Taylor Rule 2.0

Tutto il dibattito degli ultimi mesi sui tassi ufficiali negli USA ruota intorno alla Taylor Rule, la regola definita dall'economista John Taylor che fissa il tasso ufficiale di interesse più appropriato in ogni fase del ciclo economico. Secondo questa regola, il tasso ufficiale di interesse oggi dovrebbe collocarsi tra il 3% ed il 4%, e non a zero: ma come ogni regola, anche questa è destinata a subire delle eccezioni. Ed è proprio questo che sostiene oggi Yellen (e prima di lei Bernanke): in questo particolare momento, la regola, che Yellen riconosce valida, non si potrebbe però applicare perché il tasso medio storico di interesse reale, che si trova al 2%, non è adatto alla alla particolare fase che l'economia USA attraversa (ormai da quasi dieci anni). Ci pare utile riproporre qui le esatte parole pronunciate da Yellen al Congresso pochi giorni fa, e lasciare poi a chi legge la valutazione:

“Even with core inflation running below the Committee’s 2 percent objective, Taylor’s rule now calls for the federal funds rate to be well above zero if the unemployment rate is currently judged to be close to its normal longer-run level and the “normal” level of the real federal funds rate is currently close to its historical average. But the prescription offered by the Taylor rule changes significantly if one instead assumes, as I do, that appreciable slack still remains in the labor market, and that the economy’s equilibrium real federal funds rate–that is, the real rate consistent with the economy achieving maximum employment and price stability over the medium term–is currently quite low by historical standards. Under assumptions that I consider more realistic under present circumstances, the same rules call for the federal funds rate to be close to zero…

“For example, the Taylor rule is Rt = RR* + πt + 0.5(πt -2) + 0.5Yt, where R denotes the federal funds rate, RR* is the estimated value of the equilibrium real rate, π is the current inflation rate (usually measured using a core consumer price index), and Y is the output gap. The latter can be approximated using Okun’s law, Yt = -2 (Ut – U*), where U is the unemployment rate and U* is the natural rate of unemployment. If RR* is assumed to equal 2 percent (roughly the average historical value of the real federal funds rate) and U* is assumed to equal 5-1/2 percent, then the Taylor rule would call for the nominal funds rate to be set a bit below 3 percent currently, given that core PCE inflation is now running close to 1-1/4 percent and the unemployment rate is 5.5 percent. But if RR* is instead assumed to equal 0 percent currently (as some statistical models suggest) and U* is assumed to equal 5 percent (an estimate in line with many FOMC participants’ SEP projections), then the rule’s current prescription is less than 1/2 percent.”