politika novca Međutim novčana masa sama po sebi odnosno njena stopa rasta niti je cilj monetarne politike niti je njen instrument niti se koristi za ocenu njenih efekata na proizvodnju i inflaciju U tom drugom smislu monetarna politika jeste bdquopolitika bez novcaldquo (Berg et al 2006 Beck and Wieland 2010) Monetarni agregati ne ulaze u kanale transmisije monetarne politike nego tu funkciju obavlja repo kamatna stopa Promene repo kamatne stope izazivaju promene svih drugih kamatnih stopa (kratkoročnih a potom i dugoročnih stopa) što u uslovima rigidnosti cena izaziva promene realne kamatne stope Realna kamatna stopa utiče na agregatnu tražnju a agregatna tražnja na proizvodni jaz kao razliku između stvarnog i potencijalnog GDP-a koji bi se ostvario kada ne bi postojala rigidnost cena Na kraju ovog lanca uzročnosti proizvodni jaz određuje inflaciju Što se tiče novčane mase tražnja za novcem se prilagođava kamatnoj stopi a repo operacije NBS obezbeđuju da ponuda novca uvek bude upravo onolika kolika je tražnja za njim U tom smislu inflacija se više ne tretira kao monetarni fenomen (Woodford 2003)

Sve je to lepo i krasno ali tu postoji jedan problem U postojećoj ekonomskoj krizi referentne kamatne stope centralnih banaka su po pravilu negativne a mnoge od njih su upale u bdquozamku likvidnostildquo iz koje ne može da ih izvuče politika kamatnih stopa Istovremeno realna novčana masa pada i produbljuje negativna ekonomska kretanja

Mi smo u periodu 2002Q1-2006Q3 imali potpuno drugačiji monetarni sistem koji se zasnivao na novčanoj masi kao monetarnom sidru (minimum neto strane aktive i maksimum neto domaće aktive) i pomičnom deviznom kursu (uz politiku održavanja njegovog realnog nivoa) Od 2006Q4 prešli smo na ciljanu inflaciju i upravljani fleksibilni devizni kurs kome odgovara gore opisana bdquomonetarna politika bez novcaldquo U prvom periodu inflacija je bila

monetarni fenomen u drugom periodu ona to više nije Ne samo da na to ukazuje promena nominalnog sidra sa novčane mase na ciljanu inflaciju nego postoje i jake ekonometrijske indicije U prvom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i cena na malo iznosio je 055 (sa signifikantnom t-vrednošću 476) dok je u drugom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i potrošačkih cena bio negativan i nesignifikantan -019 (t-statistika je -151) Međutim prosečne stope inflacije za svaki od ova dva perioda bitno se ne razlikuju što znači da je inflacija kod nas nezavisna od režima monetarne politike Drugim rečima superiornost novog pristupa nije se pokazala na delu kod nas a izazvala je i brojne dileme kako treba voditi monetarnu politiku u periodu privredne recesije

U komunikaciji s poslovnom javnošću NBS je jasno predstavila svoj (zakonom određen) mandat bdquopostizanja i održavanja stabilnosti cenaldquo u kome je repo kamatna stopa osnovni instrument Ostale su dileme vezane za devizni kurs kao instrument monetarne politike ali sve dok postoji realna apresijacija deviznog kursa ove dileme se ne nalaze u fokusu javnosti Ono što je u komunikaciji s javnošću ostalo nerazjašnjeno odnosi se na ulogu monetarne politike u periodu recesije i slabe privredne aktivnosti Drugim rečima ostala je dilema kako to centralna banka može da podrži sprovođenje ekonomske politike Vlade a da to ne remeti njen osnovni cilj postizanja i održavanja stabilnosti cena Praktična dilema se svodi na to da li treba NBS da utiče na proizvodnju preko kanala agregatne tražnje odnosno kanala likvidnosti ili je to potpuno izvan njenog mandata

Jednodušan je stav privrede i banaka da je potrebna takva aktivna monetarna politika NBS može ovaj zahtev jednostavno da odbije i da ostane u okviru svog mandata jer je obaranje inflacije njen primarni cilj Ali realnost je malo drugačija Nema danas nijedne centralne banke u svetu koja ne vodi računa o realnoj privredi naravno u granicama svoga mandata A u realnoj privredi pad aktivnosti zbog pada agregatne tražnje i rast nezaposlenosti su dramatični U bankarskom sektoru pak nenaplativi krediti i niska likvidnost nisu ništa manje ozbiljni problemi

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Introduction

The title of this paper might create confusion - isnrsquot monetary policy in fact money policy Well it is and it isnrsquot Effects of monetary policy determine the volume of money in circulation thus affecting liquidity of industry and banks In that sense monetary policy is a money policy However the actual monetary stock ie the rate of its growth is neither an objective of monetary policy nor its instrument nor is it used to evaluate its effects on output and inflation In other words monetary policy is a policy without money (Berg at al 2006 Beck and Wieland 2010) Monetary aggregates are not included in the monetary policy transmission channels but it is the function of repo interest rate (policy rate) Changes in policy rate cause changes of all other interest rates (short-term and then long-term interest rates) which provokes changes in real interest rate in an environment of rigid prices Real interest rate affects aggregate demand and aggregate demand impacts output gap as the difference between real and potential GDP which would be attained in the absence of price rigidities At the end of this chain of causalities the output gap determines inflation As for monetary stock money demand adjusts to interest rate while repo operations of the NBS ensure that money supply and demand are always at equilibrium In that sense inflation is no longer considered as a monetary phenomenon (Woodford (2003)

That may well be but there is an issue In the context of current economic crisis policy rates of central banks are negative as a rule while many have fallen into ldquoliquidity traprdquo from which they cannot be released by a policy of reference interest rates Simultaneously real money balances are decreasing and deepening the problems of negative economic trends

During the period 2002Q1-2006Q3 we had a completely different monetary system which was based on money stock as monetary anchor (with a floor for net foreign assets and a ceiling for net domestic assets) and floating exchange rate (with the policy to maintain its real level) As of 2006Q4 we switched to inflation targeting and a managed floating exchange rate which fits the above described ldquomonetary policy without moneyrdquo In the first period inflation was a

monetary phenomenon in the second period it is no longer so This is highlighted not only by the change of nominal anchor from money stock to targeted inflation but also by strong econometric indications In the first period coefficient of correlation between annual (y-o-y) rates of change of money M2 and retail prices was 055 (with significant t-value 476) while in the second period coefficient of correlation between annual rates of change of money M2 and CPIs was negative and insignificant at -019 (t-statistic was -151) However average rates of inflation recorded during these two periods do not differ significantly which means that our inflation is independent of monetary policy regime In other words the new approach has not shown its superiority in local conditions but it has caused numerous dilemmas about ways of managing monetary policy in a period of economic recession

The National Bank of Serbia (NBS) has clearly communicated its (legally binding) mandate to the business community which involves ldquoattaining and maintaining price stabilityrdquo through repo interest rate as its main policy instrument There are still dilemmas concerning exchange rate as an instrument of monetary policy but as long as exchange rate exhibits real appreciation these dilemmas will remain out of the public spotlight The role of monetary policy during recession and weak economic activity has not been clarified in communications with the public In other words it is unclear how the central bank can support implementation of Governmentrsquos economic policy without adverse effects on its primary objective of attaining and maintaining price stability The practical dilemma is simply the issue of whether the NBS should influence production through aggregate demand channel ie liquidity channel or it is completely outside its mandate

The industry and banks have a unanimous position that such active monetary policy is necessary The NBS can simply reject this request and stay within its mandate because reduction of inflation is its primary objective But reality is a bit different Today all central banks in the world are concerned with the real economy of course within the boundaries of their mandates In the real sector a slowdown in activity due to a fall in aggregate demand

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U ovakvim okolnostima ne bi trebalo precenjivati ulogu monetarne politike Ipak verujemo da postoji jedan prostor za njenu nešto aktivniju ulogu nego što je danas Prethodno potrebno je otkloniti neke stvari koje liče na šum u komunikaciji U svojim izveštajima o inflaciji NBS tvrdi da je gotovo tokom celog perioda od izbijanja ekonomske krize vodila ekspanzivnu monetarnu politiku Visina kamatnih stopa i stepen nelikvidnosti međutim upućuju na drugačiji zaključak Očigledno je došlo vreme da se razjasni ovaj nesporazum Na drugoj strani potrebno je razjasniti odnos politike ciljane inflacije i regulatorne politike NBS koja značajno podiže kamatne stope nezavisno od repo operacija

Nama je jasno da ne postoji raspoloženje da se menja sistem ciljane inflacije Međutim i u okviru njega postoji prostor za njeno bdquofino štelovanjeldquo Naš predlog je da se pogleda kako Evropska centralna banka vodi monetarnu politiku i da se proceni koliki je trošak naše regulatorne politike Obrazlažući smanjenje osnovne kamatne stope sa 15 na 125 predsednik ECB Mario Draghi je 4 novembra 2011 godine ubedljivo pokazao zašto treba smanjiti a ne povećati osnovnu kamatnu stopu iako je stopa inflacije već drugi mesec za redom značajno iznad ciljane stope inflacije Pritom se pozvao na kombinaciju ekonomske i monetarne analize što pokazuje da novac ne mora da bude izvan monetarne politike Na drugoj strani naša centralna banka uopšte ne vodi računa o troškovima obaranja inflacije niti o troškovima držanja visoke obavezne devizne rezerve Ti troškovi povezani s padom realne mase novca u opticaju ne doprinose bržem izlasku iz krize

Sve centralne banke imaju svoje DSGE modele koji podržavaju politiku ciljane inflacije Ti modeli u sebi nemaju jednačinu tražnje za novcem niti novčane agregate kao varijable koje utiču na inflaciju Mi smo sačinili jedan takav model za našu privredu za period 2001Q1-2010Q4 i prognozirali razvoj privrede u narednih osam kvartala U odnosu na standardni model uneli smo jednačinu tražnje za novcem i oportunitetni trošak nekamatonosne aktive koji nastaje kao posledica obaveznih deviznih rezervi Na osnovu rešenja modela pokazali smo kako se konzistentno određuje količina novca u opticaju koja je saglasna sa projekcijom

obaranja inflacije Na osnovu toga formirali smo indikatore koji mogu da budu signali da li na srednji rok (do osam kvartala) valja očekivati pojavu negativnih šokova na strani agregatne tražnje Ako u tom periodu očekujemo opadajući trend privredne aktivnosti i dodatno pad realne mase novca sa produbljivanjem monetarnog jaza - pojava negativnih šokova na strani tražnje postaje veoma verovatna To je korisna informacija za centralnu banku da bi nešto preventivno uradila i da preduhitri negativan razvoj privredne aktivnosti Takav negativan šok može se neutralisati pozitivnim šokom jednokratnog smanjivanja obaveznih deviznih rezervi

Rad je organizovan na sledeći način U prvom delu pokazaćemo kretanje realnog novca u evrozoni i Srbiji pre i u toku Globalne krize i to ćemo povezati sa monetarnom politikom koja se vodi na dva stuba - ekonomskoj i monetarnoj analizi U drugom delu analiziraćemo da li je moguće primeniti Tejlorovo pravilo kod nas U trećem delu izložićemo ključne relacije u standardnom DSGE modelu (Dynamic Stochastic General Equilibrium) i našu modifikaciju s uključivanjem funkcije tražnje za novcem U četvrtom delu prikazaćemo rezultate osnovnog scenarija projekcije modela s tim da se poslednji kvartal 2010 godine i prva tri kvartala u 2011 godini koriste kao bdquoistorijskaldquo provera modela U petom delu analiziraćemo kriterijume za određivanje da li je monetarna politika ekspanzivna ili restriktivna U šestom delu objašnjavamo kako u našem bankarskom sistemu politika obaveznih deviznih rezervi utiče na visinu kamatnih stopa i količinu novca u opticaju U sedmom delu ćemo još jednom modifikovati standardni DSGE model i proširićemo ga sa oportunitetnim troškovima nekamatonosne aktive U osmom delu pokazaćemo kakve bi efekte imalo jednokratno smanjivanje obaveznih deviznih rezervi Na kraju dajemo kratak zaključak

Dva stuba monetarne politike

ECB vodi monetarnu politiku oslanjajući se na dva stuba ekonomsku i monetarnu analizu To je u stvari politika duplog ključa (cross-check) pri određivanju visine referentne kamatne stope za refinansiranje Prvi ključ se

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and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

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odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

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Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

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Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

35

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

39

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

41

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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arst

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011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

25

bank

arst

vo 1

1 - 1

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011

Summary

How should monetary policy in Serbia react to the second wave of the current crisis This paper calls for monetary easing by reducing mandatory foreign currency reserve requirements Contrary to widespread doubts this is compatible with inflation targeting regime and the associated policy of inflation control under reasonable conditions Standard DSGE model which is the analytical basis of both this paper and the NBSrsquos model with suitable modifications indicates that a one-off decrease of required reserves would result in a higher GDP growth rate along with reduction of inflation rate to the target level over the period of eight quarters The effect of downward adjusted mandatory reserves would be similar to a positive shock in aggregate demand That would be a useful policy in the situation when another wave of recession threatens

Of course an increase of money stock has certain limits that permit an easing of monetary policy without compromising anti-inflation measures Beyond those limits there is a classic trade-off between inflation and economic growth

The model developed in this paper is a modified New-Keynesian model In addition to policy interest rate it also accounts for opportunity cost of non-interest bearing assets which depends on central bankrsquos regulatory policy That way it makes a transparent link between regulative policy of the NBS and its inflation targeting policy and tracks their effects on real exchange rate and real interest rate and consequently on the level of economic activity This is an innovation in a standard New-Keynesian theoretic approach

Key words Target inflation mandatory reserves DSGE models recession demand for money opportunity cost of holding non-interest bearing assess New-Keynesian models NBS

JEL Classification E47 E58

HOW TO BRING MONEY BACK INTO MONETARY POLICY IN SERBIA

original scientific paper

UDC 3382333674(49711)

Prof Miroljub Labus PhDFaculty of Law University of BelgradeMiroljublabusiusbgacrs

Paper received 09122011

Approved for publishing 22122011

26

bank

arst

vo 1

1 - 1

2 2

011

Uvod

Naslov ovog članka mogao bi da izazove nedoumicu - zar nije monetarna politika u stvari politika novca Ona to i jeste i nije Efekti monetarne politike odražavaju se na količinu novca u opticaju a time i na likvidnost privrede i banaka U tom smislu monetarna politika jeste politika novca Međutim novčana masa sama po sebi odnosno njena stopa rasta niti je cilj monetarne politike niti je njen instrument niti se koristi za ocenu njenih efekata na proizvodnju i inflaciju U tom drugom smislu monetarna politika jeste bdquopolitika bez novcaldquo (Berg et al 2006 Beck and Wieland 2010) Monetarni agregati ne ulaze u kanale transmisije monetarne politike nego tu funkciju obavlja repo kamatna stopa Promene repo kamatne stope izazivaju promene svih drugih kamatnih stopa (kratkoročnih a potom i dugoročnih stopa) što u uslovima rigidnosti cena izaziva promene realne kamatne stope Realna kamatna stopa utiče na agregatnu tražnju a agregatna tražnja na proizvodni jaz kao razliku između stvarnog i potencijalnog GDP-a koji bi se ostvario kada ne bi postojala rigidnost cena Na kraju ovog lanca uzročnosti proizvodni jaz određuje inflaciju Što se tiče novčane mase tražnja za novcem se prilagođava kamatnoj stopi a repo operacije NBS obezbeđuju da ponuda novca uvek bude upravo onolika kolika je tražnja za njim U tom smislu inflacija se više ne tretira kao monetarni fenomen (Woodford 2003)

Sve je to lepo i krasno ali tu postoji jedan problem U postojećoj ekonomskoj krizi referentne kamatne stope centralnih banaka su po pravilu negativne a mnoge od njih su upale u bdquozamku likvidnostildquo iz koje ne može da ih izvuče politika kamatnih stopa Istovremeno realna novčana masa pada i produbljuje negativna ekonomska kretanja

Mi smo u periodu 2002Q1-2006Q3 imali potpuno drugačiji monetarni sistem koji se zasnivao na novčanoj masi kao monetarnom sidru (minimum neto strane aktive i maksimum neto domaće aktive) i pomičnom deviznom kursu (uz politiku održavanja njegovog realnog nivoa) Od 2006Q4 prešli smo na ciljanu inflaciju i upravljani fleksibilni devizni kurs kome odgovara gore opisana bdquomonetarna politika bez novcaldquo U prvom periodu inflacija je bila

monetarni fenomen u drugom periodu ona to više nije Ne samo da na to ukazuje promena nominalnog sidra sa novčane mase na ciljanu inflaciju nego postoje i jake ekonometrijske indicije U prvom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i cena na malo iznosio je 055 (sa signifikantnom t-vrednošću 476) dok je u drugom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i potrošačkih cena bio negativan i nesignifikantan -019 (t-statistika je -151) Međutim prosečne stope inflacije za svaki od ova dva perioda bitno se ne razlikuju što znači da je inflacija kod nas nezavisna od režima monetarne politike Drugim rečima superiornost novog pristupa nije se pokazala na delu kod nas a izazvala je i brojne dileme kako treba voditi monetarnu politiku u periodu privredne recesije

U komunikaciji s poslovnom javnošću NBS je jasno predstavila svoj (zakonom određen) mandat bdquopostizanja i održavanja stabilnosti cenaldquo u kome je repo kamatna stopa osnovni instrument Ostale su dileme vezane za devizni kurs kao instrument monetarne politike ali sve dok postoji realna apresijacija deviznog kursa ove dileme se ne nalaze u fokusu javnosti Ono što je u komunikaciji s javnošću ostalo nerazjašnjeno odnosi se na ulogu monetarne politike u periodu recesije i slabe privredne aktivnosti Drugim rečima ostala je dilema kako to centralna banka može da podrži sprovođenje ekonomske politike Vlade a da to ne remeti njen osnovni cilj postizanja i održavanja stabilnosti cena Praktična dilema se svodi na to da li treba NBS da utiče na proizvodnju preko kanala agregatne tražnje odnosno kanala likvidnosti ili je to potpuno izvan njenog mandata

Jednodušan je stav privrede i banaka da je potrebna takva aktivna monetarna politika NBS može ovaj zahtev jednostavno da odbije i da ostane u okviru svog mandata jer je obaranje inflacije njen primarni cilj Ali realnost je malo drugačija Nema danas nijedne centralne banke u svetu koja ne vodi računa o realnoj privredi naravno u granicama svoga mandata A u realnoj privredi pad aktivnosti zbog pada agregatne tražnje i rast nezaposlenosti su dramatični U bankarskom sektoru pak nenaplativi krediti i niska likvidnost nisu ništa manje ozbiljni problemi

27

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Introduction

The title of this paper might create confusion - isnrsquot monetary policy in fact money policy Well it is and it isnrsquot Effects of monetary policy determine the volume of money in circulation thus affecting liquidity of industry and banks In that sense monetary policy is a money policy However the actual monetary stock ie the rate of its growth is neither an objective of monetary policy nor its instrument nor is it used to evaluate its effects on output and inflation In other words monetary policy is a policy without money (Berg at al 2006 Beck and Wieland 2010) Monetary aggregates are not included in the monetary policy transmission channels but it is the function of repo interest rate (policy rate) Changes in policy rate cause changes of all other interest rates (short-term and then long-term interest rates) which provokes changes in real interest rate in an environment of rigid prices Real interest rate affects aggregate demand and aggregate demand impacts output gap as the difference between real and potential GDP which would be attained in the absence of price rigidities At the end of this chain of causalities the output gap determines inflation As for monetary stock money demand adjusts to interest rate while repo operations of the NBS ensure that money supply and demand are always at equilibrium In that sense inflation is no longer considered as a monetary phenomenon (Woodford (2003)

That may well be but there is an issue In the context of current economic crisis policy rates of central banks are negative as a rule while many have fallen into ldquoliquidity traprdquo from which they cannot be released by a policy of reference interest rates Simultaneously real money balances are decreasing and deepening the problems of negative economic trends

During the period 2002Q1-2006Q3 we had a completely different monetary system which was based on money stock as monetary anchor (with a floor for net foreign assets and a ceiling for net domestic assets) and floating exchange rate (with the policy to maintain its real level) As of 2006Q4 we switched to inflation targeting and a managed floating exchange rate which fits the above described ldquomonetary policy without moneyrdquo In the first period inflation was a

monetary phenomenon in the second period it is no longer so This is highlighted not only by the change of nominal anchor from money stock to targeted inflation but also by strong econometric indications In the first period coefficient of correlation between annual (y-o-y) rates of change of money M2 and retail prices was 055 (with significant t-value 476) while in the second period coefficient of correlation between annual rates of change of money M2 and CPIs was negative and insignificant at -019 (t-statistic was -151) However average rates of inflation recorded during these two periods do not differ significantly which means that our inflation is independent of monetary policy regime In other words the new approach has not shown its superiority in local conditions but it has caused numerous dilemmas about ways of managing monetary policy in a period of economic recession

The National Bank of Serbia (NBS) has clearly communicated its (legally binding) mandate to the business community which involves ldquoattaining and maintaining price stabilityrdquo through repo interest rate as its main policy instrument There are still dilemmas concerning exchange rate as an instrument of monetary policy but as long as exchange rate exhibits real appreciation these dilemmas will remain out of the public spotlight The role of monetary policy during recession and weak economic activity has not been clarified in communications with the public In other words it is unclear how the central bank can support implementation of Governmentrsquos economic policy without adverse effects on its primary objective of attaining and maintaining price stability The practical dilemma is simply the issue of whether the NBS should influence production through aggregate demand channel ie liquidity channel or it is completely outside its mandate

The industry and banks have a unanimous position that such active monetary policy is necessary The NBS can simply reject this request and stay within its mandate because reduction of inflation is its primary objective But reality is a bit different Today all central banks in the world are concerned with the real economy of course within the boundaries of their mandates In the real sector a slowdown in activity due to a fall in aggregate demand

28

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U ovakvim okolnostima ne bi trebalo precenjivati ulogu monetarne politike Ipak verujemo da postoji jedan prostor za njenu nešto aktivniju ulogu nego što je danas Prethodno potrebno je otkloniti neke stvari koje liče na šum u komunikaciji U svojim izveštajima o inflaciji NBS tvrdi da je gotovo tokom celog perioda od izbijanja ekonomske krize vodila ekspanzivnu monetarnu politiku Visina kamatnih stopa i stepen nelikvidnosti međutim upućuju na drugačiji zaključak Očigledno je došlo vreme da se razjasni ovaj nesporazum Na drugoj strani potrebno je razjasniti odnos politike ciljane inflacije i regulatorne politike NBS koja značajno podiže kamatne stope nezavisno od repo operacija

Nama je jasno da ne postoji raspoloženje da se menja sistem ciljane inflacije Međutim i u okviru njega postoji prostor za njeno bdquofino štelovanjeldquo Naš predlog je da se pogleda kako Evropska centralna banka vodi monetarnu politiku i da se proceni koliki je trošak naše regulatorne politike Obrazlažući smanjenje osnovne kamatne stope sa 15 na 125 predsednik ECB Mario Draghi je 4 novembra 2011 godine ubedljivo pokazao zašto treba smanjiti a ne povećati osnovnu kamatnu stopu iako je stopa inflacije već drugi mesec za redom značajno iznad ciljane stope inflacije Pritom se pozvao na kombinaciju ekonomske i monetarne analize što pokazuje da novac ne mora da bude izvan monetarne politike Na drugoj strani naša centralna banka uopšte ne vodi računa o troškovima obaranja inflacije niti o troškovima držanja visoke obavezne devizne rezerve Ti troškovi povezani s padom realne mase novca u opticaju ne doprinose bržem izlasku iz krize

Sve centralne banke imaju svoje DSGE modele koji podržavaju politiku ciljane inflacije Ti modeli u sebi nemaju jednačinu tražnje za novcem niti novčane agregate kao varijable koje utiču na inflaciju Mi smo sačinili jedan takav model za našu privredu za period 2001Q1-2010Q4 i prognozirali razvoj privrede u narednih osam kvartala U odnosu na standardni model uneli smo jednačinu tražnje za novcem i oportunitetni trošak nekamatonosne aktive koji nastaje kao posledica obaveznih deviznih rezervi Na osnovu rešenja modela pokazali smo kako se konzistentno određuje količina novca u opticaju koja je saglasna sa projekcijom

obaranja inflacije Na osnovu toga formirali smo indikatore koji mogu da budu signali da li na srednji rok (do osam kvartala) valja očekivati pojavu negativnih šokova na strani agregatne tražnje Ako u tom periodu očekujemo opadajući trend privredne aktivnosti i dodatno pad realne mase novca sa produbljivanjem monetarnog jaza - pojava negativnih šokova na strani tražnje postaje veoma verovatna To je korisna informacija za centralnu banku da bi nešto preventivno uradila i da preduhitri negativan razvoj privredne aktivnosti Takav negativan šok može se neutralisati pozitivnim šokom jednokratnog smanjivanja obaveznih deviznih rezervi

Rad je organizovan na sledeći način U prvom delu pokazaćemo kretanje realnog novca u evrozoni i Srbiji pre i u toku Globalne krize i to ćemo povezati sa monetarnom politikom koja se vodi na dva stuba - ekonomskoj i monetarnoj analizi U drugom delu analiziraćemo da li je moguće primeniti Tejlorovo pravilo kod nas U trećem delu izložićemo ključne relacije u standardnom DSGE modelu (Dynamic Stochastic General Equilibrium) i našu modifikaciju s uključivanjem funkcije tražnje za novcem U četvrtom delu prikazaćemo rezultate osnovnog scenarija projekcije modela s tim da se poslednji kvartal 2010 godine i prva tri kvartala u 2011 godini koriste kao bdquoistorijskaldquo provera modela U petom delu analiziraćemo kriterijume za određivanje da li je monetarna politika ekspanzivna ili restriktivna U šestom delu objašnjavamo kako u našem bankarskom sistemu politika obaveznih deviznih rezervi utiče na visinu kamatnih stopa i količinu novca u opticaju U sedmom delu ćemo još jednom modifikovati standardni DSGE model i proširićemo ga sa oportunitetnim troškovima nekamatonosne aktive U osmom delu pokazaćemo kakve bi efekte imalo jednokratno smanjivanje obaveznih deviznih rezervi Na kraju dajemo kratak zaključak

Dva stuba monetarne politike

ECB vodi monetarnu politiku oslanjajući se na dva stuba ekonomsku i monetarnu analizu To je u stvari politika duplog ključa (cross-check) pri određivanju visine referentne kamatne stope za refinansiranje Prvi ključ se

29

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and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

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odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

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Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

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Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

39

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

41

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011

in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

26

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arst

vo 1

1 - 1

2 2

011

Uvod

Naslov ovog članka mogao bi da izazove nedoumicu - zar nije monetarna politika u stvari politika novca Ona to i jeste i nije Efekti monetarne politike odražavaju se na količinu novca u opticaju a time i na likvidnost privrede i banaka U tom smislu monetarna politika jeste politika novca Međutim novčana masa sama po sebi odnosno njena stopa rasta niti je cilj monetarne politike niti je njen instrument niti se koristi za ocenu njenih efekata na proizvodnju i inflaciju U tom drugom smislu monetarna politika jeste bdquopolitika bez novcaldquo (Berg et al 2006 Beck and Wieland 2010) Monetarni agregati ne ulaze u kanale transmisije monetarne politike nego tu funkciju obavlja repo kamatna stopa Promene repo kamatne stope izazivaju promene svih drugih kamatnih stopa (kratkoročnih a potom i dugoročnih stopa) što u uslovima rigidnosti cena izaziva promene realne kamatne stope Realna kamatna stopa utiče na agregatnu tražnju a agregatna tražnja na proizvodni jaz kao razliku između stvarnog i potencijalnog GDP-a koji bi se ostvario kada ne bi postojala rigidnost cena Na kraju ovog lanca uzročnosti proizvodni jaz određuje inflaciju Što se tiče novčane mase tražnja za novcem se prilagođava kamatnoj stopi a repo operacije NBS obezbeđuju da ponuda novca uvek bude upravo onolika kolika je tražnja za njim U tom smislu inflacija se više ne tretira kao monetarni fenomen (Woodford 2003)

Sve je to lepo i krasno ali tu postoji jedan problem U postojećoj ekonomskoj krizi referentne kamatne stope centralnih banaka su po pravilu negativne a mnoge od njih su upale u bdquozamku likvidnostildquo iz koje ne može da ih izvuče politika kamatnih stopa Istovremeno realna novčana masa pada i produbljuje negativna ekonomska kretanja

Mi smo u periodu 2002Q1-2006Q3 imali potpuno drugačiji monetarni sistem koji se zasnivao na novčanoj masi kao monetarnom sidru (minimum neto strane aktive i maksimum neto domaće aktive) i pomičnom deviznom kursu (uz politiku održavanja njegovog realnog nivoa) Od 2006Q4 prešli smo na ciljanu inflaciju i upravljani fleksibilni devizni kurs kome odgovara gore opisana bdquomonetarna politika bez novcaldquo U prvom periodu inflacija je bila

monetarni fenomen u drugom periodu ona to više nije Ne samo da na to ukazuje promena nominalnog sidra sa novčane mase na ciljanu inflaciju nego postoje i jake ekonometrijske indicije U prvom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i cena na malo iznosio je 055 (sa signifikantnom t-vrednošću 476) dok je u drugom periodu koeficijent korelacije između međugodišnjih stopa rasta novca M2 i potrošačkih cena bio negativan i nesignifikantan -019 (t-statistika je -151) Međutim prosečne stope inflacije za svaki od ova dva perioda bitno se ne razlikuju što znači da je inflacija kod nas nezavisna od režima monetarne politike Drugim rečima superiornost novog pristupa nije se pokazala na delu kod nas a izazvala je i brojne dileme kako treba voditi monetarnu politiku u periodu privredne recesije

U komunikaciji s poslovnom javnošću NBS je jasno predstavila svoj (zakonom određen) mandat bdquopostizanja i održavanja stabilnosti cenaldquo u kome je repo kamatna stopa osnovni instrument Ostale su dileme vezane za devizni kurs kao instrument monetarne politike ali sve dok postoji realna apresijacija deviznog kursa ove dileme se ne nalaze u fokusu javnosti Ono što je u komunikaciji s javnošću ostalo nerazjašnjeno odnosi se na ulogu monetarne politike u periodu recesije i slabe privredne aktivnosti Drugim rečima ostala je dilema kako to centralna banka može da podrži sprovođenje ekonomske politike Vlade a da to ne remeti njen osnovni cilj postizanja i održavanja stabilnosti cena Praktična dilema se svodi na to da li treba NBS da utiče na proizvodnju preko kanala agregatne tražnje odnosno kanala likvidnosti ili je to potpuno izvan njenog mandata

Jednodušan je stav privrede i banaka da je potrebna takva aktivna monetarna politika NBS može ovaj zahtev jednostavno da odbije i da ostane u okviru svog mandata jer je obaranje inflacije njen primarni cilj Ali realnost je malo drugačija Nema danas nijedne centralne banke u svetu koja ne vodi računa o realnoj privredi naravno u granicama svoga mandata A u realnoj privredi pad aktivnosti zbog pada agregatne tražnje i rast nezaposlenosti su dramatični U bankarskom sektoru pak nenaplativi krediti i niska likvidnost nisu ništa manje ozbiljni problemi

27

bank

arst

vo 1

1 - 1

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011

Introduction

The title of this paper might create confusion - isnrsquot monetary policy in fact money policy Well it is and it isnrsquot Effects of monetary policy determine the volume of money in circulation thus affecting liquidity of industry and banks In that sense monetary policy is a money policy However the actual monetary stock ie the rate of its growth is neither an objective of monetary policy nor its instrument nor is it used to evaluate its effects on output and inflation In other words monetary policy is a policy without money (Berg at al 2006 Beck and Wieland 2010) Monetary aggregates are not included in the monetary policy transmission channels but it is the function of repo interest rate (policy rate) Changes in policy rate cause changes of all other interest rates (short-term and then long-term interest rates) which provokes changes in real interest rate in an environment of rigid prices Real interest rate affects aggregate demand and aggregate demand impacts output gap as the difference between real and potential GDP which would be attained in the absence of price rigidities At the end of this chain of causalities the output gap determines inflation As for monetary stock money demand adjusts to interest rate while repo operations of the NBS ensure that money supply and demand are always at equilibrium In that sense inflation is no longer considered as a monetary phenomenon (Woodford (2003)

That may well be but there is an issue In the context of current economic crisis policy rates of central banks are negative as a rule while many have fallen into ldquoliquidity traprdquo from which they cannot be released by a policy of reference interest rates Simultaneously real money balances are decreasing and deepening the problems of negative economic trends

During the period 2002Q1-2006Q3 we had a completely different monetary system which was based on money stock as monetary anchor (with a floor for net foreign assets and a ceiling for net domestic assets) and floating exchange rate (with the policy to maintain its real level) As of 2006Q4 we switched to inflation targeting and a managed floating exchange rate which fits the above described ldquomonetary policy without moneyrdquo In the first period inflation was a

monetary phenomenon in the second period it is no longer so This is highlighted not only by the change of nominal anchor from money stock to targeted inflation but also by strong econometric indications In the first period coefficient of correlation between annual (y-o-y) rates of change of money M2 and retail prices was 055 (with significant t-value 476) while in the second period coefficient of correlation between annual rates of change of money M2 and CPIs was negative and insignificant at -019 (t-statistic was -151) However average rates of inflation recorded during these two periods do not differ significantly which means that our inflation is independent of monetary policy regime In other words the new approach has not shown its superiority in local conditions but it has caused numerous dilemmas about ways of managing monetary policy in a period of economic recession

The National Bank of Serbia (NBS) has clearly communicated its (legally binding) mandate to the business community which involves ldquoattaining and maintaining price stabilityrdquo through repo interest rate as its main policy instrument There are still dilemmas concerning exchange rate as an instrument of monetary policy but as long as exchange rate exhibits real appreciation these dilemmas will remain out of the public spotlight The role of monetary policy during recession and weak economic activity has not been clarified in communications with the public In other words it is unclear how the central bank can support implementation of Governmentrsquos economic policy without adverse effects on its primary objective of attaining and maintaining price stability The practical dilemma is simply the issue of whether the NBS should influence production through aggregate demand channel ie liquidity channel or it is completely outside its mandate

The industry and banks have a unanimous position that such active monetary policy is necessary The NBS can simply reject this request and stay within its mandate because reduction of inflation is its primary objective But reality is a bit different Today all central banks in the world are concerned with the real economy of course within the boundaries of their mandates In the real sector a slowdown in activity due to a fall in aggregate demand

28

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arst

vo 1

1 - 1

2 2

011

U ovakvim okolnostima ne bi trebalo precenjivati ulogu monetarne politike Ipak verujemo da postoji jedan prostor za njenu nešto aktivniju ulogu nego što je danas Prethodno potrebno je otkloniti neke stvari koje liče na šum u komunikaciji U svojim izveštajima o inflaciji NBS tvrdi da je gotovo tokom celog perioda od izbijanja ekonomske krize vodila ekspanzivnu monetarnu politiku Visina kamatnih stopa i stepen nelikvidnosti međutim upućuju na drugačiji zaključak Očigledno je došlo vreme da se razjasni ovaj nesporazum Na drugoj strani potrebno je razjasniti odnos politike ciljane inflacije i regulatorne politike NBS koja značajno podiže kamatne stope nezavisno od repo operacija

Nama je jasno da ne postoji raspoloženje da se menja sistem ciljane inflacije Međutim i u okviru njega postoji prostor za njeno bdquofino štelovanjeldquo Naš predlog je da se pogleda kako Evropska centralna banka vodi monetarnu politiku i da se proceni koliki je trošak naše regulatorne politike Obrazlažući smanjenje osnovne kamatne stope sa 15 na 125 predsednik ECB Mario Draghi je 4 novembra 2011 godine ubedljivo pokazao zašto treba smanjiti a ne povećati osnovnu kamatnu stopu iako je stopa inflacije već drugi mesec za redom značajno iznad ciljane stope inflacije Pritom se pozvao na kombinaciju ekonomske i monetarne analize što pokazuje da novac ne mora da bude izvan monetarne politike Na drugoj strani naša centralna banka uopšte ne vodi računa o troškovima obaranja inflacije niti o troškovima držanja visoke obavezne devizne rezerve Ti troškovi povezani s padom realne mase novca u opticaju ne doprinose bržem izlasku iz krize

Sve centralne banke imaju svoje DSGE modele koji podržavaju politiku ciljane inflacije Ti modeli u sebi nemaju jednačinu tražnje za novcem niti novčane agregate kao varijable koje utiču na inflaciju Mi smo sačinili jedan takav model za našu privredu za period 2001Q1-2010Q4 i prognozirali razvoj privrede u narednih osam kvartala U odnosu na standardni model uneli smo jednačinu tražnje za novcem i oportunitetni trošak nekamatonosne aktive koji nastaje kao posledica obaveznih deviznih rezervi Na osnovu rešenja modela pokazali smo kako se konzistentno određuje količina novca u opticaju koja je saglasna sa projekcijom

obaranja inflacije Na osnovu toga formirali smo indikatore koji mogu da budu signali da li na srednji rok (do osam kvartala) valja očekivati pojavu negativnih šokova na strani agregatne tražnje Ako u tom periodu očekujemo opadajući trend privredne aktivnosti i dodatno pad realne mase novca sa produbljivanjem monetarnog jaza - pojava negativnih šokova na strani tražnje postaje veoma verovatna To je korisna informacija za centralnu banku da bi nešto preventivno uradila i da preduhitri negativan razvoj privredne aktivnosti Takav negativan šok može se neutralisati pozitivnim šokom jednokratnog smanjivanja obaveznih deviznih rezervi

Rad je organizovan na sledeći način U prvom delu pokazaćemo kretanje realnog novca u evrozoni i Srbiji pre i u toku Globalne krize i to ćemo povezati sa monetarnom politikom koja se vodi na dva stuba - ekonomskoj i monetarnoj analizi U drugom delu analiziraćemo da li je moguće primeniti Tejlorovo pravilo kod nas U trećem delu izložićemo ključne relacije u standardnom DSGE modelu (Dynamic Stochastic General Equilibrium) i našu modifikaciju s uključivanjem funkcije tražnje za novcem U četvrtom delu prikazaćemo rezultate osnovnog scenarija projekcije modela s tim da se poslednji kvartal 2010 godine i prva tri kvartala u 2011 godini koriste kao bdquoistorijskaldquo provera modela U petom delu analiziraćemo kriterijume za određivanje da li je monetarna politika ekspanzivna ili restriktivna U šestom delu objašnjavamo kako u našem bankarskom sistemu politika obaveznih deviznih rezervi utiče na visinu kamatnih stopa i količinu novca u opticaju U sedmom delu ćemo još jednom modifikovati standardni DSGE model i proširićemo ga sa oportunitetnim troškovima nekamatonosne aktive U osmom delu pokazaćemo kakve bi efekte imalo jednokratno smanjivanje obaveznih deviznih rezervi Na kraju dajemo kratak zaključak

Dva stuba monetarne politike

ECB vodi monetarnu politiku oslanjajući se na dva stuba ekonomsku i monetarnu analizu To je u stvari politika duplog ključa (cross-check) pri određivanju visine referentne kamatne stope za refinansiranje Prvi ključ se

29

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and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

30

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odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

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Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

32

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Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

39

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

44

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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1 - 1

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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vo 1

1 - 1

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011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

27

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arst

vo 1

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011

Introduction

The title of this paper might create confusion - isnrsquot monetary policy in fact money policy Well it is and it isnrsquot Effects of monetary policy determine the volume of money in circulation thus affecting liquidity of industry and banks In that sense monetary policy is a money policy However the actual monetary stock ie the rate of its growth is neither an objective of monetary policy nor its instrument nor is it used to evaluate its effects on output and inflation In other words monetary policy is a policy without money (Berg at al 2006 Beck and Wieland 2010) Monetary aggregates are not included in the monetary policy transmission channels but it is the function of repo interest rate (policy rate) Changes in policy rate cause changes of all other interest rates (short-term and then long-term interest rates) which provokes changes in real interest rate in an environment of rigid prices Real interest rate affects aggregate demand and aggregate demand impacts output gap as the difference between real and potential GDP which would be attained in the absence of price rigidities At the end of this chain of causalities the output gap determines inflation As for monetary stock money demand adjusts to interest rate while repo operations of the NBS ensure that money supply and demand are always at equilibrium In that sense inflation is no longer considered as a monetary phenomenon (Woodford (2003)

That may well be but there is an issue In the context of current economic crisis policy rates of central banks are negative as a rule while many have fallen into ldquoliquidity traprdquo from which they cannot be released by a policy of reference interest rates Simultaneously real money balances are decreasing and deepening the problems of negative economic trends

During the period 2002Q1-2006Q3 we had a completely different monetary system which was based on money stock as monetary anchor (with a floor for net foreign assets and a ceiling for net domestic assets) and floating exchange rate (with the policy to maintain its real level) As of 2006Q4 we switched to inflation targeting and a managed floating exchange rate which fits the above described ldquomonetary policy without moneyrdquo In the first period inflation was a

monetary phenomenon in the second period it is no longer so This is highlighted not only by the change of nominal anchor from money stock to targeted inflation but also by strong econometric indications In the first period coefficient of correlation between annual (y-o-y) rates of change of money M2 and retail prices was 055 (with significant t-value 476) while in the second period coefficient of correlation between annual rates of change of money M2 and CPIs was negative and insignificant at -019 (t-statistic was -151) However average rates of inflation recorded during these two periods do not differ significantly which means that our inflation is independent of monetary policy regime In other words the new approach has not shown its superiority in local conditions but it has caused numerous dilemmas about ways of managing monetary policy in a period of economic recession

The National Bank of Serbia (NBS) has clearly communicated its (legally binding) mandate to the business community which involves ldquoattaining and maintaining price stabilityrdquo through repo interest rate as its main policy instrument There are still dilemmas concerning exchange rate as an instrument of monetary policy but as long as exchange rate exhibits real appreciation these dilemmas will remain out of the public spotlight The role of monetary policy during recession and weak economic activity has not been clarified in communications with the public In other words it is unclear how the central bank can support implementation of Governmentrsquos economic policy without adverse effects on its primary objective of attaining and maintaining price stability The practical dilemma is simply the issue of whether the NBS should influence production through aggregate demand channel ie liquidity channel or it is completely outside its mandate

The industry and banks have a unanimous position that such active monetary policy is necessary The NBS can simply reject this request and stay within its mandate because reduction of inflation is its primary objective But reality is a bit different Today all central banks in the world are concerned with the real economy of course within the boundaries of their mandates In the real sector a slowdown in activity due to a fall in aggregate demand

28

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011

U ovakvim okolnostima ne bi trebalo precenjivati ulogu monetarne politike Ipak verujemo da postoji jedan prostor za njenu nešto aktivniju ulogu nego što je danas Prethodno potrebno je otkloniti neke stvari koje liče na šum u komunikaciji U svojim izveštajima o inflaciji NBS tvrdi da je gotovo tokom celog perioda od izbijanja ekonomske krize vodila ekspanzivnu monetarnu politiku Visina kamatnih stopa i stepen nelikvidnosti međutim upućuju na drugačiji zaključak Očigledno je došlo vreme da se razjasni ovaj nesporazum Na drugoj strani potrebno je razjasniti odnos politike ciljane inflacije i regulatorne politike NBS koja značajno podiže kamatne stope nezavisno od repo operacija

Nama je jasno da ne postoji raspoloženje da se menja sistem ciljane inflacije Međutim i u okviru njega postoji prostor za njeno bdquofino štelovanjeldquo Naš predlog je da se pogleda kako Evropska centralna banka vodi monetarnu politiku i da se proceni koliki je trošak naše regulatorne politike Obrazlažući smanjenje osnovne kamatne stope sa 15 na 125 predsednik ECB Mario Draghi je 4 novembra 2011 godine ubedljivo pokazao zašto treba smanjiti a ne povećati osnovnu kamatnu stopu iako je stopa inflacije već drugi mesec za redom značajno iznad ciljane stope inflacije Pritom se pozvao na kombinaciju ekonomske i monetarne analize što pokazuje da novac ne mora da bude izvan monetarne politike Na drugoj strani naša centralna banka uopšte ne vodi računa o troškovima obaranja inflacije niti o troškovima držanja visoke obavezne devizne rezerve Ti troškovi povezani s padom realne mase novca u opticaju ne doprinose bržem izlasku iz krize

Sve centralne banke imaju svoje DSGE modele koji podržavaju politiku ciljane inflacije Ti modeli u sebi nemaju jednačinu tražnje za novcem niti novčane agregate kao varijable koje utiču na inflaciju Mi smo sačinili jedan takav model za našu privredu za period 2001Q1-2010Q4 i prognozirali razvoj privrede u narednih osam kvartala U odnosu na standardni model uneli smo jednačinu tražnje za novcem i oportunitetni trošak nekamatonosne aktive koji nastaje kao posledica obaveznih deviznih rezervi Na osnovu rešenja modela pokazali smo kako se konzistentno određuje količina novca u opticaju koja je saglasna sa projekcijom

obaranja inflacije Na osnovu toga formirali smo indikatore koji mogu da budu signali da li na srednji rok (do osam kvartala) valja očekivati pojavu negativnih šokova na strani agregatne tražnje Ako u tom periodu očekujemo opadajući trend privredne aktivnosti i dodatno pad realne mase novca sa produbljivanjem monetarnog jaza - pojava negativnih šokova na strani tražnje postaje veoma verovatna To je korisna informacija za centralnu banku da bi nešto preventivno uradila i da preduhitri negativan razvoj privredne aktivnosti Takav negativan šok može se neutralisati pozitivnim šokom jednokratnog smanjivanja obaveznih deviznih rezervi

Rad je organizovan na sledeći način U prvom delu pokazaćemo kretanje realnog novca u evrozoni i Srbiji pre i u toku Globalne krize i to ćemo povezati sa monetarnom politikom koja se vodi na dva stuba - ekonomskoj i monetarnoj analizi U drugom delu analiziraćemo da li je moguće primeniti Tejlorovo pravilo kod nas U trećem delu izložićemo ključne relacije u standardnom DSGE modelu (Dynamic Stochastic General Equilibrium) i našu modifikaciju s uključivanjem funkcije tražnje za novcem U četvrtom delu prikazaćemo rezultate osnovnog scenarija projekcije modela s tim da se poslednji kvartal 2010 godine i prva tri kvartala u 2011 godini koriste kao bdquoistorijskaldquo provera modela U petom delu analiziraćemo kriterijume za određivanje da li je monetarna politika ekspanzivna ili restriktivna U šestom delu objašnjavamo kako u našem bankarskom sistemu politika obaveznih deviznih rezervi utiče na visinu kamatnih stopa i količinu novca u opticaju U sedmom delu ćemo još jednom modifikovati standardni DSGE model i proširićemo ga sa oportunitetnim troškovima nekamatonosne aktive U osmom delu pokazaćemo kakve bi efekte imalo jednokratno smanjivanje obaveznih deviznih rezervi Na kraju dajemo kratak zaključak

Dva stuba monetarne politike

ECB vodi monetarnu politiku oslanjajući se na dva stuba ekonomsku i monetarnu analizu To je u stvari politika duplog ključa (cross-check) pri određivanju visine referentne kamatne stope za refinansiranje Prvi ključ se

29

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011

and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

30

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vo 1

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011

odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

31

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011

Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

32

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011

Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

35

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

39

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

41

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

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011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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vo 1

1 - 1

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

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2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

28

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arst

vo 1

1 - 1

2 2

011

U ovakvim okolnostima ne bi trebalo precenjivati ulogu monetarne politike Ipak verujemo da postoji jedan prostor za njenu nešto aktivniju ulogu nego što je danas Prethodno potrebno je otkloniti neke stvari koje liče na šum u komunikaciji U svojim izveštajima o inflaciji NBS tvrdi da je gotovo tokom celog perioda od izbijanja ekonomske krize vodila ekspanzivnu monetarnu politiku Visina kamatnih stopa i stepen nelikvidnosti međutim upućuju na drugačiji zaključak Očigledno je došlo vreme da se razjasni ovaj nesporazum Na drugoj strani potrebno je razjasniti odnos politike ciljane inflacije i regulatorne politike NBS koja značajno podiže kamatne stope nezavisno od repo operacija

Nama je jasno da ne postoji raspoloženje da se menja sistem ciljane inflacije Međutim i u okviru njega postoji prostor za njeno bdquofino štelovanjeldquo Naš predlog je da se pogleda kako Evropska centralna banka vodi monetarnu politiku i da se proceni koliki je trošak naše regulatorne politike Obrazlažući smanjenje osnovne kamatne stope sa 15 na 125 predsednik ECB Mario Draghi je 4 novembra 2011 godine ubedljivo pokazao zašto treba smanjiti a ne povećati osnovnu kamatnu stopu iako je stopa inflacije već drugi mesec za redom značajno iznad ciljane stope inflacije Pritom se pozvao na kombinaciju ekonomske i monetarne analize što pokazuje da novac ne mora da bude izvan monetarne politike Na drugoj strani naša centralna banka uopšte ne vodi računa o troškovima obaranja inflacije niti o troškovima držanja visoke obavezne devizne rezerve Ti troškovi povezani s padom realne mase novca u opticaju ne doprinose bržem izlasku iz krize

Sve centralne banke imaju svoje DSGE modele koji podržavaju politiku ciljane inflacije Ti modeli u sebi nemaju jednačinu tražnje za novcem niti novčane agregate kao varijable koje utiču na inflaciju Mi smo sačinili jedan takav model za našu privredu za period 2001Q1-2010Q4 i prognozirali razvoj privrede u narednih osam kvartala U odnosu na standardni model uneli smo jednačinu tražnje za novcem i oportunitetni trošak nekamatonosne aktive koji nastaje kao posledica obaveznih deviznih rezervi Na osnovu rešenja modela pokazali smo kako se konzistentno određuje količina novca u opticaju koja je saglasna sa projekcijom

obaranja inflacije Na osnovu toga formirali smo indikatore koji mogu da budu signali da li na srednji rok (do osam kvartala) valja očekivati pojavu negativnih šokova na strani agregatne tražnje Ako u tom periodu očekujemo opadajući trend privredne aktivnosti i dodatno pad realne mase novca sa produbljivanjem monetarnog jaza - pojava negativnih šokova na strani tražnje postaje veoma verovatna To je korisna informacija za centralnu banku da bi nešto preventivno uradila i da preduhitri negativan razvoj privredne aktivnosti Takav negativan šok može se neutralisati pozitivnim šokom jednokratnog smanjivanja obaveznih deviznih rezervi

Rad je organizovan na sledeći način U prvom delu pokazaćemo kretanje realnog novca u evrozoni i Srbiji pre i u toku Globalne krize i to ćemo povezati sa monetarnom politikom koja se vodi na dva stuba - ekonomskoj i monetarnoj analizi U drugom delu analiziraćemo da li je moguće primeniti Tejlorovo pravilo kod nas U trećem delu izložićemo ključne relacije u standardnom DSGE modelu (Dynamic Stochastic General Equilibrium) i našu modifikaciju s uključivanjem funkcije tražnje za novcem U četvrtom delu prikazaćemo rezultate osnovnog scenarija projekcije modela s tim da se poslednji kvartal 2010 godine i prva tri kvartala u 2011 godini koriste kao bdquoistorijskaldquo provera modela U petom delu analiziraćemo kriterijume za određivanje da li je monetarna politika ekspanzivna ili restriktivna U šestom delu objašnjavamo kako u našem bankarskom sistemu politika obaveznih deviznih rezervi utiče na visinu kamatnih stopa i količinu novca u opticaju U sedmom delu ćemo još jednom modifikovati standardni DSGE model i proširićemo ga sa oportunitetnim troškovima nekamatonosne aktive U osmom delu pokazaćemo kakve bi efekte imalo jednokratno smanjivanje obaveznih deviznih rezervi Na kraju dajemo kratak zaključak

Dva stuba monetarne politike

ECB vodi monetarnu politiku oslanjajući se na dva stuba ekonomsku i monetarnu analizu To je u stvari politika duplog ključa (cross-check) pri određivanju visine referentne kamatne stope za refinansiranje Prvi ključ se

29

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and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

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odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

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Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

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Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

36

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vo 1

1 - 1

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

29

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arst

vo 1

1 - 1

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011

and a rise in unemployment is dramatic In the banking sector however bad debts and low liquidity are similarly serious issues

In these circumstances one should not overestimate the role of monetary policy Still we believe there is an opportunity for its more active role in the future Firstly it is necessary to resolve some issues that resemble communication noise The NBS claims in its inflation reports that it has maintained expansionary monetary policy during the most of the period since the outset of economic crisis However the levels of interest rates and illiquidity point to a different conclusion Obviously it is time to clear this misunderstanding On the other hand it is necessary to clarify the relationship between inflation targeting policy and the NBSrsquos regulatory policy which pushes interest rates up significantly independently of repo operations

We are clear that the official mood is not in favour of changing the system of inflation targeting However even within this system there is enough room for ldquofine tuningrdquo We suggest to consider how European Central Bank manages monetary policy and to evaluate the cost of our regulatory policy On 4 November 2011 the President of ECB Mario Draghi gave a convincing explanation of why the policy rate should be cut from 15 to 125 and not increased although inflation rate had been significantly above target inflation rate for two months in a row He used a combination of economic and monetary analysis which shows that money does not have to be left out of the monetary policy On the other hand our central bank does not have a slightest concern neither with the cost of reducing inflation nor with the cost of maintaining a high level of required foreign currency reserve Those costs coupled with a drop of real money balances do not contribute to a faster recovery from crisis

All central banks have their DSGE models which support inflation targeting policy Those models include neither money demand equation nor money aggregates as variables affecting inflation We have constructed a model representing our economy in the period 2001Q1-2010Q4 and gave a forecast of economic development in the next eight quarters In comparison with the standard model we added money demand equation and opportunity cost

of non-interest bearing assets resulting from required foreign currency reserves Based on the results obtained from this model we have shown how to make a consistent management of money balances in accordance with the projected lessening of inflation Consequently we have established indicators which may serve as signals of potential negative shocks on the aggregate demand side in the medium term (up to eight quarters) If a downward trend of economic activity is expected within that period negative shocks on the aggregate demand side become highly probable if combined with a reduction in real money balances and a deepening monetary gap This is useful information to the central bank in order to take precautionary measures and prevent a negative trend in economic activity This negative shock can be offset by a positive shock created by a one-off lowering of required foreign currency reserves

The paper is organized in the following way In the first chapter we will show the circulation of real money balances in Eurozone and Serbia before and after the global crisis We will link this to monetary policy management resting upon two pillars economic and monetary analysis In the second chapter we will analyze if it is possible to apply Taylorrsquos rule in local conditions In the third chapter we will present key relations in standard DSGE model (Dynamic Stochastic General Equilibrium) and our modification via insertion of money demand function In the fourth chapter we will illustrate results of modelrsquos baseline scenario where the closing quarter of 2010 and the first three quarters of 2011 are used as ldquohistoricrdquo checks in the model In the fifth chapter we will analyze criteria used to determine if monetary policy is expansionary or contractionary In the sixth chapter we will explain how the policy of mandatory foreign currency reserves affects the level of interest rates and volume of money in circulation in the context of our banking system In the seventh chapter we will modify standard DSGE model once again and expand it to include opportunity costs of non-interest bearing assets In the eighth chapter we will illustrate effects of one-off lessening of mandatory foreign currency reserves Finally we offer a short conclusion

30

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011

odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

31

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Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

32

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Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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011

In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

35

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

41

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

44

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

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1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

30

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arst

vo 1

1 - 1

2 2

011

odnosi na ekonomsku analizu koja predstavlja osnovu za vođenje politike ciljane inflacije Ciljana inflacija ECB je bdquodva odsto ili nešto niželdquo Drugi ključ se odnosi na monetarnu analizu i ona počiva na projekciji monetarnog jaza realne M3 novčane mase imajući u vidu ciljanu stopu inflacije i referentnu stopu dugoročnog rasta M3 novčane mase od 4 5 Prva analiza vodi računa o rizicima za inflaciju na kratak i srednji rok dok druga analiza vodi računa o dugom roku i vezi između stope rasta novčane mase i stope rasta cena u dužem periodu vremena Iako je bila izložena mnogim kritikama (Woodford 2007 Gali 2008b) ECB nije odustala od svoje monetarne analize pozivajući se na opšte usvojen teorijski stav da je na dugi rok inflacija monetarni fenomen

Ono što je ECB promenila od svog osnivanja

do danas odnosi se na zamenu reda prioriteta Do 2003 godine ECB je tretirala monetarnu analizu kao primarnu a ekonomsku analizu kao dodatnu Međutim problemi u vezi sa nestabilnošću funkcije tražnje za novcem i promene u kompoziciji M3 agregata kao i permanentno širenje pozitivnog realnog M3 novčanog jaza primorali su ECB da se približi standardima drugih centralnih banaka koje vode čistu politiku ciljane inflacije Ciljana inflacija je postala primarni stub monetarne politike ECB a monetarna analiza njen pomoćni stub Uprkos tome stvarnost u evrozoni i dalje pokazuje visoku pozitivnu korelaciju između stope rasta novca i inflacije U periodu 2006Q1-2011Q3 koeficijent korelacije je 050 (t-statistika je visoka i iznosi 445 što govori o signifikantnosti korelacije)

Slika 1 Novac i inflacija u evrozoni i Srbiji

31

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2 2

011

Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

32

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011

Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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vo 1

1 - 1

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011

In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

bank

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vo 1

1 - 1

2 2

011

2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

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2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

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1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

31

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arst

vo 1

1 - 1

2 2

011

Two pillars of monetary policy

ECB creates monetary policy that rests upon two pillars economic and monetary analysis In fact this is a cross-check policy used to set the level of policy rate for refinancing operations The first pillar refers to economic analysis which represents a platform for managing inflation targeting policy ECBrsquos target inflation is ldquotwo percent or slightly lowerrdquo The second pillar refers to monetary policy and it is based on a projection of real money balances gap having in mind the said target inflation rate and a 45 long-term M3 growth rate The first analysis is concerned with risks of inflation over short-term and medium term while the second analysis focuses on the long-term and relationship between money growth rate and inflation rate over a long run Although it was subjected to strong criticism (Woodford 2007 Gali 2008b) ECB did not abandon its monetary

analyses referring to the generally accepted theoretic position stating that in the long-term inflation was a monetary phenomenon

But the change it has introduced in the meantime refers to new order of priorities Until 2003 ECB considered monetary analysis as primary and economic analysis as secondary However instability of money demand function and changes in composition of M3 aggregate as well as constant widening of real M3 monetary gap have forced the ECB to come closer to standard of other central banks which manage policy of pure inflation targeting Inflation targeting has become the main pillar of ECBrsquos monetary policy while monetary analysis is its auxiliary pillar In spite of this reality of the Eurozone still shows a high positive correlation between money growth rate and inflation In the period 2006Q1-2011Q3 correlation coefficient was 050 (t-statistics is high at 445 which shows the significance of correlation)

Figure 1 Money and Inflation in Eurozone and Serbia

32

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011

Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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vo 1

1 - 1

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011

In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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arst

vo 1

1 - 1

2 2

011

2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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vo 1

1 - 1

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011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

32

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vo 1

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011

Na slici 1 prikazali smo uporedno kretanje realne mase novca realne repo kamatne stope i inflacije za evrozonu i Srbiju Na oba područja recesija je dovela do pada tražnje za realnim novcem zbog pada GDP-a (dva gornja grafikona na slici 1) Iako je pad GDP-a u evrozoni bio veći nego u Srbiji kamatne stope u evrozoni su bile niže nego u Srbiji tako da je pad realne mase novca u evrozoni bio daleko manji nego u Srbiji Na kamatne stope presudno utiče referentna kamata ECB Kao što pokazuje donji levi grafikon na slici 1 realna repo kamata ECB-a je već dve godine negativna To je sasvim sigurno rezultat ekspanzivne monetarne politike ECB u vreme privredne krize u Evropi Ona se vodi iako postoji očigledan kratkoročni trend rasta inflacije od 2010Q1 godine

Na drugoj strani M2 realna masa novca u Srbiji je daleko više pala a realna repo kamatna stopa je bila pozitivna i viša nego u Evro zoni sve do 2011Q1 (dva desna grafikona na slici 1) U tom periodu inflacija je rasla u Srbiji Realna repo stopa u Srbiji nakon tog trenutka postaje negativna iako stopa inflacije opada da bi se na kraju perioda ponovo vratila u pozitivnu zonu Napominjemo da su sve veličine predstavljene kao pomični tromesečni proseci da bi se neutralisale slučajne varijacije

Ekonomska kriza je napravila probleme centralnim bankama koje vode politiku ciljane inflacije Potreba da se stimuliše realna privredna aktivnost je uzrokovala smanjenje referentnih kamatnih stopa Neke centralne banke govore o bdquokvantitativnim olakšicamaldquo koje u stvari znače vođenje ekspanzivne politike kreiranja novčane mase Iako novčana masa nije instrument monetarne politike niti njen primarni cilj u praksi kreiranje dodatne mase novca postaje sekundarni cilj Neto efekat su negativne realne referentne kamatne stope One protivreče logici monetarnog transmisionog mehanizma u sistemu ciljane inflacije On počiva na krivi agregatne tražnje koja u koordinantnom sistemu (π y) ima negativan nagib Rast inflacije (π) zahteva od centralne banke da poveća još više referentnu kamatnu stopu da bi obezbedila da realna referentna kamatna stopa bude pozitivna i da poraste posle intervencije centralne banke Zbog rasta realne referentne kamatne stope rastu i druge realne kamatne stope i nivo proizvodnje (y)

opada odnosno smanjuje se proizvodni jaz To smanjuje pritisak na cene a inflacija opada posle određenog perioda Kada je realna referentna kamatna stopa negativna funkcionisanje ovakvog transmisionog mehanizma postaje sumnjivo

ECB ne govori o bdquokvantitativnim olakšicamaldquo nego eksplicitno vodi politiku na dva stuba koja uzima u obzir i stanje realne novčane mase Kada postoji potreba baš kao što je to bio slučaj u novembru 2011 godine može doći do smanjenja referentne kamate iako je inflacija iznad ciljanog nivoa i ne opada

Tejlorovo pravilo

Šta bi naša centralna banka mogla da uradi koristeći iskustvo ECB Prva promena bi trebalo da bude simbolična i da pokaže da NBS ima razumevanja za postojanje ekonomske krize Sa stanovišta modela monetarne politike to bi podrazumevalo redefinisanje funkcije reakcije monetarne politike odnosno redefinisanje monetarnog pravila na osnovu koga NBS donosi odluku o visini referentne stope Ona to radi vodeći računa o inerciji kamatnih stopa (it-1) inflatorno neutralnoj kamatnoj stopi (in

t = rt

trend + πet+1) i odstupanju prognozirane od ciljane

inflacije (πet+4 - πcilj

t+4) Superskript bdquoeldquo označava da se očekivanja formiraju u sadašnjem periodu a realizuju u periodu naznačenom u sabskriptu (t + ) Ona međutim u svom monetarnom pravilu ne vodi računa o proizvodnom jazu što znači da faktički pretpostavlja da je parametar C3=0 u jednačini (1)

Objašnjavajući model NBS autori kažu bdquo naše pravilo monetarne politike ne uključuje proizvodni jaz Razlog je tekuće prirode i nalazi se u tome što su inflacioni ciljevi za prvih nekoliko godina primene ovog režima postavljeni na jako visokom nivou (8plusmn2 za 2009 i 6plusmn2 za 2010) da bi se u jeku svetske ekonomske krize izbegla restriktivnost monetarne politike koja bi dodatno mogla pogoršati ekonomsku situaciju [Postavljanje ciljeva na nižem nivou zahtevalo bi restriktivniju monetarnu politiku] Uključivanje proizvodnog jaza koji je u toku

33

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In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

35

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vo 1

1 - 1

2 2

011

2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

36

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vo 1

1 - 1

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

33

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011

In figure 1 we have shown comparative trends of real money balances real repo interest rate and inflation for the Eurozone and Serbia In both areas recession has caused a fall in demand for real money balances due to a drop in GDP (two upper graphs in figure 1) Although the drop in GDP was greater in the Eurozone than in Serbia interest rates were lower in the Eurozone so the corresponding drop in real money stock was far smaller than in Serbia Just as the lower left graph in Figure 1 shows ECBrsquos real repo rate has been negative for two years already Certainly this is the result of an expansionary monetary policy by the ECB at the time of economic crisis in Europe This policy is enforced although there is an evident short-term trend of inflation growth since 2010Q1

On the other hand in Serbia real M2 money balances contracted much more while real repo interest rate was positive and higher than in the Eurozone up until 2011Q1 (two right-hand graphs in Figure 1) During that period inflation grew in Serbia As of that moment real repo rate in Serbia turned negative although inflation rate was decreasing At the end of the period it returned to the positive side All values are given as moving quarterly averages in order to rule out random variations

The economic crisis has created problems for central banks running the inflation targeting policy The need to stimulate real economic activity has caused cuts in policy rates When that policy becomes ineffective some central banks opt for ldquoquantitative easingrdquo which injects additional quantity of money into the economy Although quantity of money is neither an instrument of monetary policy nor its primary objective creation of additional quantity of money becomes a secondary objective in practice Negative real policy rates are the net effect They are contrary to the logic of monetary transmission channel in the system of targeted inflation It is based on the aggregate demand curve with a negative slope in the coordinate system (πy) Rise of inflation (π) requires from central bank to increase policy rate in order to make sure that real interest rate stays positive and to go up after the intervention by central bank Due to the increase of real policy rate other real interest rates will also grow while output level (y) will

fall ie production gap will shrink This will relieve pressure on prices and inflation will drop after a certain period The workings of this transmission channel become questionable in a situation when policy rate is negative

ECB does not talk of ldquoquantitative easingrdquo but runs a policy based explicitly on two pillars taking into consideration also the real money balances Refinancing rate can be cut if necessary just as it was the case in November 2011 even though inflation was above target level and continued to rise

Taylorrsquos rule

How could our central bank apply the experience of ECB The first policy change should be symbolic and show that the NBS has an understanding for the existence of economic crisis In terms of monetary policy model that would imply redefining of monetary policyrsquos reaction function ie redefining of monetary rule used by the NBS to set the level of repo interest rate Its decisions are made with a consideration of interest rate inertia (it-1) inflation neutral interest rate (in

t = rttrend + πe

t+1) and deviation of forecast from target inflation (πe

t+4 - πtargett+4) Superscript ldquoerdquo signifies that

expectations are formed in current period and realized in the period marked with subscript (t +) However in its monetary rule the NBS does not consider output gap which actually means that parameter C3 is assumed to be C3=0 in equation (1)

In explanation of the model authors from the NBS wrote ldquoOur monetary policy rule does not include output gap The reason results from the current context and the fact that inflation targets are set at a very high level (8plusmn2 for 2009 and 6plusmn2 for 2010) during the initial years of this regime The targets are set high in order to avoid restrictiveness of monetary policy which could further aggravate economic situation at the peak of global economic crisis [Setting lower targets would require a more restrictive monetary policy] Inclusion of output gap which was strongly negative in

34

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2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

35

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

36

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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011

Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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011

period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

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2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

34

bank

arst

vo 1

1 - 1

2 2

011

2009 i 2010 godine izrazito negativan u pravilo monetarne politike moglo bi dovesti do prebacivanja ionako visoko postavljenog cilja Kada se cilj bude stabilizovao na nižem nivou moguće je da će proizvodni jaz biti uključen u pravilo monetarne politikeldquo (Đukić i dr 2010 str 19)

Naše je mišljenje da predstojeća kriza zahteva da se to odmah uradi nezavisno od visine inflacije Uz rizik da prikazujemo rezultate simulacije DSGE modela pre nego što ga objasnimo u narednom odeljku navodimo na slici 2 doprinos proizvodnog jaza formiranju kamatne stope Kriva sa markerima je serija referentne kamate (stvarne i projektovane) i na nju se odnosi leva skala Na desnoj skali su udeli koji govore o uticaju proizvodnog jaza (kriva bez markera) na formiranje referentne kamate Doprinos proizvodnog jaza u periodu 2009-10 godine je negativan i značajno je oblikovao kretanje referentne kamate Nakon toga on se polako oporavlja i postaje pozitivna veličina na kraju perioda No referentna kamata opada jer opada inflacija i drugi faktori iz jednačine (1) više utiču na nju Dakle nema bojazni da će uključivanje proizvodnog jaza da poremeti politiku obaranja inflacije

Inače visina kamatne stope u prvoj godini simulacije je niža a stopa rasta proizvodnje viša kada se uključi proizvodni jaz nego kada se isključi iz jednačine (1) Istine radi taj odnos je obrnut u drugoj godini simulacije ali pri generalno dosta nižim stopama rasta I u jednom i u drugom slučaju inflacija konvergira ka ciljanom nivou u periodu od osam kvartala (videti sliku 310) Veće stope rasta kada je

inflacija viša i kada su više kamatne stope delimično kompenziraju visoke troškove obaranja inflacije U tom smislu mi ne vidimo da postoje razlozi da se proizvodni jaz isključi iz jednačine (1)

Proizvodni jaz naravno postoji u drugim jednačinama modela što znači da je rasprava

o njemu deo postupka u kome NBS odlučuje o referentnoj kamatnoj stopi ali projekcije modela na osnovu kojih se vodi rasprava nisu iste kao u slučaju kada bi bilo C3 gt 0 Jednačina (1) predstavlja poznato Tejlorovo pravilo Visina koeficijenta C2 i C3 ukazuje na stav centralne banke u odnosu na inflaciju i kako ona razume svoj mandat u pogledu ostvarivanja i održavanja stabilnosti cena Centralna banka koja je veoma alergična na inflaciju značajno

favorizuje vrednost C2 u odnosu na C3 a u krajnjoj liniji drži C3 = 0 Centralna banka koja je pak manje alergična na inflaciju a više na pad proizvodnje i zaposlenosti više pažnje posvećuje proizvodnom jazu i bolje balansira ovaj odnos U svakom slučaju odnos ovih parametara mora da bude takav da je C2 gt C3 Na taj način centralna banka može da utiče na položaj i nagib krive agregatne tražnje što na kraju utiče i na brzinu obaranja inflacije i na društvene troškove antiinflacione politike (Sorensen and Whitta-Jacobsen 2010 str 472)

Da li zakonski mandat NBS sprečava našu centralnu banku da više balansira između inflacije i proizvodnje Naše je mišljenje da je ne sprečava To je implicitan stav i autora NBS modela ako ga mi dobro razumemo Poređenja radi mandat ECB je potpuno identično formulisan kao i mandat NBS a ova centralna banka ipak koristi model sa klasično definisanim Tejlorovim pravilom koje podrazumeva da je C3 gt 0 (Smelts and Wouters 2007 str 15)

Model

Naš model je standardan novo-kejnzijanski model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) Ukupno postoji 41 jednačina

Slika 2 Uticaj proizvodnog jaza (desno) na formiranje referentne kamate (levo)

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2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

41

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

35

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vo 1

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011

2009 and 2010 into monetary policy rule could lead to overshooting of already high targethellip Once the target is stabilized at a lower levelhellip it is possible that output gap will be included in the monetary policy rulerdquo (Djukić i dr 2010 pg 19)

In our opinion the upcoming crisis requires this to be done immediately regardless of inflation level Despite the fact that the DSGE model is explained later in chapter III we present in Figure 2 modelrsquos simulation how output gap affects interest rate setting The curve with markers is a policy rate series (actual and projected) shown on the right axis The effects of output gap on policy rate setting are shown on the left axis (curve without markers) Output gaprsquos contribution during the period 2009 through 2010 is negative and has made a significant influence on the trend of policy rate This is followed by a slow recovery and a change to positive value at the end of the period But policy rate is generally decreasing because inflation is falling outperforming opposite influence of the other factors in the equation So there is no reason for concern that inclusion of output gap would disrupt the policy of inflation targeting

In fact interest rate level is lower in the first year of simulation while growth rate of output is higher when output gap is included in the equation (1) than when it is excluded In truth this relationship is reversed in the second year of simulation but growth rates are generally lower then In both cases inflation converges towards target level over a period of eight quarters (see Figure 310) With higher inflation and higher interest rate greater growth rate

provides a partial compensation for high costs associated with reducing inflation In that sense we see no rationale for excluding output gap from equation (1)

Certainly output gap figures in other equations of the model which means that it is a

part of procedure when the NBS decided on policy rate but model projections used as platform for discussions are not the same as in the case when C3 gt 0 Equation (1) represents the well-known Taylorrsquos rule Value of coefficients C2 and C3 highlights the position of central bank regarding inflation and its understanding of mandate to attain and maintain price stability A central bank that has a strong aversion to inflation will give priority to value C2 relative

to C3 and keep C3 = 0 as a last resort However a central bank less averse to inflation and more to a drop in production and employment will pay more attention to output gap and better balance this relationship In any case the values of these parameters have to be such that C2 gt C3 Thus the central bank can influence position and slope of aggregate demand curve which ultimately affects the speed of inflation adjustment and social costs of anti-inflationary measures (Sorensen and Whitta-Jacobsen 2010 pg 472)

Does the legal mandate of the NBS prevent our central bank from balancing better between inflation and production We think that it does not If we understood them correctly this is also the implicit position of the NBS modelrsquos authors In comparison formulation of ECBrsquos mandate is the same as the NBSrsquo but this central bank still uses a model with classically defined Taylorrsquos rule implying that C3 gt 0 (Smelts and Wouters 2007 pg 15)

The model

Our model is a standard New-Keynesian model (Woodford 2003 Berg et al 2006a 2006b Gali 2008) It has a total of 41 equations where the first six equations represent the modelrsquos key block We have already declared the first equation (1) describing monetary rule which the NBS follows deciding on the policy rate

Figure 2 Effect of Production Gap on Policy Interest Rate

36

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od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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arst

vo 1

1 - 1

2 2

011

Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

bank

arst

vo 1

1 - 1

2 2

011

period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

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2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

36

bank

arst

vo 1

1 - 1

2 2

011

od kojih prvih šest jednačina predstavljaju ključni blok modela Prvu jednačinu (1) koja opisuje monetarno pravilo po kome centralna banka odlučuje o visini referentne kamatne stope smo već napred naveli Ostale ključne jednačine navodimo u donjem tekstu Jednačine koje nismo naveli su definicione jednačine ili jednačine koje određuju trendove i jazove glavnih varijabli Novina je samo u tome što smo dodali jednačinu (7) koja predstavlja jednačinu tražnje za novcem izraženu preko stopa rasta novca proizvodnje i inflacije Parametar R5 predstavlja dohodovnu elastičnost tražnje za novcem a parametar R6 semi-elastičnost tražnje za novcem u odnosu na kamatnu stopu Varijabla εt

μ predstavlja stohastički šok na tržištu novca odnosno sve one nepredviđene promene i udare koji mogu da se dese na tržištu novca

Jednačina (2) modelira agregatnu tražnju Proizvodni jaz (yt

jaz) odslikava stanje agregatne tražnje koja zavisi od inercije (yt-1

jaz) jaza realne kamatne stope (rt

jaz) jaza realnog kursa (ztjaz) i

jaza strane proizvodnje (ytjaz) u našem slučaju jaza GDP-a u evrozoni Važno je da uočimo da proširivanje jaza realne kamatne stope obara agregatnu tražnju Nepredviđeni udari na tražnju su modelirani varijablom εt

yJednačina (3) izražava Filipsovu krivu (W

Phillips) koja predstavlja dinamičku verziju krive IS iz tradicionalnog IS-LM kejnzijanskog makroekonomskog modela a koja opisuje uslove pod kojima se formira ravnoteža na tržištu roba Inflacija nije monetarni fenomen

nego zavisi od inflacione inercije (πt-1) inflacionih očekivanja (πt+1

e) proizvodnog jaza (yt

jaz) jaza realnog kursa (ztjaz) i šokova na strani

ponude εtπ

Jednačina (4) predstavlja nepokriveni paritet kamatnih stopa gde domaće kamatne stope (it) u uslovima slobodnog prekograničnog kretanja kapitala zavise od očekivanih promena nominalnog kursa (Δst+1

e) stranih kamatnih stopa (EURIBOR it) rizika (ut) i stohastičkih šokova na tržištu kapitala εt

u Faktički preko ove jednačine prenosi se uticaj referentne kamate na određivanje nominalnog deviznog kursa

Jednačina (5) daje definiciju realnog kursa (zt) gde su uključene varijable nominalni kurs (st) domaće cene (pt potrošačke cene) i strane cene (pt CPI u evrozoni) Sve veličine su predstavljane u (logaritamski izraženim) nivoima Jednačina (6) je Fišerova (Fischer I) jednačina realne kamatne stope (rt) koja zavisi od nominalne kamatne stope (it) i očekivane inflacije (πt+1

e) Jednačina (7) se dobija diferenciranjenem relativno stabilne jednačine tražnje za novcem u log-linearnom obliku

gde je Mt količina novca u opticaju u periodu t a μt je njegova stopa rasta Pt je nivo cena a πt je inflacija R5 i R6 su elastičnost i semi-elastičnosti dohotka i kamatne stope u odnosu na novac respektivno it je kratkoročna kamatna stopa Δit njena promena između dva perioda sa εt

μ obeležavamo stohastičke šokove koji utiču na tražnju za novcem

U odnosu na model NBS naš model je nešto jednostavniji i ne razlaže inflaciju na tri kategorije (baznu inflaciju inflaciju kontrolisanih cena i inflacije energenata i hrane)

Rezultati simulacije osnovnog modela

Model ima svoju empirijsku podlogu u kvartalnim podacima za privredu Srbije između 2001Q1 i 2010Q4 kao i za privredu evrozone u istom periodu Jedino referentna kamatna stopa ima kraći vremenski horizont jer ona funkcioniše tek od 2006Q3 Kod svih ostalih varijabli postoje potpuni podaci za posmatrani

37

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Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

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period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

37

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arst

vo 1

1 - 1

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011

Other key equations are provided in further text We have omitted definition equations and equations determining trends and gaps in key variables The only news is that we added equation (7) which represents equation of money demand expressed in terms of money output and inflation growth rates Parameter R5 represents income elasticity of money demand and parameter R6 stands for semi-elasticity of money demand relative to interest rate Variable εt

μ represents a stochastic shock in the money market ie all those unexpected changes and impacts that can affect a money market

Equation (2) models aggregate demand Output gap (yt

gap) reflects state of aggregate demand which depends on inertia (yt-1

gap) real interest rate gap (rt

gap) real exchange rate gap (zt

gap) and foreign production gap (ytgap) ie GDP gap in the Eurozone in our case It is important to note that widening of real interest rate gap suppresses aggregate demand Unexpected demand shocks are modelled via variable εt

yEquation (3) presents Phillips curve (W

Phillips) which is a dynamic version of IS curve from the traditional IS-LM Keynesian macroeconomic model describing conditions under which goods market achieves equilibrium Inflation is not a monetary phenomenon but it depends on inflation inertia (πt-1) inflation expectations (πt+1

e) output gap (yt

gap) real exchange rate gap (ztgap) and supply

side shocks εtπ

Equation (4) represents an uncovered

interest rates parity where domestic interest rates (it) depend on expected changes in nominal exchange rate (Δst+1

e) foreign interest rates (EURIBOR it) risk (ut) and stochastic capital market shocks εt

u in the framework of free cross-border movement of capital In fact this equation carries the effect of policy rate on the setting of nominal exchange rate

Equation (5) provides a definition of real exchange rate (zt) with the following variables nominal exchange rate (st) domestic prices (pt consumer price index) and foreign prices (pt CPI in Eurozone) All values are presented at levels expressed as logarithms

Equation (6) is Fischerrsquos (Fischer I) equation for real interest rate (rt) which depends on nominal interest rate (it) and expected inflation (πt+1

e)Equation (7) is obtained by differentiating

relatively stable equation for money demand in a log-linear format

where Mt is the quantity of money in circulation at a period t and μt is money growth rate Pt is price level and πt is inflation R5 and R6 are elasticity and semi-elasticity of income and interest rate relative to money respectively it is short-term interest rate Δit is its change between two periods and εt

μ is used to mark stochastic shocks affecting money demand

In comparison with the NBS model our model is somewhat simpler since it does not break down inflation into three categories (base inflation controlled prices inflation and fuels and food inflation)

Baseline scenario

Empirical foundation of the model is built on quarterly data of the Serbiarsquos economy between 2001Q1 and 2010Q4 as well as on the Eurozone economy during the same period Only the repo interest rate in Serbia covers a shorter timeline as it was not introduced until 2006Q3 All other variables include complete data over the observed period The model permits an evaluation of trend value for each variable separately which means that shorter series for the NBS policy interest rate does not

38

bank

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011

period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

39

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011

affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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011

in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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vo 1

1 - 1

2 2

011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

44

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arst

vo 1

1 - 1

2 2

011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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1 - 1

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

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vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

38

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arst

vo 1

1 - 1

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011

period Model dozvoljava da se oceni trend veličine za svaku posebnu varijablu tako da skraćivanje serije kod referentne kamatne stope NBS ne utiče na ocenu drugih trend veličina

Suština modela je da proceni kakva bi trebalo da bude referentna kamata da bi se na srednji rok (do osam kvartala) stvarna inflacija svela na svoj ciljani nivo Ciljani nivo inflacije smo odredili kao 5 na kraju perioda prilagođavanja s tim da smo pretpostavili da se ciljana inflacija polako prilagođava svom krajnjem nivou U tom smislu putanja ciljane inflacije je prikazana (donjom linijom) na slici 3 10 U momentu početka simulacije dugoročni trend cena - koji odslikava putanju ciljane inflacije - je bio na nivou 7 5 dok je stvarna inflacija iznosila 11 4 Posle osam kvartala ove linije su se poklopile Simulacija pokazuje da je u prvom polugodištu 2011 g valjalo očekivati dvocifrenu inflaciju da bi ona sredinom godine pala ispod ovog nivoa Ova prognoza prilično verno predviđa šta se stvarno dešavalo sa inflacijom kod nas u prva tri kvartala 2011 godine

Na slici 37 prikazana je putanja referentne kamatne stope Ona je u poslednjem kvartalu 2010 godine iznosila 98 Model je predvideo da ona prvo raste s tim da je njena najviša vrednost iznosila 107 da bi kasnije počela da opada Prognozirana vrednost referentne kamate na kraju perioda simulacije je iznosila 69

Navedene vrednosti inflacije i referentne kamate pretpostavljaju da je realna kamatna stopa pozitivna veličina Njena projekcija je prikazana na slici 34 U momentu početka simulacije ona je bila negativna i iznosila je -1 Ona je vrlo brzo dobila pozitivnu vrednost i na kraju perioda simulacije iznosila je 35 Ovakvo kretanje kamatne stope dobro aproksimira njenu stvarnu putanju u prva tri kvartala 2011 godine

Kao što pokazuje slika 33 realni kurs je prvo apresirao a posle toga polako depresirao da bi se na kraju vratio na nivo koji je imao na početku perioda simulacije U tom smislu obaranje inflacije je inicijalno imalo apresirajuće dejstvo na realni kurs Nešto slično se dogodilo

Slika 3 Projekcije modela za period 2011Q1-2012Q4Nivo bazne godine 2005 = 100 stope rasta u procentima

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affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

42

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vo 1

1 - 1

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011

Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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arst

vo 1

1 - 1

2 2

011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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arst

vo 1

1 - 1

2 2

011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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1 - 1

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

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2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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vo 1

1 - 1

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011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

39

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arst

vo 1

1 - 1

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011

affect evaluation of other trend valuesEssentially the model should provide a

general equilibrium solution of the policy rate which will reduce actual inflation to target level in the medium term (up to eight quarters) We have set target inflation at 5 in the end of adjustment period But we have assumed that target inflation will slowly adjust to its final level In that sense the path of target inflation is shown as a blue line in Figure 310 At the start of simulation long-term trend of prices which describes the path of target inflation was at 75 while actual inflation was 114 After eight quarters these two lines converged Simulation indicates that double digit inflation was to be expected in the first half of 2011 while it dropped beyond that level at mid-year This forecast is a quite true picture of what actually happened with inflation in Serbia during the first three quarters of 2011

Figure 37 shows the path of policy rate In the final quarter of 2010 it was 98 The model forecasts that it will grow first reaching a peak value of 107 before starting to decrease The forecast value of policy rate in the end of simulation period was 69

Stated values of inflation and policy rate imply that real interest rate is a positive value Its projection is shown in Figure 34 At the start of simulation it was negative at -1 Very quickly its value turned positive and at the end of simulation period it was 35 This movement of interest rate is a good approximation of its actual path during the first three quarters of 2011

Just as the Figure 33 shows real interest rate appreciated first and then it depreciated slowly in order to return finally to the level it had before simulation period In that sense the lowering of inflation had an initial appreciation effect on real exchange rate A similar situation happened

Figure 3 Model Projections for the Period 2011Q1-2012Q4Level variables normalized to 100 in 2005 otherwise percents

40

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i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

bank

arst

vo 1

1 - 1

2 2

011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

44

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arst

vo 1

1 - 1

2 2

011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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1 - 1

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011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

40

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arst

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011

i u stvarnoj privredi U odnosu na kraj 2010 godine realni kurs dinara je još uvek bio apresiran u novembru 2011 godine Dakle realno apresiranje dinara za mnoge je bilo iznenađenje ali kao što vidimo to nije nešto što modelski nije moglo da se projektuje Ostaje otvoreno pitanje za empirijsku analizu koliko je realno apresiranje kursa dinara u 2011 godine bilo rezultat politike dezinflacije NBS a koliko je bilo plod drugih faktora

Sa stanovišta svojstva modela odgovor daje impulsna funkcija reakcije realnog kursa na jediničnu dezinflaciju Sa slike 4 vidimo da obaranje inflacije ima tranzitivne i permanente efekte Tranzitivni efekat se ogleda u nagloj apresijaciji realnog kursa (smanjenje realnog kursa za -07 jedinica u prvom kvartalu nakon šoka jediničnog smanjenja inflacije) On se potom svodi na nulu posle osam kvartala da bi kasnije ponovo opao i oscilirao oko -018 Dakle na dugi rok permanentni efekat dezinflacije je apresiranje realnog kursa Napominjemo da negativna vrednost realnog kursa znači njegovo apresiranje Naravno ovaj zaključak vredi ceteris paribus jer u međuvremenu promene nekih drugih veličina mogu da imaju sasvim suprotne efekte na realni kurs

Dezinflaciona monetarna politika ima svoju cenu Na slici 31 prikazali smo proizvodni jaz koji je u celom periodu negativan Iako postoji usporavajući dugoročni trend rasta GDP-a proizvodni jaz je još uvek negativan To ne znači da model ne predviđa pozitivne stope rasta GDP-a u posmatranom periodu Međutim te stope rasta GDP-a su veoma oskudne i njihova

projekcija za 2011 godinu iznosi 12 a za 2012 godinu 11 Dakle nezavisno od novog talasa svetske ekonomske krize koji je posebno pogodio evrozonu projektovane stope rasta GDP-a su veoma niske Drugim rečima model ne predviđa izlazak iz donje faze privrednog ciklusa na srednji rok

Karakter monetarne politike

Pod ovim naslovom podrazumevamo odgovor na pitanje da li je monetarna politika restriktivna ili ekspanzivna odnosno da li monetarna politika zaoštrava uslove poslovanja ili ih popušta Za takvu ocenu ključno je pitanje na osnovu čega merimo efekte monetarne politike odnosno šta je njen indikator NBS koristi za to indeks monetarnih uslova On predstavlja ponderisani prosek dva jaza realne kamatne stope i

realnog kursa Jednačina (8) formalno opisuje formiranje indeksa monetarne politike (impt)

Mi ne znamo koju je vrednost beta parametra koristila NBS ali je naša procena da je to β = 07 Kada je impt pozitivan broj to ukazuje na restriktivnu monetarnu politiku dok njegova negativna vrednost pokazuje da se radi o ekspanzivnoj monetarnoj politici

Na slici 51 reprodukovali smo grafikon bdquoIndeks monetarnih uslovaldquo iz Izveštaja o inflaciji NBS za avgust 2011 Na drugoj slici 52 prikazali smo našu ocenu indeksa monetarnih uslova U osnovnom slučaju (za β = 0 7) oni se poklapaju do 2010Q4 i pokazuju da je u periodu 2010Q1-2010Q4 vođena ekspanzivna monetarna politika a da je od izbijanja krize do danas u ostalim periodima vođena restriktivna monetarna politika Modelska projekcija restriktivnosti monetarne politike za prva dva kvartala 2011 godine je niža nego što to ocenjuje NBS

Slika 4 Impulsna funkcija u slučaju dezinflacije

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in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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vo 1

1 - 1

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011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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1 - 1

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011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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011

gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

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Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

41

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vo 1

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011

in the real sector The real exchange rate of the dinar was still appreciated in November 2011 relative to the end of 2010 So real appreciation of the dinar was surprising for many but as we see this was not something that the model could not project Still an outstanding issue for empirical analysis is to determine the extent to which real appreciation of exchange rate in 2011 was a result of disinflation policy by the NBS and how much it was affected by other factors

Impulse response function describing reaction of real exchange rate to unit disinflation shock provides additional insights In Figure 4 we see that a one-time disinflation shock has both transitory and permanent effects Transitory effect is reflected in sudden appreciation of real exchange rate (lowering of real exchange rate by -07 units in the first quarter after the one unit shock of disinflation) Then it is reduced to zero after eight quarters and later it fell again oscillating around -018 So in the long term appreciation of real exchange rate is the effect of disinflation Negative value of real exchange rate signifies its appreciation Of course this conclusion is valid ceteris paribus since shocks to other variables can create completely opposite effects on real exchange rate in the meantime

Disinflation monetary policy comes at a cost In Figure 31 we have shown negative output gap during the entire period Although there is a long-term trend of decelerating GDP growth output gap is still negative Still the model does predict positive rates of GDP growth over the observed period However those GDP growth

rates are very low at the projected level of 12 for 2011 and 11 for 2012 So projected GDP growth rates are very low irrespectively of the new wave of global economic crisis affecting the Eurozone in particular In other words the model does not predict a strong recovery from the trough of current business cycle

Character of monetary policy

The question is whether monetary policy is restrictive or expansionary ie if monetary policy complicates or relaxes the conditions of doing business Benchmark against which effects of monetary policy are measured is the key question here The NBS uses the index of monetary conditions which is a weighted average of two gaps real interest rate and real exchange rate Equation (8) formally describes the method of determining monetary

policy index (impt)

We do not know the value of beta parameter used by the NBS but estimate it at β = 07 When impt is a positive number this signifies restrictive monetary policy while its negative value is an indicator of expansionary monetary policy

In Figure 51 we reproduced graph ldquoMonetary Conditions Indexrdquo from Inflation Report the NBS August 2011 In the second Figure 52 we gave our evaluation of monetary conditions index In a basic case (for β = 07) they match until 2010Q4 and show that 2010Q1-2010Q4 period was characterized by expansionary monetary policy while other periods since the outbreak of global economic crisis until today are subject to restrictive monetary policy Modelled projection of monetary policy restrictiveness in the first two quarters of 2011 is lower than evaluated by the NBS

Figure 4 Impulse Response Function in Case of Disinflation

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Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

43

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

44

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1 - 1

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011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

arst

vo 1

1 - 1

2 2

011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

42

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arst

vo 1

1 - 1

2 2

011

Slika 51 Indeks monetarne politike NBS

Naš cilj nije da upoređujemo jednu i drugu ocenu indeksa monetarne politike Mi samo želimo da istaknemo da promena pondera u jednačini (8) može u određenim periodima značajno da izmeni informacije o karakteru monetarne politike U prošlosti to je bio period svih četiri kvartala u 2007 godine a u budućnosti to lako može da bude cela 2012 godina Naše je uverenje da imp daje važne informacije o karakteru monetarne politike ali da nije dovoljno robustan indeks pošto ključno zavisi od izbora pondera u jednačini (8)

Iako vladajuća doktrina s prezirom gleda na monetarnu analizu realnost zahteva eklektičan pristup Najpre realna referentna kamatna stopa u evrozoni je negativna a tako je bilo i kratko vreme kod nas Zbog neizvesnih efekata buduće krize nema garancije da se to neće ponoviti u Srbiji Nema garancija da neki spoljni

šok neće povećati nominalni kurs dinara i pokrenuti lavinu inflacionih očekivanja Negativna realna referentna kamatna stopa ne uklapa se u modernu monetarnu teoriju i modele ciljane inflacije Na drugoj strani kanal likvidnosti ili kreditni kanal potpuno je isključen iz monetarnog mehanizma

Na slici 36 prikazali smo kretanje realne novčane mase i njenu projekciju do kraja 2012 godine a na slici 312 stope rasta novčane mase i njihovu projekciju do kraja 2012 godine Od izbijanja krize realna novčana masa opada Implicitno padaju i stope rasta novčane mase Naša je projekcija da će nastaviti da opadaju i u narednim kvartalima ako se ništa ne promeni u vođenju monetarne politike što podrazumeva dalji pad realne mase novca U stvarnoj ekonomiji kretanje realne novčane mase koincidira s kretanjem realnog prometa u trgovini na malo što ukazuje na kretanje potrošačke tražnje kao ključne komponente agregatne tražnje Koeficijent korelacije između tromesečnih

proseka realne novčane mase i indeksa realnog prometa u trgovini na malo u periodu 2001M1-2011M9 iznosi 090 sa t-statistikom 2357 Zbog toga pad realne novčane mase dobro indicira pad potrošačke tražnje odnosno agregatne tražnje

Ako monetarni jaz definišemo kao jaz realne mase novca u odnosu na svoj dugoročni trend slike 31 i 35 pokazuju da između monetarnog jaza i proizvodnog jaza postoji visok stepen saglasnosti Kako je novac više promenljiva veličina nego GDP monetarni jaz pokazuje i veću promenljivost nego proizvodni jaz Nezavisno od toga po našem mišljenju monetarni jaz je pouzdan indikator proizvodnog jaza U stvarnosti informacije o GDP-u kasne i raspoložive su samo na kvartalnom nivou Nasuprot tome informacije o cenama i novcu su mnogo ažurnije i

Slika 52 Simulacije indeksa monetarne politike

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Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

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gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

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1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

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1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

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1 - 1

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

43

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arst

vo 1

1 - 1

2 2

011

Our primarily intention is not to compare alternative evaluations of monetary policy index We would only like to highlight the fact that a change of weights in an equation (8) may create a serious modification of information on character of monetary policy In the past that was the period including all four quarters of 2007 while in the future it may easily be the whole 2012 We think that imp provides important information about character of monetary policy but it is not a sufficiently robust index as it is crucially dependent on choice of weights in equation (8)

Although the prevailing doctrine looks upon monetary analysis with contempt reality calls for an eclectic approach Firstly real policy rate

in Eurozone is negative as it was here for a brief period Due to unpredictable effects of future crisis there is no guarantee that it will not happen again in Serbia Also there are no guarantees that an external shock will not push nominal exchange rate of the dinar up and start an avalanche of inflation expectations Negative real policy rate does not fit into modern monetary theory and models of targeted inflation On the other hand liquidity or credit channel is omitted from monetary mechanism completely

In Figure 36 we have shown movement of real quantity of money and its projection until end of 2012 and in Figure 312 money growth rates and their projection until end of 2012 Real money balances have been shrinking since the outset of crisis Implicitly money growth rates are also falling We envisage that they will continue falling in the following quarters if nothing is changed in managing of monetary policy which implies a further drop in real money balances In real economy movement of real money balances matches the movement of real retail sales which indicates

to movement of consumer demand as the key component of aggregate demand Correlation coefficient between quarterly averages of real money balances and real retail sales index in the period 2001M1-2011M9 is 090 with t-statistic 2357 Consequently shrinking of real money balances is a robust indicator of falling consumer demand ie aggregate demand

If we define monetary gap as the gap between real money balances and their long-term trend figures 31 and 35 show a high level of correlation between monetary gap and output gap Since money is more volatile than GDP monetary gap exhibits a greater variability than output gap Irrespective of this we think that monetary gap is a reliable indicator of output

Figure 52 Modelrsquos Simulation

Figure 51 NBS Monetary Policy Index

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011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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arst

vo 1

1 - 1

2 2

011

gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

bank

arst

vo 1

1 - 1

2 2

011

neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

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Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

44

bank

arst

vo 1

1 - 1

2 2

011

raspoložive su na mesečnom nivou U tom smislu informacije o monetarnom jazu daleko prethode informacijama o proizvodnom jazu i valjalo bi ih koristiti u analizi kod donošenja odluka o visini referentne kamatne stope

Napominjemo da uvođenje jednačine tražnje za novcem ne utiče na rešenja modela U modelu ne postoji jednačina ponude novca tako da ponuda i tražnja za novcem ne određuju kamatnu stopu Kamatna stopa se određuje na osnovu agregatne tražnje i agregatne ponude a u funkciji ostvarivanja ciljane inflacije Rešenje modela za novčanu masu projektuje tražnju za njom Na repo operacijama je da ponude odgovarajuću količinu novca koja će se naći u opticaju

Postoje i druge informacije koje mogu dopunski da se koriste za ocenu karaktera monetarne politike Beck i Wieland (2010 str 23) predlažu da se u tu svrhu koristi monetarna analiza iz drugog stuba monetarne politike ECB Oni predlažu formiranje koeficijenta monetarne provere (kt cross-check indicator) u obliku

Na dugi rok stope rasta novčane mase i dugoročna inflacija se poklapaju Odstupanje između ovih veličina u međuvremenu pokazuje udaljenost stvarne monetarne situacije od njene dugoročne ravnoteže Jednačina (9) to odstupanje meri u brojiocu kao kvadrat razlike između tekuće stope rasta novčane mase i ciljane inflacije dok u imeniocu ima varijansu novčane mase Novčana masa je određena na osnovu nivoa tražnje za novcem koji je konzistentan sa kretanjem ostalih veličina u modelu koje sve na kraju perioda posmatranja treba da dovedu tekuću inflaciju na nivo ciljane inflacije Na slici 39 prikazali smo vrednost koeficijenta kt u privredi Srbije računajući i naše projekcije do kraja 2012 godine Uvođenje sistema ciljane inflacije uticalo je na značajno ublažavanje razlike između stvarne i ciljane inflacije ali ona ponovo počinje da raste u periodu projekcije budućeg razvoja privrede

Mi smo takođe merili bdquožrtveldquo ili bdquotroškove prilagođavanjaldquo u modelu ciljane inflacije kao odnos gubitka u proizvodnji na jedinicu

bdquoneravnotežneldquo inflacije Indeks L u jednačini (10) pokazuje odnos između kvadratnog korena kumuliranih kvadrata gubitaka proizvodnje i kvadratnog korena kumuliranih kvadrata razlike između tekuće i ciljane inflacije

Ovo je vrlo pragmatična mera koja izbegava procene koliko je gubitak proizvodnje važan za nosioce ekonomske politike Dobijeni rezultati su prikazani na slici 3 11 Slika pokazuje koliko je naglo skočio društveni trošak obaranja inflacije nakon izbijanja Globalne recesije Nakon toga on se stabilizuje pa čak i delimično opada u periodu do kraja projekcije Inače tipična bdquolossldquo funkcija ima oblik

gde je potrebno uneti parametar gama koji predstavlja bdquopolitičkildquo ponder o važnosti proizvodnje za društvo i parametar k koji predstavlja željeni nivo proizvodnje (Walsh 2010 str 272)

Ponuda novca i kamatna stopa

Kao što smo već istakli novo-kejnzijanska teorija ne uključuje ponudu novca u svoje modele a uključenje tražnje za novcem u obliku jednačine (7) ne dovodi u pitanje njene osnovne teorijske postulate Tražnja za novcem je izvedena tražnja iz optimalne kamatne stope i ne utiče na formiranje inflacije niti na nivo proizvodnje Zašto smo ipak uveli jednačinu tražnje za novcem biće vidljivo u narednom poglavlju U međuvremenu želimo da objasnimo vezu između ponude novca i visine kamatne stope u našoj privredi

Kada se u jednoj zemlji vode konzistentne politike zasnovane na sistemu ciljane inflacije ponuda novca nije veličina koja utiče na kamatne stope Kamatne stope zavise od referentne kamatne stope čime je implicitno određena tražnja za novcem koja se zadovoljava na tržištu repo operacija Ponuda novca je uvek onolika kolika je tražnja za novcem što znači da se tržište novca uvek nalazi u ravnoteži To je osnovno pravilo sistema ciljane inflacije

Međutim naš bankarski sistem ima

45

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arst

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011

gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

bank

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011

neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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vo 1

1 - 1

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011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

arst

vo 1

1 - 1

2 2

011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

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1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

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2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

45

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arst

vo 1

1 - 1

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011

gap In reality information on GDP is late and available only at quarterly level In that sense information on monetary gap is available much sooner than those on output gap and they should be used in analysis when deciding on the value of policy interest rate

We need to underline that inclusion of money demand equation in the model does not affect its solutions To be precise the model does not contain a money supply equation and for this reason money demand and supply are not able to determine market interest rate Instead the interest rate is a general equilibrium solution of the model which guarantees that target inflation rate will be achieved What the model produces as a numeric solution for the quantity of money it is in fact a demand for money The corresponding supply of money must adjust to it since otherwise there is no general equilibrium solution and this will be practically done through open market operations

Also there is other information that may be used additionally in order to evaluate the character of monetary policy Beck and Wieland (2010 pg23) suggest use of monetary policy for that purpose as the second pillar of ECBrsquos monetary policy They propose formulation of monetary cross-check indicator kt in the format

In the long-run growth rate of money matches long-term inflation In the meantime deviations from these values indicate to the gap between actual monetary situation and its long term equilibrium Equation (9) measures this deviation in the numerator as a squared difference between current growth rate of money and target inflation while denominator contains variance of the quantity of money Quantity of money is determined in accordance with money demand level which is consistent with the movement of other variables contained in the model which should bring current inflation to target inflation level at the end of the observed period In figure 39 we have shown value of coefficient kt in the Serbian economy also taking into account our projections until the end of 2012 Introduction

of inflation targeting regime has brought about a significant reduction of difference between actual and target inflation but it is starting to increase again in the period of projected future economic development

Also we estimated ldquosacrificesrdquo or ldquoadjustment costsrdquo in the inflation targeting model as the ratio of output losses to the unit of ldquodisequilibriumrdquo inflation rate Index L in equation (10) indicates the relationship between square root of cumulative squares of output losses and square root of cumulative squares of difference between actual and target inflation

This is a very pragmatic measure which steers clear of evaluations of how important are output losses to the creators of economic policy Obtained results are shown in Figure 311 which depicts the sudden increase in social cost of disinflation after the outbreak of global recession After that it is stabilized and even decreases to some extent in the period until the end of projection Typical ldquolossldquo function has this format

where one should insert gama parameter which stands for bdquopoliticalldquo weight of importance of production to society and parameter k which stands for the desired level of production (Walsh 2010 pg 272)

Money supply and interest rate

As we have pointed out already the New-Keynesian theory does not include money supply in its models while inclusion of money demand in the format of equation (7) does not question its fundamental theoretic precepts Money demand is derived demand from optimal interest rate and does not affect inflation or output level Chapter VIII will show why after all we decided to introduce money demand equation In the meantime we would like to explain relationship between money supply and interest rate level in our economy

When a country enforces consistent policies based on inflation targeting system then money

46

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neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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vo 1

1 - 1

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011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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arst

vo 1

1 - 1

2 2

011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

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vo 1

1 - 1

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011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

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arst

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1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

46

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arst

vo 1

1 - 1

2 2

011

neka svojstva koja ga teško preporučuju za politiku ciljane inflacije Kod nas postoji dualni valutni sistem sa značajnim transakcionim troškovima pretvaranja jedne valute u drugu ali te operacije nisu nelegalne i ne postoji rizik formiranja sivog tržišta valuta i višestrukih kurseva To je svakako pozitivna karakteristika postojećeg bankarskog sistema mada veoma skupa jer on priznaje realnost da kod nas postoji visoki stepen eurizacije Na negativnoj strani se nalazi ročna i valutna struktura štednih depozita Štedni depoziti ne samo da se gotovo isključivo drže u evrima ili drugim devizama nego je njihova ročnost mahom do godine dana Zbog očiglednog rizika ne samo da postoji osiguranje deviznih depozita nego i visok nivo obaveznih deviznih rezervi koje banke moraju da drže kod NBS Kako to utiče na kamatne stope

Devizni depoziti koje banke obavezno drže kod NBS pripadaju tzv nekamatonosnoj aktivi jer na njih NBS ne plaća nikakvu kamatu Naravno ne postoji kreditno-depozitni sistem u svetu koji može da funkcioniše ako ne oplođuje svoje depozite jer ne bi imao odakle da plaća kamatu na njih To vredi i za naše banke Zato one moraju da naplaćuju veću kamatu na preostali deo kamatonosne aktive nego što bi morale ako bi nekamatonosna aktiva bila svedena na razumnu meru Istovremeno smanjivanje kamatonosne aktive značajno smanjuje količinu novca u opticaju Podela na kamatonosnu i nekamatonosnu aktivu je rezultat regulatorne politike NBS koja se kod nas vodi gotovo deset godina To je dobro poznato Ono što se uglavnom zanemaruje odnosi se na uticaj nenaplativih kredita na nekamatonosnu aktivu Regulatorna politika bi to morala da ima u vidu da ne bi sužavala ionako uzan prostor za delovanje sistema ciljane inflacije Po našem uverenju mere bi morale da budu dvojake Na jednoj strani nešto valja učiniti u pogledu nenaplativih potraživanja a na drugoj strani valja relaksirati obaveze po osnovu obavezne devizne rezerve

Na slici 6 prikazali smo našu ocenu udela nekamatonosne aktive (leva skala) u jednoj tipičnoj srpskoj banci i visinu oportunitetnih troškova koje banke imaju po osnovu držanja nekamatonosne aktive (desna skala) Pod oportunitetnim troškovima podrazumevamo izgubljenu kamatu koja bi se ostvarila ako bi nekamatonosna aktiva bila minimalna Oportunitetni trošak naravno banke moraju da prebace na svoje klijente On poslednjih godinu dana varira između 4 i 6 odsto i na njega podjednako utiču kako obavezne devizne rezerve tako i nenaplativa potraživanja U tom smislu naša je procena da oportunitetni trošak obaveznih deviznih rezervi trenutno iznosi oko 3 odnosno za taj procenat se povećava aktivna kamatna stopa koju plaćaju preduzeća i građani zbog obaveznih deviznih rezervi Inače udeo obaveznih deviznih rezervi u bilansima banaka je trenutno oko 11 odsto

Regulatorna politika centralne banke izvlači jedan deo novčane mase iz opticaja Na drugoj strani politika repo kamatnih stopa izvlači drugi deo novčane mase iz opticaja Obe ove politike su imale svoj značajan mada ne isključivi doprinos u smanjenju realne mase novca u opticaju kao što smo to ranije pokazali na slici 1

Oportunitetni trošak obaveznih rezervi

Po našem uverenju postoji potreba da se poveća količina novca u opticaju Iz naše monetarne istorije znamo da takva politika nije bez rizika i da može da utiče na povećavanje inflacije Na drugoj strani poznato je da kod nas postoji visoki iznos loših zajmova zbog

Slika 6 Procena oportunitetnog troška nekamatonosne aktive

47

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supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

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čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

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Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

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inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

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arst

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011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

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Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

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Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

47

bank

arst

vo 1

1 - 1

2 2

011

supply is not a variable that affects interest rates Interest rates depend on policy rate which is an implicit determinant of money demand that is met in the market through repo operations Money supply always matches money demand which means that money market is always at equilibrium This is the fundamental tenet of inflation targeting system

However our banking system has certain properties that do not recommend it readily for the target inflation policy We have a dual currency system involving significant transaction costs of currency conversion but those operations are not illegal and there is no risk of grey market of currencies and multiple exchange rates Certainly this is a positive feature of current banking system but it is very expensive as it acknowledges the reality of high degree of Eurization On the downside we have mismatch of maturity and currency structure of savings deposits Not only are savings deposits almost exclusively kept in Euros or other foreign currencies but their maturity is mostly up to one year Due to the evident risk not only is there savings deposits insurance but also a high level of mandatory foreign currency reserves to be kept by banks at the NBS How does this affect interest rates

Mandatory foreign currency reserves kept by commercial banks at the NBS belong to the so called non-interest bearing assets as the NBS does not pay any interest on those deposits Naturally no credit-deposit system in the world can function without making a profit on its deposits as it would not be able to pay interest This applies to our banks too Consequently they have to charge a higher interest on the remaining share of interest bearing assets then they would have to charge if non-interest bearing assets were reduced to a reasonable measure Simultaneously reduction of interest bearing assets causes a significant decrease of quantity of money in circulation The division into interest bearing and non-interest bearing assets is the result of the NBSrsquos regulatory policy which has been enforced for nearly ten years This is a known fact But

the effect of bad debts on non-interest bearing assets is mostly neglected Regulatory policy would have to account for this so as to avoid creating additional difficulties to the inflation targeting system In our opinion measures should be twofold On one hand the issue of bad debts needs to be addressed and on the other obligations arising from mandatory foreign currency reserves should be relaxed

In Figure 6 we showed our estimate of non-interest bearing assetrsquos share (left axis) in a typical Serbian bank and the amount of opportunity cost carried by banks for keeping non-interest bearing assets (right axis) We consider lost interest which would be received if non-interest bearing assets were minimal to be opportunity cost Naturally banks have to transfer this opportunity cost to their clients During the past year it varied from 4 to 6 percent and it was affected almost equally by mandatory foreign currency reserves and bad debts In that sense we estimate opportunity cost of mandatory foreign currency reserves to be about 3 which is also the percentage by which active interest rate is increased for enterprises and citizens due to regulatory policy of the NBS As a fact of evidence the share of required foreign currency reserves in balance sheets of banks is about 11 percent at this time

Regulatory policy of the central bank keeps a portion of money stock out of circulation On the other hand the policy of repo interest rates removes another portion of money stock from circulation Both policies have made a significant although not decisive contribution towards reduction of real money balances as we have shown in Figure 1

Figure 6 Estimate of Opportunity Cost of Non-Interest Bearing Assets

48

bank

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vo 1

1 - 1

2 2

011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

arst

vo 1

1 - 1

2 2

011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

48

bank

arst

vo 1

1 - 1

2 2

011

čega i jesu velika rezervisanja kod banaka To je kreditni rizik koji shodno obračunu iz tabele 1 povećava aktivne kamatne stope za 2 do 3 odsto Dakle u takvoj situaciji - kada ima nedovoljno novca u opticaju a nema garancija da bi se on uvek razumno koristio - povećanju novčane mase mora da se priđe sa puno obzira

Naš DSGE model u verziji sa jednačinama (1) - (7) ne može da simulira efekat egzogenog povećanja novčane mase što bi u stvari predstavljalo jednokratno snižavanje obavezne devizne rezerve Zato moramo bdquočistldquo novo-kejnzijanski model monetarne politike da bdquoisprljamoldquo ponudom novca To nije u skladu s vladajućom doktrinom (i dogmom) monetarne politike ali ne znači da nema ozbiljnih ekonomista koji sumnjaju u čistotu novo-kejnzijanskog monetarnog modela Jedan od njih je dobitnik Nobelove nagrade za ekonomiju i verovatno vodeći živi akademski ekonomista Robert Lucas Ne osporavajući rezultate politike ciljane inflacije u smirivanju inflacije i značajan teorijski doprinos novo-kejnzijanske teorije monetarne politike Lucas ističe bdquoDogađaji posle 1999 godine nisu testirali važnost drugog monetarnog stuba i centralne banke koje ne koriste podatke o ponudi novca imaju podjednako dobre rezultate kao i ECB u skorašnjoj istoriji kontrole inflacije Ja se plašim da ovaj podsticajni ali kratak period uspeha neće ohrabriti mišljenje koje je inače već široko rasprostranjeno da je monetarni stub suvišan i da vodi monetarnu politiku natrag u zamršeni eklekticizam koji nas je doveo do inflacije u 1970-im godinamaldquo (str 168) ldquoDa zaključim niti bi se pojava inflacije u 70-tim godinama niti bi politike koje su je obuzdale mogle razumeti bez stavljanja naglaska na drugi monetarni stub politike centralne banke Ako bismo dozvolili da nas uspeh u kontroli inflacije u poslednjih dvadeset godina dovede do toga da zaboravimo ovu činjenicu bila bi to nepromišljena greškardquo (Lucas 2007 str 171)

Ovo upozorenje o potrebi održavanja politike ECB zasnovane na dva stuba uključujući monetarnu analizu ponude novca je bilo dato u 2006 godini Ono se danas u periodu krize pokazalo itekako značajno a Lucasove reči kao proročke

Ipak mi smo želeli da zadržimo osnovnu strukturu novo-kejnzijanskog monetarnog

modela U njemu se aktivne kamatne stope pojednostavljeno tretiraju kao jednake referentnoj kamatnoj stopi U tom smislu kamatna margina može slobodno da se drži na nuli jer ona ne utiče na odnos referentnih i aktivnih kamata Na toj pretpostavci je urađen i model NBS Kod nas BEONIA zajedno sa kamatnim stopama NBS na depozitne i kreditne olakšice efikasno određuju koridor kratkoročnih aktivnih kamatnih stopa a ove sa svoje strane određuju dugoročne kamatne stope U tom smislu i mi smo mogli da usvojimo istu konvenciju o jednoj jedinoj kamatnoj stopi radi pojednostavljivanja modela Međutim u našem monetarnom sistemu postoji još jedan međučlan koji nije toliko izražen u drugim zemljama To je oportunitetni trošak nekamatonosne aktive On mora da se uzme u obzir pri formulisanju kanala monetarne transmisije Bazična kamata nije referentna kamata nego ona mora biti uvećana za oportunitetni trošak nekamatonosne aktive

Mi smo ovu osnovnu ideju o promeni bazične kamate primenili tako što smo u našem modelu izmenili jednačine (1) (6) i (7) i dodali jednačine (11) i (12)

Jednačina (1rsquo) pokazuje kako se sada menja pravilo na osnovu koga centralna banka određuje referentnu kamatu Dodaje se novi član C4it

opt koji uključuje uticaj oportunitetnog troška nekamatonosne aktive na određivanje ukupne visine referentne kamatne stope Na taj način centralna banka uključuje svoju politiku obaveznih rezervi u politiku ciljane inflacije

Putanja oportunitetnog troška nekamatonosne aktive je modelirana jednačinom (12) Ovu putanju smo modelirali kao bdquobeli šumldquo promena s otklonom Na njega utiče dati nivo oportunitetnog troška nekamatonosne aktive D1

(koji po našoj oceni sada iznosi oko 3) faktor

49

bank

arst

vo 1

1 - 1

2 2

011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

49

bank

arst

vo 1

1 - 1

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011

Opportunity cost of mandatory reserves

We believe it necessary to increase quantity of money in circulation However our monetary history teaches us that such a policy has its risks and that it may cause an increase in inflation On the other hand it is well known that we have a high level of bad debts which is the reason for a high level of provisions in the banking sector According to our calculation this credit risk increases active interest rates by 2 to 3 percent So in this situation of scarce money balances and no guarantee that they would be used reasonably an increase of quantity of money in circulation must be approached with much caution

Our DSGE model version with equations (1) - (7) cannot simulate the effect of exogenous increase of the amount of money equal to a one-off lowering of required foreign currency reserve Consequently we have to ldquopolluterdquo a ldquocleanrdquo New-Keynesian model of monetary policy with money supply This is not in line with the prevailing doctrine (and dogma) of monetary policy but it does not signify a total absence of serious economists who question the purity of the New-Keynesian monetary model Nobel Prize winner for economics and probably the best living economic scholar Robert Lucas is one of them Without disputing results of inflation targeting policy in controlling inflation and a significant theoretic contribution of New-Keynesian monetary policy Lucas pointed out

ldquoEvents after 1999 did not test importance of the second monetary pillar and central banks that did not use money supply data had equally good results as the ECB in recent history of inflation control I fear that this stimulative but brief period of success will not encourage an opinion already widely spread that monetary pillar is superfluous and that it reverses monetary policy into complicated eclecticism which led us to inflation in the 1970srdquo (pg168)ldquoIn conclusion it is impossible to understand neither the occurrence of inflation in the 70s nor the policies that stopped it without emphasizing the second monetary pillar of central bank policy It would be an imprudent error if we should allow success in inflation control during the last twenty years

lead us to forget this factrdquo (Lucas 2007 pg171)This warning about the need to maintain

ECBrsquos policy based on two pillars including monetary analysis of money supply was issued in 2006 Today in this period of crisis it has proven to be very significant and Lucasrsquo words are prophetic

However we wanted to keep the main structure of New-Keynesian monetary model The model gives a simplified treatment to active interest rates as equal to policy interest rate In that sense interest rate spread can freely be kept at zero as it does not affect the ratio of policy and active interest rates The NBSrsquos model was created under the same assumption In Serbia BEONIA combined with the NBSrsquos interest rates on deposit and credit benefits sets the path for short-term active interest rates They in turn determine long-term interest rates Consequently for the sake of modelrsquos simplicity we could have adopted the same rule of single interest rate However in our monetary system there is another factor which is not so significant in other countries This is the opportunity cost of non-interest bearing assets It must be considered when formulating monetary transmission channels The basic interest is not policy interest but it must be increased by opportunity cost of non-interest bearing assets

We applied starting idea of basic interest rate change by modifying equations (1) (6) and (7) in our model and adding equations (11) and (12)

Equation (1rsquo) shows the modification of rule applied by central bank in order to set policy rate New term C4it

opt is inserted to include effect of opportunity cost of non-interest bearing assets on determination of policy rate level That way the central bank incorporates

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

50

bank

arst

vo 1

1 - 1

2 2

011

inercije D2 i stohastički egzogeni šok εtopt

Iako NBS određuje visinu obavezne rezerve njen uticaj na oportunitetni trošak nekamatonosne aktive zavisi od portfelja banaka i promena u kreditiranju preduzeća i stanovništva U tom smislu on nije pod potpunom kontrolom NBS Uticaj inercije može da se otkloni postuliranjem vrednosti parametra C4 = 0 što smo mi i uradili u praktičnoj simulaciji modela

Bazična kamatna stopa itbazna - koja je osnov

za formiranje svih drugih aktivnih kamata - je predstavljena jednačinom (11) kao zbir referentne kamatne stope it i oportunitetnog troška nekamatonosne aktive it

optPretpostavljajući da je bankarska marža

jednaka nuli (zbog pojednostavljivanja modela) bazična kamatna stopa ulazi u jednačinu tražnje za novcem (7rsquo) Jednačina tražnje za novcem je izmenjena samo u tom smislu što sada akomodira jednokratni porast novčane mase posredstvom smanjenja bazične kamate Napominjemo da tražnju za novcem i dalje određuje sam model Međutim smanjenje oportunitetnog troška nekamatonosne aktive zbog smanjenja obavezne rezerve smanjuje

bazičnu kamatnu stopu i podiže tražnju za novcem

Istovremeno menja se i Fišerova jednačina realne kamate (6rsquo) u tom smislu što bazična kamatna stopa it

bazna zamenjuje referentnu kamatnu stopu it u procesu formiranje realne kamate Sa promenom realne kamate menja se i obim proizvodnje odnosno proizvodni jaz To dalje utiče na inflaciju preko Filipsove krive (3)

Dakle modeliranjem oportunitetnog troška nekamatonosne aktive možemo da simuliramo uticaj porasta realne mase novca na proizvodnu aktivnost u novo-kejnzijanskom modelu koji inače nema jednačinu ponude novca Novac više nije neutralan na kratak rok i preko politike promene obaveznih deviznih rezervi može da se utiče na realnu privredu Razumno bi bilo međutim promenu obaveznih rezervi ne koristiti često jer bi to narušilo kredibilitet politike ciljane inflacije Politiku promene obaveznih rezervi bi valjalo koristiti samo kada se jasno formira opadajući trend realne mase novca koji tržište samo po sebi ne može da promeni a koji očigledno ima negativan efekat na nivo privredne aktivnosti

Slika 7 Efekti smanjenja oportunitetnog troška nekamatonosne aktiveNivo bazne godine 2005 = 100 stope rasta u procentima

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

51

bank

arst

vo 1

1 - 1

2 2

011

its policy of mandatory reserves into inflation targeting policy

The path of opportunity cost of non-interest bearing assets is modelled in equation (12) We modelled this path as a ldquowhite noiserdquo of changes with a deviation It is affected by the given level of opportunity cost of non-interest bearing assets D1 (we estimate it at 3) inertia factor D2 and stochastic exogenous shock εt

opt

Although the NBS sets the level of mandatory reserve its influence on opportunity cost of non-interest bearing assets depends on portfolio of banks and changes in lending to enterprises and households In that sense it is not under full control of the NBS The influence of inertia can be removed by postulating values of parameter C4 = 0 and that is what we did during practical simulation

Basic interest rate itbasic which is the platform

for formulation of all other active interest rates is presented in equation (11) as a sum of policy interest rate it and opportunity cost of non-interest bearing assets it

optAssuming that bank spread equals zero

(to simplify the model) basic interest rate is inserted into money demand equation (7rsquo) Money demand equation is modified to accommodate one-off growth of money stock

created by lowering of basic interest rate Please note that the model still determines money demand However lower opportunity cost of non-interest bearing assets decreases basic interest rate and increases money demand

Simultaneously Fischerrsquos equation for real interest rate (6rsquo) is modified by replacing policy rate it by basic interest rate it

basic The change of real interest rate changes also the production volume ie output gap Further this affects inflation via the Phillips curve (3)

So by modelling of opportunity cost of non-interest bearing assets we can simulate how an increase of real money quantity affects production activity in the New-Keynesian model which by default does not include money demand equation Money loses its short-term neutrality and the real sector can be influenced by changing mandatory foreign currency reserves policy However it would be reasonable to avoid frequent changes of mandatory reserves as it would undermine credibility of the inflation targeting regime Changes of mandatory reserves should be implemented only in cases when a clear downward trend of real money balances with an evident negative effect on the level of production activity cannot be reversed by the market

Figure 7 Effects of Lowered Opportunity Cost of Non-Interest Bearing AssetsLevel variables normalized to 100 in 2005 otherwise percents

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

52

bank

arst

vo 1

1 - 1

2 2

011

Rezultati simulacije modifikovanog modela

Postavlja se pitanje kakve bi efekte imala jednokratno povećana ponuda novca u monetarnom modelu koji smo izložili u prethodnom odeljku Rezultate simulacije prikazali smo na slici 7 Oni govore o trendovima promena i načinu funkcionisanja samog modela Inače parametri modela u jednačinama (1) - (12) su A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1 R5=1 R6=0 8 D1=3 i D2=0

Proizvodni jaz je na kraju perioda simulacije postao pozitivna veličina a prosečne stope rasta GDP u prvoj godini iznosile su 14 (za razliku od baznog scenarija u kome je bilo 12) a u drugoj godini 13 (opet nešto više nego u baznom scenariju od 11) Dakle rast nije spektakularano veći jer je ceo model usmeren na obaranje inflacije po cenu usporavanja proizvodnje Naime u prvom kvartalu stopa rasta je iznosila 34 ali je ubrzo oborena na niži nivo zbog naglog rasta referentne i bazične kamate Ove kamate potom opadaju ali ostavljaju trajni negativni efekat na nivo proizvodne aktivnosti

Putanje tekuće i ciljane inflacije na slici 710 pokazuju da je moguće još uvek ostvariti politiku stabilizacije cena na srednji rok iako je inflacija nešto veća nego u osnovnom scenariju (za manje od jednog procenta)

Realni kurs (sa slike 73) najpre apresira a kasnije depresira više nego što je bio na početku perioda Postoji permanentni uticaj smanjenja oportunitetnog troška nekamatonosne aktive na rast nominalnog kursa što se odražava i na realno depresiranje deviznog kursa

Indeks monetarne politike (slika 78) pokazuje da se vodi ekspanzivna monetarna politika što potvrđuju i monetarni indikatori sa slika 75 i 712 Istovremeno troškovi prilagođavanja polako opadaju (slika 711) a monetarna provera ukazuje na smirivanje neravnoteža na tržištu roba i novca (slika 79)

Naše je mišljenje da je promena obaveznih deviznih rezervi izuzetna mera i da ne bi trebalo često da se koristi sve dok postoji dominantan model fleksibilnog deviznog kursa i ciljane

inflacije Istovremeno valjalo bi pažljivo odmeriti visinu ove relaksacije

Zaključak

Potrebno je vratiti novac u monetarnu politiku ali to ne bi smelo da ugrozi kredibilitet sistema ciljane inflacije - sve dok je takav monetarni sistem oficijalno izabran kao sidro za obuzdavanje rasta cena Moguće je delimično odstupiti od bdquočistogldquo novo-kejnzijanskog modela na kome počiva model NBS i bdquoisprljatildquo ga sa oportunitetnim troškovima nekamatonosne aktive U modelu i dalje efektivno funkcionišu samo dva kanala monetarne transmisije - kanal kamatnih stopa i kanal deviznog kursa Kanal novca je izvedeni kanal koji pokazuje koji je porast novčane mase saglasan sa porastom proizvodnje i inflacije Time se model približava realnoj monetarnoj situaciji u Srbiji u kojoj novčana masa utiče na agregatnu tražnju i inflaciju Kako politika obaveznih deviznih rezervi utiče na ponudu novca i određuje visinu oportunitetnog troška nekamatonosne aktive modifikovanje osnovnog DSGE modela omogućava da se upravljanje novcem transparentno uvede u monetarni mehanizam a da se ne diraju njegove osnovne karakteristike Odgovor na postavljeno pitanje - kako vratiti novac u monetarnu politiku - glasi da je to moguće uraditi kroz kanal oportunitetnog troška nekamatonosne aktive

Mi se nismo u ovom radu bavili pitanjem koliki bi trebalo da bude stepen monetarne relaksacije odnosno koliko bi trebalo smanjiti obaveznu rezervu Ipak moramo da kažemo da eksperimenti u našem modelu pokazuju da postoji granica u kojoj podizanje novčane mase ne ugrožava ostvarivanje nivoa ciljane inflacije u osam kvartala Ako se pređe ta granica dobijaju se veće stope rasta GDP-a ali i odstupanje od ciljane inflacije Ono je posebno vidljivo u prvoj godini za koju se vrši simulacija To upozorava na mogući gubitak kredibiliteta centralne banke i oprez sa kojim bi valjalo relaksirati monetarnu politiku Relaksacija monetarne politike je nužna ali ne bi smela permanentno da poveća inflatorna očekivanja

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

53

bank

arst

vo 1

1 - 1

2 2

011

Modified model simulation results

What would be the effect of one-off increase of money supply within the monetary model presented in the previous chapter Figure 7 shows simulation results They illustrate changing trends and workings of the model Model parameters in equations (1)-(12) are A1=08 A2=015 A3=015 A4=01 B1=07 B2=01 B3=07 C1=05 C2=5 C3=3 C4=1R5=1 R6=08 D1=3 i D2=0

At the end of simulation period output gap became a positive value while average growth rate of GDP was 14 in the first year (unlike the base scenario where it was 12) and 13 in the second year (again slightly higher than in the base scenario where it was 11) So growth was not extraordinarily greater as the model is designed to lower inflation at the expense of decelerating production In fact growth rate was 34 in the first quarter but it was lowered soon as a result of sudden increase of policy and basic interest rates These rates dropped later but they left a lasting negative effect on the level of production activity

The paths of current and target inflation in Figure 710 indicate that it is possible to carry out price stabilization policy in the medium term although inflation is slightly higher than in the baseline scenario (by less than one percent)

Real exchange rate (Figure 73) appreciates at first and later it depreciates lower than its level at the beginning of the period Lowering of opportunity cost of non-interest bearing assets exerts a permanent influence on growth of nominal exchange rate which also influenced real depreciation of foreign currency exchange rate

Monetary policy index (Figure 78) points to an expansionary monetary policy which is confirmed also by monetary indicators in figures 75 and 712 Simultaneously adjustment costs are dropping slowly (Figure 711) while monetary policy indicates a stabilization of disequilibrium in the market for goods and money (Figure 79)

We think that a change in mandatory foreign currency reserves is an exceptional measure and that it should not be used often as long as

flexible exchange rate and target inflation is the dominant model Simultaneously the extent of this relaxation should be measured carefully

Conclusion

Money should be returned into monetary policy but this action should not jeopardize credibility of inflation targeting regime as long as this system is the official tool of inflation control It is possible to make a half-step back from ldquopurerdquo New-Keynesian model as the platform for the NBSrsquos model and ldquopolluterdquo it with opportunity costs of non-interest bearing assets Only two channels of monetary transmission interest rates and exchange rate channels are still working effectively in the model Money channel is a derived channel which indicates a growth of money supply in line with the growth of output and inflation Therefore the model gets closer to real monetary situation in Serbia where quantity of money affects aggregate demand and inflation Since the policy of mandatory foreign currency reserves affects money supply and determines the amount of opportunity cost of non-interest bearing assets modification of basic DSGE model allows for a transparent introduction of money management into monetary mechanism without changing its basic features The channel of opportunity cost of non-interest bearing assets offers a response to the question of how to return money into monetary policy

In this paper we did not concern ourselves with the issue of appropriate degree of monetary relaxation that is the extent to which mandatory reserve should be lowered Still we have to say that our experiments indicate a limit within which an increase in money stock does not jeopardize target inflation during eight quarters Beyond this limit GDP growth rates are higher but deviation from target inflation is greater as well Especially this is evident in the first year of simulation This is a warning of potential loss of credibility by the central bank and advisable caution is to be exercised when relaxing monetary policy which is a necessary step but should not cause a permanent heightening of inflationary expectations

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

54

bank

arst

vo 1

1 - 1

2 2

011

Literatura References

1 Berg A P Karam and D Laxton (2006a) ldquoA Practical Model-Based Approach to Monetary Policy Analysis - Overviewrdquo IMF Washington D C Working Papers WP0680

2 Berg A P Karam and D Laxton (2006b) ldquoPractical Model-Based Monetary Policy Analysis - A How-To Guiderdquo IMF Washington D C Working Papers WP0681

3 Beck G W and V Wieland (2007) ldquoMoney in Monetary Policy Design under Uncertainty A Formal Characterization of ECB-Style Cross-Checkingrdquo CFS Working Paper No 200718

4 Beck G W and V Wieland (2008) ldquoCentral Bank Misperceptions and the Role of Money in Interest Rate Rulesrdquo Stanford Institute for Economic Policy Research Stanford SIEPR Discussion Paper No 08-04

5 Beck G W and V Wieland (2010) ldquoMoney in monetary policy design Monetary cross-checking in the New-Keynesian modelrdquo Working paper series no 1191

6 Clarida R J Gali and M Gertler (1999) The Science of Monetary Policy A New Keynesian Perspective Journal of Economic Literature Vol XXXVII str 1661-1707

7 Gali J (2008a) Monetary Policy Inflation and the Business Cycle An Introduction to he New Keynesian Framework Princeton University Press Princeton

8 Gali J (2008b) bdquoA Comment on Fischer Lenza Pill and Reichlinrsquos lsquoMoney and Monetary Policy the ECB Experience since 1999-2006rsquo in Beyer A and L Reichlin (2008) The Role of Money - Money and the Monetary Policy in the 21st Century Proceedings of the ECB Central Bank Conference ECB Frankfurt str 182-189

9 Gali J S Gerlach J Rotenberg H Uhlig and M Woodford (2004) Monetary Policy Strategy of the ECB Reconsidered Monitoring the European Central Bank No 5 CEPR London

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82

55

bank

arst

vo 1

1 - 1

2 2

011

10 Gerlach S (2004) bdquoThe Two Pillars of the ECBldquo Economic Policy vol 40 str 389-439

11 Đukić M J Momčilović i Lj Trajčev (2010) ldquoModel za srednjoročne projekcije Narodne banke Srbijerdquo Stručni radovi br 17 Narodna banka Srbije Beograd

12 Jeager A (2003) ldquoThe ECBrsquos Money Pillar An Assessmentldquo IMF Washington D C Working Papers WP0382

13 Lucas R (2007) bdquoCentral Banking - Is Science Replacing Art ldquo Monetary Policy A Journey from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt Panel discussion str 168-171

14 Scheller H K (2004) The European Central Bank History Role and Functions The European Central Bank Frankfurt

15 Smets F and R Wouters (2002) ldquoAn Estimated Stochastic Dynamic General Equilibrium Model of the Euro Areardquo Working paper series

European Central Bank No 171 April16 Smets F and R Wouters (2007) ldquoShocks and

Frictions in US Business Cycles A Bayesian DSGE Approachrdquo Working paper series European Central Bank No 722 February

17 Soslashrensen P B and H J Whitta-Jacobsen (2010) Introducing Advanced Macroeconomics Growth and Business Cycles 2nd ed McGraw-Hill London

18 Walsh C E (2010) Monetary Theory and Policy 3th ed MIT Cambridge Mass

19 Woodford M (2003) Interest and Prices Foundations of a Theory of Monetary Policy Princeton University Press Princeton

20 Woodford M (2007) bdquo Does a bdquoTwo-Pillar Phillips Curveldquo Justify a Two-Pillar Monetary Policy Strategyldquo A Journel from Theory to Practice The European Central Bank An ECB Colloquium held in Honour of Otmar Issing Frankfurt str 65-82