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LICHIDITATEA, ATACUL SPECULATIV DIN OCTOMBRIE 2008

I REPUTAIA BNCII CENTRALE

Lucian Croitoru

Aprilie 2011

Comentarii utile i sprijin pentru realizarea acestui studiu am primit de la Mugur Isrescu, Lia
Tase, Lucia Stoenescu, erban Matei, Claudiu Cercel, Mihai Copaciu, Mugur Tolici, Cristian
Muntean, Elena Iorga, Gabriela Mihailovici, Florian Neagu, Adriana Savu i Ctlin Cheu,
crora le mulumesc. Opiniile exprimate n acest studiu aparin autorului i nu reflect, n mod
necesar, viziunea Bncii Naionale a Romniei.

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SUMAR
n acest studiu prezentm cauzele care au dus la creterea ratei medii a dobnzii pe piaa
monetar interbancar cu mult peste rata dobnzii de politic monetar n perioada 17 octombrie-
5 noiembrie 2008. Datele nu sprijin ipoteza c volatilitatea ratei dobnzii a fost cauzat de un
management neadecvat al lichiditii n sistemul bancar sau de volumul i structura pe bnci a
colateralului.
Artm c volatilitatea mare a ratei dobnzii a fost cauzat de un atac speculativ asupra leului.
Acesta a alterat fluxurile de lichiditate dintre bncile comerciale, determinnd astfel creterea
ratei dobnzii. De asemenea, artm c banca central a adaptat management-ul lichiditii
pentru a combate atacul speculativ i a crea condiii pentru readucerea ratei dobnzii la niveluri
normale. Explicm logica i cauzele atacului speculativ i artm rolul jucat de reputaia bncii
centrale n derularea acestuia i n acumularea riscurilor nainte de izbucnirea crizei financiare
internaionale.

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CUPRINS

1. Introducere ............................................................................................................................. 4
2. Lichiditatea............................................................................................................................. 5
2.1 Deficitul de lichiditate ........................................................................................................... 5
2.2 Structura ofertei de lichiditate .............................................................................................. 8
2.3 Volumul colateralului ............................................................................................................ 9
2.4 Segmentarea deinerii de titluri de stat ............................................................................... 10
3. Atacul speculativ asupra leului .......................................................................................... 12
3.1 Definiia ............................................................................................................................... 12
3.2 Metoda ................................................................................................................................. 13
3.2.1 Dinamica ratei de schimb ............................................................................................ 17
3.2.2 Vnzrile nete de valut ............................................................................................... 19
3.2.3 Variaiile ratei dobnzii ............................................................................................... 20
3.3 Atacul speculativ i lichiditatea ......................................................................................... 22
3.4 Comparaie ntre cele dou atacuri ................................................................................... 24
4. Explicarea atacului speculativ din octombrie 2008 ............................................................. 25
4.1 Logica atacului .................................................................................................................... 25
4.1.1 Obiectivul implicit al ratei de schimb ........................................................................... 26
4.1.2 Identificarea modelului ................................................................................................. 28
4.1.2.1 Logica speculatorilor ............................................................................................ 31
4.1.2.2 Logica bncii centrale .......................................................................................... 33
4.2 Acumularea condiiilor pentru un nou atac i acordul cu FMI .......................................... 34
5. Concluzii .................................................................................................................................. 34

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1. Introducere
nainte s fie lovit de criza financiar internaional, economia Romniei a fost inundat de
capitaluri strine. O consecin a intrrilor masive de capital n perioada 2004-2008 a fost
creterea pasivelor externe ale bncilor de aproape 6,5 ori, de la 3.8 miliarde euro la 24,5
miliarde euro
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. Abundena finanrilor externe a determinat nc de la nceput apariia unei
tendine clare de reducere gradual a ratelor dobnzii la depozite i credite i a ratei medii a
dobnzii pe piaa monetar interbancar.
Aceast tendin a fost ntrerupt temporar la scurt timp de la debutul crizei n Romnia, n
octombrie 2008. Atunci a aprut o volatilitate crescut a ratei medii a dobnzii la tranzaciile pe
piaa monetar interbancar (n continuare, dac nu se specific altfel, prin rata dobnzii
nelegem rata medie a dobnzii la tranzaciile interbancare). Aceasta din urm a crescut n mod
neateptat n perioada 17 octombrie-5 noiembrie 2008 la niveluri cuprinse ntre 22 i 43,6
procente, comparativ cu rata dobnzii de politic monetar de 10,25 procente. Dup aceast
perioad, rata dobnzii a reatins nivelurile existente nainte de creterea volatilitii i s-a
renscris pe un trend descendent.
Volatiliatea mare pe piaa interbancar a dus la creterea ex post a ratelor reale ale dobnzii, ceea
ce a activat redistribuirea temporar a puterii de cumprare de la debitori la creditori, putnd
astfel depresa activitatea economic. Aceast proces, pe care literatura modern l numete canalul
bilanier al politicii monetare (de exemplu Bernanke i Gertler, 1995)
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i-a determinat pe unii
investitori i bnci comerciale s acuze Banca Naional a Romniei (BNR) de netransparen i
de management neadecvat al lichiditii.

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Alte consecine n perioada 2004-2008: datoria extern a sectorului privat a crescut de aproape 4 ori, ajungnd de
la 12 procente la 45,6 procente din PIB; economia a crescut, n medie, cu mai mult de 5 procente pe an; contul
curent s-a deteriorat de la 8,4 la 12,3 procente din PIB; rezerva valutar a BNR a crescut de la 6,3 miliarde euro la
25,9 miliarde euro; leul s-a apreciat cu 24 la sut, de la 4,1 lei/euro n ianuarie 2004 la 3,1 lei/euro n iulie 2007;
aceasta a dus la stimularea creditrii frenetice n lei i, mai ales, n valut; intermedierea financiar a crescut de la
16,6 procente din PIB la 39,3 procente din PIB; bncile au devenit dependente de finanarea extern, ponderea
pasivelor externe ale bncilor n total active crescnd de la 7 la sut la 13 la sut; raportul credite/depozite n
sistemul bancar a crescut de la 0,72 la 1,37; dezechilibrele dintre activele n valut ale companiilor i gospodriilor
i pasivele lor n valut au crescut.
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Ideea c modificrile n bilan pot fi un mecanism de transmisie a politicii monetare i-a aparinut lui Irving Fisher
(1932, 1933), care a avansat-o n teoria sa despre deflaia datoriilor, creat pentru a explica Marea Depresie.
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n acest studiu analizm cauzele creterii volatilitii ratei dobnzii n perioada 17 octombrie-5
noiembrie 2008. n seciunea a doua analizm creterea ratei dobnzii n corelaie cu modificrile
cantitative i structurale ale lichiditii. n seciunea a treia prezentm o metodologie prin care
artm c n octombrie 2008 a existat un atac speculativ asupra leului. Acesta a alterat fluxurile
de lichiditate dintre bncile comerciale, determinnd astfel creterea ratei dobnzii. Artm, de
asemenea, modul n care BNR a adaptat managementul lichiditii pentru a combate atacul
speculativ i a readuce rata dobnzii la niveluri normale. n seciunea a patra prezentm logica i
cauzele atacului speculativ, subliniind rolul jucat de reputaia bncii centrale n derularea
acestuia i n acumularea riscurilor nainte de izbucnirea crizei. Concluziile sunt prezentate n
seciunea a cincea.
2. Lichiditatea
n Romnia, criza financiar internaional nu a dus la opacizarea pieei interbancare, ca n cazul
multor ri dezvoltate, dar a influenat volumul componentei autonome nete a lichiditii i
structura ofertei de lichiditate. Unii analiti au presupus c schimbrile n nivelul i structura
lichiditii au dus la creterea ratelor dobnzii pe piaa interbancar n perioada 17 octombrie-5
noiembrie. Aceasta este o critic implicit la adresa administrrii lichiditii de ctre banca
central. Ali analiti au venit cu ipoteza c nivelul i structura pe bnci a colateralului eligibil
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au fost inadecvate n raport cu schimbrile produse, cauznd astfel volatilitatea mare a ratei
dobnzii n perioada menionat. Vom analiza pe rnd aceste ipoteze.
2.1 Deficitul de lichiditate
Prima ipotez pe care o analizm este aceea a legturii dintre deficitul de lichiditate al sistemului
bancar
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i volatilitatea ratei dobnzii. Analizm mai nti cauza apariiei deficitului de lichiditate
i apoi examinm dac a existat o corelaie pozitiv ntre mrimea acestuia i mrimea ratei
dobnzii.

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La acea dat eligibile erau doar titlurile de stat emise de Ministerul de Finane.
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Deficitul de lichiditate al sistemului bancar (DL) are urmtoarea definiie: DL = CA R < 0, unde

R = rezerve, CA
= componenta autonom net a lichiditii. Cnd sistemul bancar are un deficit de lichiditate, banca central este
creditor net, adic poziia net a lichiditii (PL) este pozitiv: PL = I
S
- I
D
> 0, unde I
S
= valoarea instrumentelor
prin care banca central ofer lichiditate (pe scurt instrumentele pe partea ofertei), iar I
D
= valoarea instrumentelor
cu care banca central absoarbe lichiditate (pe scurt, instrumentele pe partea cererii). ntre DL i PL exist
urmtoarea relaie: DL+PL = CA - R + I
S
- I
D.
= 0
.

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Printre primele consecine (i semnale) ale extinderii crizei financiare internaionale asupra
economiei romneti a fost reducerea intrrilor private de capital. n sistemul bancar, aceasta a
dus la scderea componentei autonome nete a lichiditii sub nivelul cererii de lichiditate. Criza a
determinat i reducerea cererii de lichiditate, dar ntr-o msur mult mai mic. n figura 1 acest
lucru se poate vedea comparnd abaterea procentual a cererii de lichiditate
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de la media sa din
perioada 24 august-23 septembrie (linia portocalie) cu scderea componentei autonome nete a
lichiditii comparativ cu cererea de lichiditate (linia roie).
Scderea componentei autonome sub nivelul cererii de lichiditate a dus la apariia deficitului de
lichiditate ncepnd cu 3 octombrie. Modificarea acestuia fa de volumul su mediu din
perioada 24-august-23 septembrie 2008, este prezentat n figura 2.
Instalarea deficitului de lichiditate a reprezentat o modificare major a raportului dintre banca
central i bncile comerciale deoarece a transformat-o pe prima din debitor net n creditor net al
sistemului bancar, pn n martie 2010. Apariia deficitului de lichiditate a nsemnat, n mod
Sursa: Calculele autorului pe baza datelor de la BNR.

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Prin definiie, cererea de lichiditate (D) este egal cu oferta de lichiditate (S), astfel c D = R + I
D
= S = CA + I
S
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Procente
Fig.1: Dinamica lichiditii, a componentei sale autonome i a instrumentelor pe partea
ofertei
Modificarea procentual zilnic a nivelului de echilibru al cererii i ofertei de lichiditate fa de nivelul
mediu din perioada 24 august 2008-23 septembrie 2008
Scderea componentei autonome a lichiditii relativ la totalul ofertei de lichiditate
Ponderea instrumentelor pe partea ofertei n nivelul ofertei de lichiditate
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automat, creterea ofertei de lichiditate a BNR. Aceast cretere este egal cu diferena dintre
nivelul cererii de lichiditate i componenta autonom net a lichiditii. Astfel, dat fiind nivelulla
care se echilibreaz cererea cu oferta de lichiditate, o scdere a componentei autonome nete a
lichiditii este compensat de o cretere strict egal a ofertei de lichiditate a bncii centrale
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.
n figura 1 aceast modificare n oglind este ilustrat de linia roie (scderea componentei
autonome nete comparativ cu nivelul cererii de lichiditate), care merge n sensul opus liniei verzi
(ponderea ofertei de lichiditate a bncii centrale n oferta de lichiditate). Cele dou linii au
valoarea zero n perioadele n care componenta autonom net a lichiditii este singura surs a
ofertei de lichiditate.
Modificarea n oglind reflect faptul c, prin definiie, nu poate exista o corelaie ntre
modificarea ratelor dobnzii pe piaa interbancar i mrimea deficitului de lichiditate. Lipsa
corelaiei se vede n figura 2, n care deficite de lichiditate relativ mici sunt asociate cu
modificri mari ale ratei dobnzii, iar deficite relativ mari sunt asociate cu modificri relativ mici

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innd cont c CA - R + I
S
- I
D.
= 0 i de faptul c cererea este egal cu oferta de lichiditate (D = R + I
D
= S = CA +
I
S
), rezult c oferta de lichiditate a bncii centrale (I
S
) este egal cu sau mai mare ca deficitul de lichiditate,
depinznd dac I
D
este egal cu zero sau, respectiv, mai mare ca zero.
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Procente
Fig. 2: Deficitul de lichiditate i rata dobnzii
Modificarea procentual a deficitului de lichiditate fat de nivelul su mediu din
perioada 24 august-23 septembrie 2008
Rata nominal a dobnzii la tranzaciile pe piaa monetar interbancar (scala din
dreapta)
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ale ratei dobnzii. Aceasta dovedete c nu mrimea deficitului de lichiditate a fost cauza
creterii ratelor dobnzii n perioada 17 octombrie-5 noiembrie 2008.
2.2 Structura ofertei de lichiditate
A doua ipotez este cea a influenei structurii ofertei de lichiditate a BNR asupra volatilitii
ratelor dobnzii. ntre instrumentele lichiditii pe partea oferteirepo, fx swaps i facilitatea de
credit (overnight) aceasta din urm are maturitatea cea mai scurt. Ea opereaz numai de la
sfritul unei zile pn la nceputul zilei urmtoare. Cu ct ponderea facilitii de credit n oferta
de lichiditate a BNR este mai mare, cu att orizontul decizional al bncilor este mai apropiat de
ziua curent. Aceasta nseamn c, atunci cnd depind mult de facilitatea de credit, bncile nu
pot planifica pe un orizont suficient de lung.
n perioada octombrie-noiembrie 2008, unele bnci au criticat banca central pentru neangajarea
n operaiuni repo, care ar fi permis extinderea orizonturilor de planificare. n figura 3 se vede c
n perioada 3-20 octombrie 2008 oferta de lichiditate a fost fcut exclusiv prin accesarea
facilitii de credit de ctre bnci. Rata dobnzii a crescut de la 16,3 procente la 43,6 procente n
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Procente
Fig. 3: Ponderea instrumentelor n oferta de lichiditate a BNR
Repo FX swap Faciliti permanente Rata dobnzii (scala din dreapta)
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perioada 16-22 octombrie. Dup 20 octombrie, pentru un numr mic de bnci, banca central a
acomodat cererea de lichiditate i prin swap-uri valutare (vnzri de valut ale bncilor), dar nu a
existat nicio operaiune repo pn pe 10 noiembrie. Reducnd orizontul planificrii la o zi,
preponderena facilitii a fcut ca bncile s opereze cu sentimentul lipsei de lichiditate.
n timp ce explic bine acest sentiment, preponderena acestui instrument nu explic de ce rata
dobnzii nu a artat o volatilitate crescut n alte perioade (de exemplu 24 noiembrie 2008-16
ianuarie 2009) n care facilitatea de credit i swap-urile valutare au fost singurele instrumente
utilizate pe partea ofertei de lichiditate.
2.3 Volumul colateralului
A treia ipotez privind creterea ratei dobnzii a fost cea referitoare la insuficiena titlurilor de
stat care puteau fi utilizate de bnci pentru a accesa lichiditate de la banca central. ntr-adevr,
perioada lung de exces de lichiditate care a precedat apariia deficitului de lichiditate a
determinat bncile s minimizeze deinerea de titluri de stat, al cror randament este relativ mic.
Comparnd figura 4 cu figurile 1 i 2 se vede c bncile au accelerat achiziionarea de titluri de
stat pe msur ce componenta autonom net a lichiditii a sczut. Pe msur ce deficitul de
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Procente
Fig. 4: Titlurile de stat (TS) deinute de bnci
TS deinute de bnci (procent din valoarea de pia a TS)
TS ale celor mai mari 4 bnci dup deinerea de TS (procent din TS deinute de bnci)
TS libere de gaj deinute de bnci (procent din valoarea de pia a TS)
Valoarea de pia a TS n circulaie (scala din dreapta)
10

lichiditate a crescut, bncile au gajat titlurile de stat disponibile pentru a accesa facilitatea de
credit (vezi i figurile 1 i 2 din Anexa 2).
Astfel, n perioada octombrie-noiembrie 2008, cnd rata dobnzii a crescut, valoarea titlurilor de
stat
7
a fost mai mare dect deficitul de lichiditate, cu excepia zilei de 31 octombrie (figura 5).
Aceasta nseamn c sectorul bancar dispunea de titluri de stat n valoare suficient pentru a
acoperi n ntregime deficitul de lichiditate. Invers, n ciuda creterii volumului titlurilor de stat,
ncepnd din februarie 2009 raportul dintre deficitul de lichiditate i valoarea titlurilor de stat a
crescut fr s conduc la creterea ratei dobnzii. Aceste evoluii arat c nu volumul insuficient
de titluri de stat a contribuit la creterea volatilitii pe piaa monetar interbancar.
2.4 Segmentarea deinerii de titluri de stat
A patra ipotez este aceea c a existat o nepotrivire ntre nevoia de lichiditate i valoarea
titlurilor deinute de fiecare banc. Deficitul de lichiditate, ca i deinerea de titluri de stat erau

7
Aici prin valoarea titlurilor de stat nelegem: a) valoarea la vedere plus dobnda acumulat pna la data curent n
cazul titlurilor de stat cu cupon; b) valoarea de emisiune plus discountul acumulat pna la data curent pentru cele
cu discount; i c) cotaiile bncilor pentru titlurile cu cupon care permit redeschidere (aa numitele titluri de tip
benchmark, care au maturiti lungi, dobnd stabilit la data emisiunii, iar suma emis se poate suplimenta).
0
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Procente
Procente
Fig.5: Rata nominal dobnzii i raportul dintre deficitul de
lichiditate i valoarea de pia a titlurilor de stat deinute de bnci
Raportul dintre deficitul de lichiditate i valoarea de pia a titlurilor de stat
Rata nominal a dobnzii la tranzaciile de pe piaa monetar interbancar (scala din
dreapta)
11

inegal distribuite ntre bnci. n octombrie 2008, cele mai mari 4 bnci dup valoarea titlurilor de
stat din portofoliul lor deineau 48,5 la sut din valoarea titlurilor de stat deinute de bnci. n
prima parte a lunii octombrie 2008 deficitul de lichiditate a fost relativ mic i asimetria nu a
produs efecte. Individual, bncile au avut suficiente titluri pentru a apela facilitatea de credit
pentru sume relativ mici. Astfel, dobnzile au rmas la niveluri normale.
Totui, ncepnd cu 17 octombrie, deficitul zilnic de lichiditate a crescut rapid. Media zilnic a
acestuia n perioada 17 octombrie-5 noiembrie a fost de 7 ori mai mare ca media sa din perioada
3-16 octombrie. n consecin, volumul mediu al tranzaciilor pe piaa monetar a sczut cu
aproape 29 la sut. Adaptndu-se, tot mai multe bnci au accesat facilitatea de credit, ceea ce a
dus la creterea volumului acestui instrument. n lipsa unui volum adecvat de titluri de stat
disponibile pentru gajare, unele bnci au fost nevoite s vnd valut bncii centrale pentru a
face plile curente.
Bncile care nu au reuit s acopere nevoile lor de lichiditate nici pe aceast cale au mprumutat
de la bncile cu exces de lichiditate. Ele au intrat n concuren cu entiti strine care anterior
iniiaser swap-uri valutare i care, n mod curent, aveau nevoie de lei pentru a inversa swap-
urile
8
. Bncile cu exces de lichiditate au exploatat aceast situaie de pe pia pentru a impune
creteri mari ale ratelor dobnzii.
Contribuia asimetriei deinerii de titluri de stat la creterea ratelor dobnzii a fost limitat. Acest
lucru se poate deduce studiind dinamica valorii titlurilor de stat (care reflect mai ales
modificarea volumului fizic) i a deficitului de lichiditate n corelaie cu rata dobnzii pe piaa
interbancar dup episodul octombrie 2008.
Fa de media lunii octombrie 2008, n perioada 28 ianuarie-30 aprilie 2009, deficitul de
lichiditate a crescut n medie cu 417 la sut (atingnd maximul pe 30 aprilie 2009, figura 2), iar
valoarea titlurilor de stat deinute de bnci cu numai 68,3 la sut. n aceeai perioad, asimetria
deinerii de titluri de stat a crescut de la o medie de 45,4 la sut n perioada 17 octombrie-5

8
Prin aceste contracte speculatorii au schimbat principalul i o plat fix de dobnd n euro pentru un principal egal
i pentru o plata fix de dobnd n lei, evaluate la rata de schimb de la data tranzaciei. La terminarea swap-ului,
mprumuturile (principalurile) se reschimbau, nefiind afectate de rata de schimb. La terminarea contractului
speculatorii cumpr principalul n lei pe care trebuie s-l returneze. Dac ipoteza deprecierii se confirm,
principalul n euro pe care l-au primit, exprimat la noul curs este mai mare ca principalul n lei cu deprecierea.
12

noiembrie 2008, cnd dobnzile au nregistrat o volatilitate foarte mare, la 53,2 la sut
9
. Cu toate
acestea, nu au aprut perturbaii ale ratei dobnzii n perioada respectiv, ceea ce arat c nu
asimetria deinerii de titluri de stat a fost cauza volatilitii ratei dobnzii n perioada 17
octombrie-5 noiembrie 2008.
3. Atacul speculativ asupra leului
Dac nici unul dintre factorii analizai nu poate explica bine volatilitatea ratei dobnzii, atunci
trebuie cutai ali factori. Ipoteza noastr este c volatilitatea mare a ratei dobnzii n perioada
17 octombrie-5 noiembrie a fost cauzat de un atac speculativ asupra leului. Acesta a avut un
impact semnificativ asupra modului n care a fost utilizat excesul de lichiditate existent n unele
bnci, determinnd astfel creterea ratei dobnzii. n continuare n aceast seciune prezentm
metodologia pe care am utilizat-o pentru a identifica atacul speculativ i pentru a-l compara cu
eventuale atacuri anterioare sau ulterioare. De asemenea, artm mecanismul prin care acesta a
influenat creterea ratelelor dobnzii.
3.1 Definiia
Este adevrat c unii oficiali, analiti, jurnaliti sau politicieni au atribuit deprecierea leului din
octombrie 2008 unui atac speculativ nc de la nceput. Totui, nimeni nu a explicat pe ce baz a
fcut aceast atribuire sau cum a dus atacul speculativ la creterea ratei dobnzii. Probabil c
deprecierea accelerat relativ mare a leului a fost suficient pentru a se vorbi de un atac
speculativ. Totui, exist o problem cu aceast abordare deoarece deprecieri chiar mai rapide i
mai mari ca cea din octombrie 2008de exemplu n decembrie 2000 i ianuarie 2009nu au
fost definite ca fiind atacuri speculative.
Definiiile referitoare la crize ale ratei de schimb sunt diverse (pentru o sintez, vezi Glick i
Hutchinson, 2001). Din perspectiva noastr, importante sunt dou trsturi comune ale acestora.
Prima, cele mai multe studii se refer la schimbri mari, att n nivelul actual al ratei (reale) de
schimb (Frenkel i Rose, 1996), ct i n nivelul potenial. Nivelul potenial este captat prin
includerea episoadelor de presiuni speculative n care rata de schimb nu s-a ajustat deoarece

9
53,6 la sut n perioada 6 noiembrie 2008-30 aprilie 2009.
13

autoritile au reuit s apere moneda prin intervenii pe piaa valutar ( Eichengreen, Rose i
Wyplosz, 1995, Kaminsky i Reinhart, 1999).
A doua, exist un criteriu pentru identificarea deprecierilor mari, sub forma unei limite
minime. n unele cazuri, limita este exogen i comun pentru toate rile (Frenkel i Rose,
1996), iar n alte cazuri este definit n funcie de specificul evenimentului (Kaminsky, Lizondo
i Reinhart, 1998). n sfrit, unii autori (Glick i Hutchinson, 2001) au preferat s analizeze
schimbri mari ale unui indice al presiunilor speculative, definit ca medie ponderat a
modificrilor lunare n rata real de schimb i a pierderilor lunare procentuale de rezerve
valutare. Schimbrile mari ale indicelui sunt acelea care depesc media cu 2 deviaii standard.
n acest studiu, pornim de la concepia noastr c n cazul unui regim al ratei de schimb cu
flotare condus, un atac speculativ ar trebui s determine, mai nti, accelerri mari ale
deprecierii ratei de schimb pe perioade relativ scurte de timp (cteva zile). Aceste accelerri ar
trebui s fie urmate relativ repede de vnzri nete de valut relativ mari ale bncii centrale
(pierderi procentuale de rezerv valutar
10
), care apr astfel moneda mpotriva atacului
speculativ. n acelai timp, este de presupus c banca central administreaz lichiditatea astfel
nct s slbeasc fora atacului, ceea ce rezult n creteri relativ mari ale ratei dobnzii pe piaa
monetar interbancar.
Astfel, creteri subsecvente mari ale celor trei indicatorirata de schimb, vnzarea procentual
net de valut i rata dobnziinregistrate ntr-o perioad relativ scurt de timp indic existena
unei crize a ratei de schimb. n cazul n care rata de schimb nu se ajusteaz deoarece banca
central apr moneda, dar pierderile procentuale de rezerve sunt urmate de modificri mari ale
ratei dobnzii, se poate vorbi mai degrab de episoade de presiuni speculative.
3.2 Metoda
Pentru a decide dac n octombrie 2008 a avut loc un atac speculativ asupra leului procedm n
doi pai. n primul pas, stabilim succesiunea i mrimea modificrilor procentuale n rata de
schimb, a pierderilor procentuale de rezerve valutare i a modificrilor n rata dobnzii. Facem
acest exerciiu pentru perioada cu volatilitate mare a ratelor dobnzii (17 octombrie-5 noiembrie)

10
Exclusiv pierderile de rezerv valutar determinate de vnzri nete de valut. n continuare noiunile de vnzri
nete de valut i pierderile de rezerve valutare vor fi utilizate interanjabil.
14

i ntr-o vecintate a acestei perioade de plus/minus o lun. n pasul al doilea introducem criterii
dup care stabilim dac modificrile identificate sunt relativ mari sau nu n raport cu episoade
similare. Informaiile obinute n pasul anterior sunt folosite la definirea criteriilor.
n primul pas, pentru momentul octombrie 2008 am gsit relevante urmtoarele evoluii:
a) volatilitatea mare a ratei dobnzii a fost precedat de o depreciere semnificativ a leului
(figura 6). n primele 4 zile de tranzacionare ale lunii octombrie (calendaristic 1-6
octombrie), leul s-a depreciat n fiecare zi, ajungnd de la 3,73 lei/euro la 30 septembrie, la
3,94 lei/euro pe 6 octombrie. Deprecierea cumulat pe 4 zile a fost de 5,6 procente n
termeni nominali, adic 1,36 procente n medie pe zi. Nivelul de 3,94 lei/euro a reprezentat
maximul zilnic al lunii octombrie i al ultimilor 45 de luni;
b) volatilitatea mare a ratei de schimb a fost urmat de reluarea vnzrilor nete de valut de
ctre BNR. De pe 6 octombrie i pn la sfritul lunii, pe baze nete, vnzrile de valut
ale BNR s-au ridicat la 3,6 procente din volumul rezervelor valutare. Ca urmare, leul a
nceput s se aprecieze, atingnd 3,59 lei/euro pe 22 octombrie, fr s mai depeasc
valoarea de la care a nceput atacul speculativ pn pe 19 noiembrie 2008;
c) rata dobnzii pe piaa monetar s-a abtut de la media perioadei ianuarie 2005-decembrie
2010 cu mai mult de 3 deviaii standard n 14 zile consecutive de tranzacionare n
perioada 17 octombrie-5 noiembrie. n aceast perioad, rata dobnzii a deviat de la medie
cu un numr mediu de 6 deviaii standard.
Succesiunea n timp a acestor modificri este cea ateptat, sugernd prezena atacului
speculativ. Totui, pentru a putea spune dac modificrile n cei trei indicatori (rata de schimb,
rata dobnzii i pierderea de rezerv) sunt relativ mari avem nevoie de un benchmark pentru
fiecare indicator. Odat identificat, benchmark-ul va fi folosit pentru a verifica dac au existat i
alte episoade similare cu cel din octombrie 2008.
Rata de schimb. n cazul ratei de schimb definim doi parametri: (i) perioada critic i (ii)
acceleraia critic. Perioada critic reprezint numrul de zile pentru care se calculeaz
deprecierea monedei i care asigur indentificarea deprecierilor continue i accelerate (cu cele
mai mari ritmuri medii zilnice de depreciere). n continuare vom numi ritmul mediu zilnic al
deprecierii continue a leului pe perioada critic acceleraie. Acceleraia critic este valoarea pe
15

care trebuie s o depeasc acceleraia pentru a indica o depreciere accelerat. Datorit flotrii
controlate, ambii parametri sunt influenati de interveniile bncii centrale i sunt specifici
fiecrei ri.
Alegerea mrimii perioadei critice este condiionat de dou restricii. Prima, numrul de zile nu
poate fi prea mare deoarece acceleraia ar fi mai mare ca acceleraia critic ntr-un numr prea
mic de cazuri sau n niciunul. Al doilea, numrul de zile nu trebuie s fie prea mic deoarece o
banca central nu reacioneaz imediat la deprecieri accelerate. ntruct este dependent de
interveniile bncii centrale, perioada critic poate fi interpretat ca msur a toleranei bncii
centrale fa de accelerarea deprecierii.
Pentru determinarea acceleraiei critice care definete o depreciere accelerat n perioada critic
pornim de la faptul c deprecierile relativ mari care reflect un atac speculativ sunt rare. La nivel
mondial, crize ale ratei de schimb au aprut relativ rar, n medie odat la 11 ani n perioada 1975-
1997 (Glick i Hutchinson, 2001). De aici rezult c deprecierea medie zilnic aleas trebuie s
fie suficient de mare pentru a selecta evenimente rare, dar suficient de mic pentru a nu duce la
3.4
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Lei/euro Procente
Fig.6: Rata de schimb i ratele dobnzii
Rata medie a dobnzii (Rd) pe piaa interbancar Rata dobnzii de politic monetar
Rd la operaiunile de politic monetar Rata de schimb (scala din dreapta)
16

omiterea unui atac. De exemplu, dac s-ar cuta doar deprecierile medii zilnice mai mari de 1,36
la sut, momentul octombrie 2008 nu ar putea fi identificat.
Vnzrile procentuale nete de valut. Acestea depind de mrimea rezervelor, de adncimea
pieei valutare, de intensitatea atacului, de condiiile financiare internaionale etc. Din acest
motiv, pierderea relativ de rezerve n cazul unui atac speculativ sau n procesul de conducere a
flotrii este specific fiecrei ri. Este posibil ca n luna octombrie 2008, pierderea de rezerve s
fi fost amplificat de criza financiar internaional nceput n 2007. De aceea, n exerciiul de
identificare a unor episoade similare, benchmarck-ul pentru pierderea procentual de rezerve
poate fi obinut prin reducerea nivelului realizat n octombrie 2008. Dac, n ciuda relaxrii
limitelor, singurele momente identificate vor fi cele recunoscute ca crize ale leului, atunci cu att
mai mult putem spune c momentul octombrie 2008 a fost un atac speculativ.
Rata dobnzii. i n acest caz pornim de la faptul c crizele ratelor de schimb sunt rare. Aceasta
nseamn c probabilitatea de a avea o cretere a ratelor dobnzii datorat unei administrri a
lichiditii orientat s combat un atac speculativ este rar. Este rezonabil s admitem c o
modificare a ratei dobnzii este mare dac depete media plus dou deviaii standard. n cazul
unei distribuii normale, aceasta nseamn c n mai puin de 2,3 la sut din numrul de zile de
tranzacionare pe piaa monetar interbancar rata dobnzii depete media cu mai mult de dou
deviaii standard.
Utiliznd criteriile introduse, putem spune c modificrile n rata de schimb, pierderile
procentuale de rezerve valutare i modificrile n rata dobnzii n anumite perioade de timp sunt
similare cu cele din octombrie 2008 dac sunt ndeplinite, cumulativ, urmtoarele condiii
(benchmark-ul):
1) leul s-a depreciat timp de 4 zile consecutive (perioada critic este egal cu 4 zile), n a
patra zi rata de schimb leu/euro atingnd nivelul maxim al ultimilor 12 luni. n perioada
critic, acceleraia a fost de cel puin 1 procent (aceasta nseamn c indicele cumulat al
ratei de schimb n ziua a patra este de cel puin 1,0406399, valoare pe care o vom numi
valoarea critic)
11
;

11
Cineva ar putea s se gndeasc la o perioad critic mai mare de 4 zile (n timp ce menine acceleraia critic).
Am verificat dac perioade critice de 5 sau 6 zile ar fi fost mai potrivite cu scopul identificrii unor evenimente
17

2) n luna n care indicele deprecierii cumulate a depit valoarea critic, vnzrile nete ale
bncii centrale au depit 2 la sut din nivelul rezervelor valutare;
3) rata dobnzii a crescut peste medie cu cel puin dou deviaii standard pentru cel puin
trei zile consecutiv, ntr-o perioada de cel mult 30 de zile de la nceperea devalorizrii
accelerate care duce la atingerea sau depirea valorii critice a indicelui deprecierii
cumulate.
Pentru a verifica ndeplinirea condiiilor vom proceda astfel: (i) mai nti vom identifica zilele i,
respectiv, lunile n care rata de schimb i, respectiv, vnzrile de rezerve valutare i rata dobnzii
au ndeplinit criteriile cantitative enunate; (ii) apoi vom verifica dac datele astfel identificate
satisfac criteriile referitoare la timp (perioada de 30 de zile etc), pentru a stabili momentele n
care criteriile au fost satisfcute concomitent pentru cele trei variabile.
3.2.1 Dinamica ratei de schimb
Piaa valutar a devenit funcional abia n anul 1997, iar convertibilitatea de cont curent a
devenit efectiv din 1998. Astfel, perioada pentru care are sens s facem analiza este 1999-2010.
n figura 7 este prezentat indicele ratei de schimb cumulat pe patru zile anterioare. n perioada 4
ianuarie 1999-31 decembrie 2010, indicele ratei de schimb cumulat pe 4 zile a depit valoarea
critic n 22 de cazuri (zile)
12
. Dar numai n 8 din cele 22 de cazuri, indicele a reflectat n mod
concomitent i o cretere continu n nivelul ratei de schimb i un maxim al ultimilor 12 luni,
satisfcnd standardul nostru privind acceleraia critic. Aceste date sunt prezentate n Tabelul 1.
Datele prezentate sunt strns legate de evenimente economice importante. n martie 1999 a avut
loc cea mai mare criz a leului de dup liberalizarea pieei valutare, n care efectele contagiunii

similare cu cel din octombrie 2008. Am gsit c, n cazul Romniei, acceleraia mai mare de 1 procent pentru
perioade critice mai mari de 4 zile sunt foarte rare. n perioada 1999-2010 (3059 de zile de tranzacionare), nu a
existat nicio acceleraie mai mare de 1 procent pentru o perioad de 6 zile. Acceleraii mai mari de 1 procent pentru
perioada critic de 5 zile au aprut n numai 2 cazuri.
12
Din cele 22 de cazuri n care acceleraia a depit 1 procent, trei cazuri au aprut n perioada de intrri mari de
capitaluri, pe 17 februarie 2005 i pe 15 i 16 august 2005. Pentru ultimele dou date, acceleraia mai mare de 1
procent reflect cumprri masive nete de ctre banca central la nceputul perioadei de intire a inflaiei pentru a
deprecia leul, avnd n vedere c se anticipau intrrile mari de capitaluri care ar fi determinat aprecierea leului.
Aceste cumprri nete au atins 5,92 la sut din nivelul mediu al rezervelor n februarie 2005 i 8,05 la sut din
nivelul rezervelor n august 2005. Din acest motiv, ele sunt irelevante pentru studiul nostru. Alegerea unei perioade
critice de 5 zile i a unei acceleraii critice de 1 procent ar fi dus la identificarea a dou momente:18 martie 1999 i
pe 17 august 2005, ultimul fiind inacceptabil.
18

crizei din Rusia (septembrie 1998) au jucat un rol important. n anul 2000, an al alegerilor
generale i prezideniale, au avut loc frauda de la banca Turco-Romn (caz aprut n iunie 2000
i finalizat pe 30 aprilie 2002), prbuirea FNI (mai) , atacul asupra BCR (mai-iunie) i plecarea
Tabelul 1: Datele la care indicele ratei de schimb cumulat pe 4 zile a depit valoarea critic
(acceleraie mai mare de 1 procent), indicnd o cretere continu a ratei de schimb n cele 4 zile
i atingerea maximului celor 12 luni anterioare
Data Valoarea indicelui Acceleraia maxim (%) Rata de schimb (lei/euro)
18-Mar-99 1,123 2,94 1,6642
27-Sep-00 1,051 1,25 2,1323
4-Dec-00 1,059 1,46 2,25
27-Dec-00 1,055 1,34 2,4
6-Oct-08 1,056 1,36 3,941
9-Jan-09 1,045 1,12 4,2127
12-Jan-09 1,051 1,24 4,2684
13-Jan-09 1,056 1,36 4,2985

0.94
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0.98
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1.1
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Fig. 7: Indicele cumulat al ratei de schimb (scala din stnga) i ritmul mediu
zilnic n ultimile 4 zile (procente, scala din dreapta)
Bearn Sterns
downgrade
Lehman Brothers;
semnele crizei n
Romnia
Tiere salarii i
cretere TVA
Cretere aversiune la
risc; scrisoarea celor 4
Plecarea guvernului Isrescu
Atac asupra BCR
FNI
Frauda dela Banca Turco-Romn
Cazul Bancorex
Criza leului martie 1999
0
2.87
2.41
0.99
1.94
1.47
0.5
-0.5
-1.02
-1.53
19

guvernului Isrescu (decembrie). Valoarea din octombrie 2008 a fost precedat de cderea
Lehman Brothers pe 15 septembrie i de apariia semnelor crizei n Romnia. n ianuarie 2009 a
fost o cretere a aversiunii la risc, ceea ce a contribuit la creterea volatilitii pe pieele valutare
din Europa central i de est. Fa de aceast cretere a aversiunii la risc, guvernatorii bncilor
centrale din Cehia, Polonia, Romnia i Ungaria au reacionat. Ei au semnat o scrisoare comun
prin care comunicau publicului hotrrea lor de a combate volatilitatea mare de pe pieele
valutare din rile respective, inclusiv prin intervenii pe pieele valutare.
3.2.2 Vnzrile nete de valut
Teoria recomand creterea ratelor dobnzii n timpul unei crize a ratei de schimb i reducerea
lor imediat dup criz (Christiano, Braggion i Roldos, 2009). Totui, banca central a rspuns
deprecierilor semnificative ale leului prin vnzri de valut. Acestea au depit 2 procente din
nivelul rezervelor valutare n 17 cazuri, la datele prezentate n Tabelul 2. Distribuia vanzrilor i
cumprrilor de valut ale bncii centrale n timp i n funcie de magnitudine pentru perioada
1999-2010 sunt prezentate n aneza 1.
Tabelul 2: Lunile n care vnzrile nete de valut au depit 2 la sut din volumul rezervelor
valutare
Data
Vnzrile nete
de valut (% din
rezerva valutar)
Acceleraia
maxim n
cadrul lunii (%)
Data
Vnzrile nete
de valut (% din
rezerva valutar)
Acceleraia
maxim n
cadrul lunii (%)
Feb-99 4,4 0,78 Dec-08 3,2 0,49
*

Mar-99 11,5 2,94 Ian-09 3,2 1,36
Nov-99 4,1 0,59 Feb-09 3,4 0,38
Ian-01 3,1 0,99
*
Mar-09 2,2 0,11
*

Ian-02 2,1 1,00
*
Sep-09 4,4 0,21
Nov-03 2,1 0,27 Dec-09 5,5 0,20
*

Ian-04 2,0 0,44
*
Mai-10 4,2 0,37
*

Ian-08 2,2 0,87
*
Iul-10 3,3 0,42
*

Oct-08 3,6 1,36
*
Ritm mediu al deprecierii n perioada critic care nu ndeplinete condiia pentru a fi o acceleraie (deprecierea nu a
fost continu pe 4 zile).
Datele din tabelele 1 i 2 arat c au fost rare lunile n care acceleraiile mai mari de 1 procent i
vnzrile nete mai mari de 2 la sut din rezervele valutare au coincis. Acceleraii mai mari de un
procent care au dus la atingerea valorii maxime a raportului leu/euro pe 12 luni anterioare,
20

concomitent cu vnzrile nete de valut mai mari de 2 la sut din rezervele valutare, au avut loc
numai n martie 1999, octombrie 2008 i ianuarie 2009.
3.2.3 Variaiile ratei dobnzii
Rata nominal a dobnzii a urmat o pant descendent n perioada 1999-2010. Totui, se pot
identifica anumite subperioade pentru care abaterile ratei dobnzii de la medie s fie ct mai
mici. Aceste perioade sunt prezentate n figura 8.
Normaliznd rata dobnzii pe perioadele menionate am obinut momentele n care aceasta s-a
abtut de la medie cu mai mult de dou deviaii standard (figura 9). Au existat 70 de astfel de
cazuri. Dintre acestea, 55,7 la sut au aprut n perioada 1999-2003, 17,1 la sut au aprut n
perioada 2004-2007, 24,3 la sut au aprut n perioada octombrie-noiembrie 2008, restul de 2,9
la sut aprnd n perioada ianuarie-februarie 2009. Pe 21 i 22 octombrie 2008, rata dobnzii
normalizate s-a abtut cu mai mult de 8 deviaii standard de la medie, stabilind recordul
perioadei 1999-2010.
Lunile n care rata dobnzii a depit media cu mai mult de 2 deviaii standard pentru cel puin 3
zile consecutive sunt prezentate n Tabelul 3. Spre comparare, n Anexa 3 sunt prezentate lunile
n care rata dobnzii a depit media cu mai mult de o deviaie standard pentru cel puin trei zile
consecutive.
mpreun, datele din tabelele 1-3 arat c un moment similar cu cel din octombrie 2008 a mai
existat doar n martie 1999
13
. Gsirea unui singur eveniment n 9 ani anteriori momentului
octombrie 2008 (frecven similar cu cea gsit de Glick i Hutchinson, 2001) i asocierea lui
cu crize n sectorul financiar ntrete convingerea noastr c n octombrie 2008 a avut loc un
atac speculativ asupra leului.

13
Meninnd acceleraia critic la 1 procent, extinderea perioadei critice la 5 zile nu ar fi dus la identificarea
momentului octombrie 2008, iar reducerea perioadei critice la 3 zile ar fi permis identificarea a 21 de cazuri n care
deprecierea a rmas continu. Dar, suprapuse cu criteriile pentru vnzrile nete de valut i pentru rata dobnzii ele
nu au dus la identificarea altor momente n afar de martie 1999 i octombrie 2008.
21

0
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Procente
Fig. 8: Rata nominal medie zilnic a dobnzii la tranzacii pe piaa
monetar interbancar
Rata medie zilnic a dobnzii Rata medie a dobnzii pe intervale de timp
4.01.99-31.03.00 (68,6%)
3.04.00-30.08.02 (33,3%)
2.09.02-31.12.04 (18,9%)
3.01.05-31.12.10 (8,3%)
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Deviaii standard
Fig. 9: Valoarea normalizat a ratei nominale a dobnzii fa de o
distribuie normal cu media zero i variana unu
Octombrie 2008
Aprilie 2007 Martie 2003
Martie 1999
22

Tabelul 3: Lunile n care abaterea ratelor dobnzii de la medie a depit 2 deviaii standard
pentru cel puin trei zile consecutiv
Luna Deviaia maxim (deviaii standard)
Mar -99 4,2
Apr-99 4,2
Nov-00

2,8
Ian-05 2,1
Oct-08 8,3
Nov-08 8,0
3.3 Atacul speculativ i lichiditatea
Atacul speculativ ofer elemente noi asupra rolului jucat de lichiditate n apariia volatilitii
ratei dobnzii. El explic bine de ce unii bancheri au insistat asupra ideii c banca central a
absorbit lichiditatea din pia, contribuind astfel la creterea ratei dobnzii n perioada 17
octombrie-5 noiembrie. ntr-adevr, rspunznd atacului speculativ prin vnzri de valut, banca
central a extras lichiditate din pia ntr-o perioad cu deficit de lichiditate la nivelul sistemului.
Dar acest extragere este n mod egal o decizie a bncii centrale i a bncilor care au cumprat
valuta. n acelai timp, facilitatea de credit a fost accesat de bnci, iar banca central s-a angajat
n operaiuni swap prin care a furnizat lichiditate unor bnci.
Atacul speculativ explic bine i de ce au dorit bncile cu exces de lichiditate s cumpere valut
ntr-o perioad cu deficit de lichiditate. Fiind ageni optimizatori i anticipnd devalorizarea
leului pe termen mai lung, bncile cu exces de lichiditate au cumprat valuta vndut de banca
central n perioada 6-15 octombrie 2008 (4,1 la sut din rezervele valutare). n acest fel, bncile
cu exces de lichiditate au furnizat mai puin lichiditate bncilor cu deficit de lichiditate sau
entitilor care trebuiau s inverseze swap-urile valutare. Din acest motiv, rata dobnzii a crescut.
n sfrit, atacul speculativ explic bine i de ce banca central nu s-a angajat n operaiuni repo.
n octombrie 2008, comparativ cu luna anterioar, creterea vnzrilor de contracte swap pe leu a
fost foarte mare. De asemenea, dei mai mic dect aceasta din urm, creterea vnzrilor de lei
ale nerezidenilor
14
pe piaa valutar a fost semnificativ (tabelul 4). Creterile din octombrie

14
Vnzrile n cadrul contractelor swap sunt parte din totalul vnzrilor efectuate de nerezideni.
23

2008 sunt mult mai mari dect cele maxime nregistrate n anii 2009 i 2010, indicnd o prezen
notabil a componentei speculative a tranzaciilor.
Tabelul 4: Vnzrile de valut ale nerezidenilor
Creterea vnzrilor de valut ale
nerezidenilor fa de:
Octombrie
2008
2009
(noiembrie
*
)
2010
(iunie
*
)
Ianuarie
2009
-luna precedent (%) 35,0 7,8 15,2 17,0
-media lunilor anterioare (%) 43,9 19,9 28,8 --
-media anului (%) 50,7 16,8 16,9 -22,0
*
Reprezint luna n care s-a nregistrat valoarea maxim a vnzrilor nete de valut ale nerezidenilor.
n msura n care unele bnci cu deficit de lichiditate ar fi gsit optim s se angajeze n finanarea
de operaiuni speculative, furnizarea de lichiditate prin operaiuni repo ar fi contravenit politicii
bncii centrale de a combate atacul speculativ prin vnzri de valut. n final, bncile cu deficite
mari de lichiditate au fost nevoite s vnd valut pentru a finana operaiile lor curente, ceea ce
a ajutat la combaterea atacului speculativ.
n sfrit, datele din tabelul 4 explic bine de ce n ianuarie 2009, aceleraia deprecierii leului i
vnzrile nete de valut chiar mai mari ca cele din octombrie 2008, nu au fost nsoite de o
volatilitate mare a ratelor dobnzii, ca n octombrie 2008, care s indice un atac speculativ.
Comparativ cu octombrie 2008, n ianuarie 2009 vnzrile de contracte swap pe leu au fost mult
mai mici, indicnd o activitate normal a tranzaciilor cu contracte swap pe leu. De asemenea,
creterea vnzrilor de valut ale nerezidenilor n ianuarie 2009 fa de vnzrile din luna
anterioar i fa de media anului 2008, sunt mai mici dect cele din octombrie 2008, ceea ce
indic dispariia componentei speculative. Aceasta a permis funcionarea normal a pieei
monetare interbancare, ceea ce a meninut ratele dobnzii la niveluri relativ joase. De asemenea,
odat cu dispariia componentei speculative a devenit optim pentru banca central s reia
furnizarea de lichiditate prin operaiuni repo.
Concluzia noastr este c volatilitatea mare a ratei dobnzii n perioada 17 octombrie-5
noiembrie 2008 nu a fost rezultanta unui eec al management-ului lichiditii n atingerea
obiectivului stabilitii ratei dobnzii n jurul ratei dobnzii de politic monetar. Accesarea
lichiditii la rate nalte ale dobnzii de ctre bncile cu deficit de lichiditate a fost o consecin a
atacului speculativ.
24

3.4 Comparaie ntre cele dou atacuri
O comparaie ntre momentele martie 1999 i octombrie 2008 este prezentat n Tabelul 5.
Datele susin ideea c, spre deosebire de atacul speculativ din martie 1999, cel din octombrie
2008 nu a reuit.
n cazul atacului din octombrie 2008, rata medie de schimb n urmtoarele 60 de zile de
tranzacionare dup atingerea maximului pe 6 octombrie s-a situat la nivelul nregistrat de rata de
Tabelul 5: Parametrii atacurilor speculative asupra leului din martie 1999 i octombrie 2008
Parametrii atacurilor speculative Martie 1999 Octombrie
2008
Rata de schimb la nceputul deprecierii accelerate (lei/euro) 1,4819 3,7336
Rata de schimb la data atingerii maximului (lei/euro) 1,6642 3,9410
Rata de schimb medie pe 30 de zile dup maxim (lei/euro) 1,5927 3,7192
Rata de schimb medie pe 60 de zile dup maxim (lei/euro) 1,5949 3,7383
Deprecierea medie zilnic n perioada deprecierii accelerate (%) 2,94 1,36
Indicele cumulat pe 4 zile corespunztor atacului 1,123 1,056
Abaterea maxim a ratei dobnzii de la medie (deviaii standard) 4,2 8,3
Vnzri nete de valut la t-2 (% din rezerva valutar) -3,5 0,0
Vnzri nete de valut la t-1 (% din rezerva valutar) 4,4 0,0
Vnzri nete de valut n luna atacului (t) (% din rezerva
valutar)
11,5 3,6
Vnzri nete de valut la t+1 (% din rezerva valutar) -2,4 1,5
Modificarea rezervelor la t-2 (%) ... 2,1
Modificarea rezervelor la t-1 (%) -17,1 1,6
Modificarea rezervelor n luna atacului (t) (%) -5,3 1,2
Modificarea rezervelor la t+1 (%) -2,8 2,5
Modificarea rezervelor la t+2 (%) -26,2 -4,3
Modificarea rezervelor la t+3 (%) -19,4 -3,8
Modificarea rezervelor la t+4 (%) 8,2 -2,6
Deprecierea (+)/aprecierea (-) real a leului la t-1 fa de t-2 (%) 1,4 2,4
Deprecierea (+)/aprecierea (-) real a leului la t fa de t-1 (%) 4,6 2,2
Deprecierea (+)/aprecierea (-) real a leului la t+1 fa de t (%) -1,3 0.5
Deprecierea (+)/aprecierea (-) real a leului la t+2 fa de t+1 (%) -2,9 3,5
Deprecierea (+)/aprecierea (-) real a leului la t+3 fa de t+2 (%) -3,9 6,8
25

schimb la nceputul atacului. n schimb, n 1999, nivelul mediu al celor 60 de zile a fost cu 7,8 la
sut mai mare dect rata de schimb existent la nceputul atacului.
n termeni reali, n 1999, dup ncheierea atacului speculativ, leul s-a apreciat cel puin trei luni
consecutiv dei banca central a rspuns prin cumprri nete de valut patru luni consecutiv. n
schimb, n 2008, rata real de schimb s-a depreciat patru luni consecutiv dup ncheierea atacului
speculativ dei banca central a efectuat vnzri nete n fiecare din cele patru luni.
n 1999, la patru luni dup atacul speculativ, rezerva valutar sczuse cu 37,4 la sut comparativ
cu nivelul din luna atacului, n timp ce n 2008 sczuse cu doar 8,1 la sut. Criza leului din 1999
a aprut ntr-o perioad de criz n sectorul finaciar, aa cum se descrie n unele modele
referitoare la crize ale ratei de schimb (Diaz-Alejandro, 1985; Kaminsky i Reinhart, 1999).
Atacul speculativ din octombrie 2008 nu a fost precedat i nici urmat de crize n sectorul
financiar din Romnia.
4. Explicarea atacului speculativ din octombrie 2008
Cnd aleg s atace o moned, speculatorii estimeaz c probabilitatea de a reui o depreciere este
relativ nalt. Dac atacul eueaz, speculatorii nregistreaz pierderi. Pe de alt parte, o banc
central tie c ncercarea nereuit de a apra moneda se soldeaz cu pierderi de credibilitate.
Mai mult, evitarea deprecierii spre nivelul de echilibru ar putea avea costuri n termenii ocuprii
forei de munc. Ce i-a fcut pe speculatori s cread c vor reui n octombrie 2008? Ce a dat
ncredere BNR c va reui combaterea atacului speculativ i evitarea unei crize a ratei de
schimb?
4.1 Logica atacului
Vom rspunde la aceste ntrebri utiliznd modelele privind cauzele i consecinele unei crize a
ratei de schimb ntr-o ar cu rat de schimb fix sau cu flotare condus n mod intens (heavily
managed). Acestea sunt cunoscute ca modele din prima-, a doua- i a treia generaie. n legtur
cu aceast abordare s-ar putea obiecta c BNR a adoptat strategia de intire a inflaiei i, din acest
motiv, regimul ratei de schimb nu poate fi nici conducerea strict a flotrii leului, nici rata fix,
aa cum presupun aceste modele. De aceea, explicarea cauzelor atacului speculativ pe baza
26

modelelor necesit mai nti lmurirea acestei posibile obiecii i apoi identificarea modelului
care explic bine atacul.
4.1.1 Obiectivul implicit al ratei de schimb
ntr-adevr, banca central nu a practicat o conducere strict a ratei de schimb i nici nu a
meninut o rat de schimb fix. Totui, este posibil ca speculatorii s fi considerat c, n
condiiile excepionale ale crizei financiare internaionale, BNR a stabilit, temporar, un nivel al
ratei de schimb pe care ar fi dorit s nu l depeasc (nivelul implicit). Aceasta nseamn c
speculatorii au identificat un obiectiv extern implicit al politicilor.
Ipoteza obiectivului implicit privind rata de schimb este plauzibil, avnd n vedere c BNR are
reputaia c este sensibil la magnitudinea deprecierii/aprecierii leului. De exemplu, n figura 10
se vede c n perioada pre-criz, cnd intrrile mari de capital tindeau s aprecieze leul, banca
central a fcut cumprri semnificative de valut
15
. Invers, n perioada crizei, cnd leul tindea s
se deprecieze, banca a vndut valut
16
.
Speculatorii au produs propria aproximare a nivelului implicit al ratei de schimb. Acest nivel
oferea informaii: atingerea lui ar fi declanat aprarea leului de ctre banca central. De
asemenea, diferena dintre nivelul curent al ratei de schimb i nivelul implicit estimat este
informativ pentru speculatori: o diferen negativ arta c este posibil ca o depreciere
semnificativ pe termen scurt s nu ntmpine rezisten din partea bncii centrale.
Dar faptul c exist o diferena negativ nu garanteaz c banca central nu va combate o
depreciere accelerat pe termen scurt, indiferent de cauza ei. n particular, dac obiectivul
implicit estimat de speculatori este suficient de mare, un atac speculativ va produce o volatilitate
nalt a ratei de schimb. Deprecierea accelerat este suficient pentru ca banca central s
intervin, chiar dac aceasta nu are asumat un nivel efectiv al ratei de schimb pe care dorete s

15
n perioada ianuarie 2004- septembrie 2008, cumprrile nete de valut ale bncii centrale au reprezentat 48,5 la
sut din rezerva valutar medie a perioadei, iar cumprrile de valut au reprezentat 52,8 la sut din totalul
cumprrilor perioadei 1999-2010.
16
n perioada octombrie 2008-2010 vnzrile nete au fost de 38,4 la sut din rezerva valutar medie a perioadei, iar
vnzrile de valut au reprezentat 77,1 la sut din totalul vnzrilor efectuate n perioada 1999-2010.
27

l apere
17
. Banca central va combate o depreciere mare i accelerat pentru a evita ca aceasta s
pun n pericol obiectivele privind inflaia i stabilitatea financiar.
ntr-adevr, datele arat c banca central a fost reactiv, prin contracararea deprecierilor
accelerate, dar i proactiv, prin meninerea ritmurilor de depreciere la niveluri relativ mici. n
perioada 1999-2010, BNR a efectuat vnzri nete n 34 de luni i cumprri nete n 70 de luni
18
.
Majoritatea acestor vnzri (cumprri) nete reflect procesul de flotare dirijat a leului. Dar
compararea vnzrilor nete, pe de o parte, cu accelerrile maxime ale deprecierii leului i cu
volumul rezervelor, pe de alt parte, indic mai degrab existena unui obiectiv implicit privind
rata de schimb.
n perioada 1999-2004 vnzrile nete relativ mici au fost asociate cu acceleraii maxime relativ
mari i cu dimensiuni relativ mici ale rezervei valutare (figura 11). Aceast combinaie ntre cele
trei variabile arat c, n anumite momente, banca a luptat mpotriva deprecierilor mari (a fost
reactiv), volumul rezervelor nepermind un control mai strict al deprecierilor.

17
Dac banca central are un obiectiv implicit privind rata de schimb i dac obiectivul implicit estimat de
speculatori este mai mare ca obiectivul implicit asumat de banca central, atacul speculativ va fi combtut de banca
central cnd rata de schimb atinge nivelul obiectivului implicit asumat de banca central.
18
Banca a intervenit pe piaa valutar prin vnzri n 67 de luni (n 337 de zile distincte de intervenii) i prin
cumprri n 79 de luni (n 728 de zile distincte de intervenie).
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Fig. 10: Vnzrile i cumprrile de valut ale bncii centrale n
perioada 1999-2010
Cumprri
Vnzri
28

n schimb, perioada intrrilor mari de capitaluri a pus bazele unei schimbri n comportamentul
bncii centrale. Schimbarea s-a vzut n perioada 2008-2010 cnd, n general, vnzrile nete de
valut relativ mari au fost asociate cu accelerri maxime relativ mici ale deprecierii leului
(exceptnd lunile octombrie 2008 i ianuarie 2009) i cu dimensiuni relativ mari ale rezervei
valutare (figura 11).
Aceast combinaie arat c, beneficiind de dimensiunea confortabil a rezervelor, n multe
cazuri, banca central a efectuat vnzri nete relativ mari de valut suficiente nu numai pentru a
evita deprecieri mari, dar i pentru a menine ritmul deprecierilor la niveluri joase (a fost
proactiv). Evident, acest comportament era necunoscut n octombrie 2008, cnd a avut loc
atacul speculativ asupra leului.
n octombrie 2008, aproximativ 92 la sut din vnzrile de rezerve efectuate de banca central au
avut loc ncepnd din a patra zi de tranzacionare din perioada atacului, cnd rata de schimb a
atins maximul de 3,94 lei/euro. Aceasta arat c banca central nu a avut ca obiectiv implicit
aprarea nivelului de 3,73 lei/euro, de la care a nceput atacul, dar nu a permis depirea nivelul
de 3,94 lei/euro. De aici rezult c obiectivul implicit al ratei de schimb estimat de speculatori n
octombrie 2008 a fost substanial mai mare ca nivelul de 3,94 lei/euro, la care a intervenit BNR.
4.1.2 Identificarea modelului
Dac existena unei diferene negative ntre nivelul curent i cel implicit estimat de speculatori
nu garanteaz c un atac asupra leului poate reui, atunci este nevoie de elemente suplimentare
care s justifice o probabilitate mare de reuit a atacului. Ipoteza noastr este c pentru a obine
aceste elemente suplimentare, n octombrie 2008 speculatorii au cutat s identifice dac vreunul
dintre modelele teoretice ale crizei ratei de schimb este sprijinit bine de datele economiei
romneti. O bun potrivire a datelor cu conceptele unui model de criz indic o probabilitate
mare de succes a unui eventual atac asupra monedei. Dar, aa cum au artat Rainhart i Rogoff
(2009), crizele efective combin adesea elemente din mai multe tipuri teoretice de crize. Din
acest motiv, punerea datelor i informaiilor specifice unei economii mpreun cu conceptele
unei anumite generaii de modele este dificil.

29

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Luni de importuri
medii lunare de bunuri
i servicii pe
urmtoarele 12 luni
Deviaii standard
Fig. 11: Valorile normalizate ale vnzrilor nete de valut i ale
deprecierilor accelerate fa de o distribuie normal cu media zero
i variana unu
Acceleraia maxim n fiecare lun
Vanzari (+)/cumprri (-) nete
Numr mediu de deviaii standard ale acceleraiei maxime
Numr mediu de deviaii standard ale vanzrilor nete de valuta
Rezerva valutar (nov. 2009-dec. 2010 estimri) (scala din dreapta)
R
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Perioada intrrilor
mari de capital
Perioada 2000-2004 Recesiune
2008 (Q4)-2010
30

Astfel, este posibil ca n urma exerciiului de potrivire a faptelor cu teoria, speculatorii s fi decis
c elementele identificate aparin preponderent unui anumit tip de model de criz n Romnia, n
timp ce banca central a identificat un tip diferit. Fiecare a acionat n funcie de tipul de model
identificat i de consecinele anticipate pe baza acestuia.
Este cert c nici speculatorii i nici BNR nu au considerat c elementele specifice economiei
romneti se potrivesc cu modelele din generaia nti. n versiunile timpurii ale acestor modele
(Krugman, 1979 i Flood i Garber, 1984), sau chiar n analize care le-au prevestit (Salant i
Henderson, 1978), rata de schimb este fix, iar colapsul ei este cauzat de ctre politica fiscal
nesustenabil, care produce deficite primare persistente
19
. Criza apare atunci cnd nivelul
rezervelor atinge o valoare critic, de la care rezervele sunt epuizate rapid de speculatori.
n timp, aceste modele s-au adaptat pentru a ine cont de regimurile cu flotare controlat n mod
strict i de liberalizrile incomplete ale pieelor de capital, care limiteaz capacitatea bncii
centrale de a se mprumuta pentru a apra moneda. Astfel, politicile monetare i fiscale
expansioniste creaz inflaie, mpingnd rata real de schimb la un nivel de supraevaluare care
nu poate fi aprat (Obstfeld, 1986; Calvo, 1987; Drazen i Helpman, 1987; Wijnbergen, 1991;
Flood i Marion,1999). Aceste modele predicioneaz c deficitele fiscale crescnde, creterea
datoriilor i scderea rezervelor preced colapsul ratei de schimb.
n cazul Romniei, modelele din generaia nti nu se potriveau bine cu datele n octombrie 2008.
Dei banca central are reputaia c este sensibil la magnitudinea deprecierii/aprecierii leului, ea
nu a meninut un nivel cvasi-fix al leului. Dimpotriv, imediat dup declanarea crizei financiare
internaionale, leul a nceput s se deprecieze gradual. De la de 3,1 lei/euro n iulie 2007
20
, rata
de schimb a ajuns la 3,73 lei/euro la sfritul lunii septembrie 2008, nainte de declanarea
atacului speculativ. n termeni reali, deprecierea a fost de 8 procente, ceea ce a compensat

19
ntr-un regim de rat fix, oferta de bani trebuie s fie n strict concordan cu nivelul ratei de schimb. Din acest
motiv, veniturile guvernamentale din tiprirea de bani sunt strict limitate. Dac deficitele bugetare sunt mari i
persistente, atunci finanarea lor se realizeaz fie prin utilizarea rezervelor valutare fie prin mprumuturi. Dar din
moment ce utilizarea pe termen nelimitat a rezervelor sau a mprumuturilor pentru a finana deficite fiscal
persistente este implauzibil, tiprirea de bani devine inevitabil. Rata de schimb fix este incompatibil cu tiprirea
de bani i, astfel, apare devalorizarea.
20
Nivel supraevaluat determinat de intrrile masive de capitaluri nainte de criz.
31

semnificativ erodarea competitivitii generat de creterea preurilor i a salariilor ca urmare a
intrrilor excesive de capital n perioada 2004-2007. n afar de deficitul de cont curent de
aproximativ 13 procente din PIB, nici dinamica datoriei publice, nici dinamica rezervelor
internaionale i nici competitivitatea extern nu predicionau devalorizarea leului cu 5,6
procente n 4 zile.
4.1.2.1 Logica speculatorilor
Ipoteza noastr este c speculatorii au mizat mult pe logica modelelor din generaia a doua. n
aceste modele, banca central i guvernele optimizeaz o funcie de bunstare (de exemplu
Obstfeld, 1994 i 1996), care are ca argumente, pe de o parte, producia, ocuparea forei de
munc, i stabilitatea sistemului bancar (obiective interne), iar pe de alt parte obiectivul privind
rata de schimb (obiectiv extern). nrutirea condiiilor interne ar putea face necesar scderea
ratei dobnzii de politic monetar sau creterea deficitului fiscal, ceea ce creeaz un conflict
ntre obiectivul intern i cel extern. Dac piaa anticipeaz astfel de evoluii, se poate precipita un
atac asupra monedei. n aceste modele nu este nevoie ca deteriorarea fundamentelor s precead
criza ratei de schimb, ca n modelele din generaia nti. Vetile proaste despre deficitul fiscal
sunt suficiente pentru a declana o criz a ratei de schimb.
Cnd criza a lovit Romnia, datele preau s se potriveasc destul de bine cu modelul din
generaia a doua. Pe de o parte, devenise clar, cel puin pentru unii investitori strini, c
producia va scdea substanial i c rata omajului va crete. Pe de alt parte, raportul mare
dintre datoria extern pe termen scurt i rezerva valutar, combinat cu discursul concertat al
politicienilor mpotriva unui acord de mprumut cu FMI a consolidat anticipaiile pieei c
politicile se vor concentra pe stabilizarea produciei i a ocuprii i mai puin pe stabilitatea
leului. Din aceast perspectiv, nivelul de 3,73 lei/euro, existent la momentul declanrii
atacului, nu putea s apar ca un nivel pe care banca central s doreasc s-l apere. Aceasta
nseamn c nu exista o constrngere pentru rata de schimb i c, aa cum am artat, obiectivul
implicit estimat de speculatori era mult mai mare dect 3,94 lei/euro.
Fr constrngerea ratei de schimb, politicile puteau fi folosite pentru creterea cererii agregate.
Virtual, o cretere a deficitului bugetar era n linie cu obiectivele ocuprii i era greu de evitat.
nainte de criz, guvernele acceptaser alocaii sociale, ocupare i salarii n sectorul public n
32

exces. Era previzibil c, n condiiile crizei, fr reforme care s corecteze aceste excese,
deficitul fiscal ar fi depit 10 procente din PIB n 2009 i n 2010, genernd anticipaii negative
privind datoria public i posibile creteri n preuri i rata de schimb (pentru acest ultim aspect
vezi Corsetti i Mackoviak, 2006; Daniel, 2001; Dupor, 2000; Wijnbergen, 1991). Dat fiind
lipsa de credibilitate a politicilor fr un acord cu FMI, speculatorii au ataat o probabilitate
foarte mare alunecrii fiscale
21
. n acest context, nu este exclus ca speculatorii s fi crezut c
cedarea n faa unui atac speculativ a devenit acceptabil pentru autoriti din perspectiva
produciei i ocuprii (pentru rolul ocuprii n raport cu obiectivul ratei de schimb vezi
Eichengreen i Jeanne, 1998).
O dimensiune suplimentar a atacului speculativ din octombrie 2008 se obine dac este analizat
din perspectiva modelelor lui Corsetti, Pesenti i Roubini (1999), Burnside Eichengreen i
Rebelo (2001a) sau Lahiri i Vgh (2003). Aceste modele presupun c agenii primesc veti c
sectorul bancar eueaz, dar c bncile vor fi salvate de guvern, care va finana cel puin o parte
din deficitul astfel creat prin tiprirea ulterioar de bani.
i n octombrie 2008 vetile proaste despre sistemul bancar au fcut parte din peisajul general
al atacului speculativ. Dei sistemul bancar romnesc era bine capitalizat, zvonurile c el ar putea
avea probleme au nceput s apar cu puin timp naintea atacului speculativ. Directorul direciei
de supraveghere din BNR declara pe 8 octombrie 2008 c () nici o banc din sistemul bancar
romnesc (...) nu prezint (...) probleme de lichiditate i c toate bncile se ncadreaz n limitele
de pruden stabilite de lege i reglementrile BNR. Cu toate acestea, n ultima perioad au
nceput s circule zvonuri privind dificulti pe care le ntmpin sau urmeaz s le ntmpine
unele bnci din Romnia, zvonuri care se transmit telefonic, prin fax, i mai nou, prin Internet.
Acest comunicat a venit la 2 zile dup ce leul atinsese maximul de 3,94 lei/euro. Concomitent, n
mod eronat, apruser informaii c banca central acorda credite pentru a salva o banc privat.

21
La prezentarea public a acestui studiu la BNR n data de 22 aprilie 2011, directorul general adjunct al BRD-
SOGEN din Romnia, Claudiu Cercel, a argumentat c declanatorul atacului a fost tirea c pe 29 septembrie 2008,
Camera Deputailor adoptase pe articole legea creterii salariilor cu 50 la sut n sectorul educaiei, votul favorabil
fiind dat de Camer pe 30 septembrie.
33

4.1.2.2 Logica bncii centrale
Spre deosebire de speculatori, BNR a considerat c datele economiei romneti se potriveau mai
bine cu modelele din generaia a treia (Chang i Valesco, 2001; Caballero i Krishnamurthy,
2001; Burnside, Eichenbaum i Rebelo, 2004, Krugman, 2002). Probabil c asimetria
informaional a fost factorul cheie n diferenierea viziunilor. Contrar modelelor din generaia a
doua, unde o depreciere este benefic pentru ocupare, n modelele din generaia a treia, efectele
unei deprecieri asupra ocuprii sunt negative din cauza instabilitii financiare. Accentul este pus
pe efectele pe care deprecierea le produce n bilanurile sectorului privat, mai ales atunci cnd
acesta este ndatorat n valut.
Este cert c speculatorii nu au ignorat efectul de bilan asupra creterii, aa cum nici banca
central nu a ignorat efectul pozitiv al deprecierii asupra ocuprii. Dar, se pare c n timp ce
speculatorii au crezut c efectul net al deprecierii ar fi fost creterea produciei, banca central a
considerat c efectul net ar fi fost instabilitatea financiar (pe care potrivit legii este datoare s o
evite) i, pe aceast rut, scderea produciei.
n perioada 2004-2008, Romnia s-a confruntat cu intrri mari de capital care s-au reflectat n
creterea substanial a datoriilor externe ale gospodriilor i firmelor, dar mai ales ale bncilor.
Aceast cretere a creat dezechilibre mari n structura bilanurilor prin creterea obligaiilor n
valut, necompensat de o cretere corespunztoare a activelor n valut. Riscul de credit al
bncilor, firmelor i gospodriilor a crescut foarte mult deoarece veniturile lor depind n mare
msur de producia de bunuri necomerciabile, al cror pre, evaluat n valut, scade dup
depreciere.
Muli economiti, printre care i eu, au avertizat asupra creterii riscului ratei de schimb n
perioada 2004-2008, dar avertismentele pleau n faa faptului c agenii economici credeau c
BNR va utiliza rezerva valutar pentru a evita deprecieri substaniale ale leului. Cu aceast
garanie implicit, a fost optim pentru bnci, firme i populaie s se expun riscului ratei de
schimb, aa cum se predicioneaz n McKinon and Pill (1996) i n Burnside, Eichengreen i
Rebelo (2001b).
34

Cedarea la atacul speculativ din octombrie 2008 ar fi crescut probabilitatea unor deprecieri i
scderi subsecvente n producie disproporionate. Deprecierile generate de un atac reuit ar fi
nrutit foarte mult bilanurile sectorului privat deoarece valoarea n lei a datoriei externe ar fi
crescut foarte mult. Aceasta, n schimb, ar fi accentuat recesiunea, de exemplu prin reducerea
investiiilor, ceea ce ar fi alimentat deprecierea i aa mai departe. Speculatorii au estimat c
BNR va accepta o depreciere pentru a face loc creterii cererii agregate. Banca central a ales
ns s contracareze atacul speculativ pentru a conserva stabilitatea financiar
22
i, implicit,
pentru a minimiza scderea produciei.
4.2 Acumularea condiiilor pentru un nou atac i acordul cu FMI
Atacul speculativ din octombrie 2008 a euat, dar condiiile pentru un nou atac, cu anse de
reuit, s-au acumulat. n trimestrul al treilea din 2008, anticipaiile privind o recesiune profund
s-au generalizat, iar anticipaiile privind reducerea masiv a finanrii externe s-au confirmat.
ngrijorrile privind posibilitatea refinanrii datoriei externe private scadent n 2009,
reprezentnd aproape 80 de procente din rezervele internaionale, au crescut. n perioada 5-13
ianuarie 2009 leul s-a depreciat de la 4,03 lei/euro la 4,3 lei/euro, adic cu 0,95 procente pe zi de
tranzacionare. n ianuarie 2009, leul se depreciase n termeni reali cu 6 procente comparativ cu
decembrie 2008 i cu 20,3 procente comparativ cu iulie 2007.
ncheierea acordului de mprumut cu FMI, UE i Banca Mondial pentru 20 miliarde euro a
permis evitarea unui nou atac speculativ. Pn pe 25 martie, cnd ncheierea acordului a devenit
cert pentru piee, rata de schimb leu/euro a oscilat n jurul nivelului de 4,3 lei/euro, dup care a
cobort sub 4,2 lei/euro i a rmas sub acest nivel pn n iunie 2009. Prin respingerea atacului
speculativ din octombrie 2008 i prin ncheierea acordului de finanare s-a evitat o criz a ratei
de schimb i o recesiune potenial mai sever ca cea care a avut loc n perioada 2009-2010.
5. Concluzii

22
Atacul speculativ nu a avut consecine doar asupra pieei interbancare, ci a afectat ncrederea populaiei n
sectorul bancar. n octombrie 2008 a aprut i problema fugii depozitelor. Pentru prima dat dup 4 ani, populaia
a redus depozitele nete cu 3,1 la sut. Reducerea cea mai importan a venit de la publicul deintor de depozite mai
mari de 100000 euro echivalent. Chiar i n condiiile combaterii atacului speculativ, lipsa de ncredere a durat
aproximativ 3 luni. Volumul depozitelor a revenit la nivelul pre-fug n decembrie 2008.

35

n lipsa atacului speculativ, reducerea componentei autonome nete a lichiditii indus de criza
financiar nu ar fi putut determina creterea ratelor dobnzii n perioada 17 octombrie-5
noiembrie 2008. Volumul relativ redus al titlurilor de stat i asimetria distribuiei acestora pe
bnci nu au contribuit n mod semnificativ la volatilitatea nalt a ratelor dobnzii. Aceasta a fost
n primul rnd un efect al atacului speculativ asupra leului declanat pe nti octombrie.
Ca i n cazul altor episoade n care deprecierea medie zilnic a leului calculat pe patru zile
consective a depit unu la sut, i n octombrie 2008, lipsa interveniei bncii centrale ar fi avut
consecine negative. Probabil c principala consecin ar fi fost instalare panicii, cu deprecieri
excesive ale leului. Cu panic, valoarea n lei a datoriei externe ar fi crescut n mod abrupt,
nrutind foarte mult bilanurile sectorului privat. Aceasta, n schimb, ar fi accentuat
recesiunea, care la rndul ei ar fi alimentat deprecierea, crend un cerc vicios. Intervenia bncii
centrale a prevenit apariia panicii, asigurnd stabilitatea financiar. Stabilitatea financiar a
asigurat atenuarea scderii produciei.
BNR a preferat s combat atacul prin vnzarea de valut, dei teoria arat c banca central
trebuie s creasc rata dobnzii de politic monetar n timpul unui atac speculativ i s o reduc
imediat dup atac. Strict din perspectiva efectelor asupra ratelor dobnzii pe piaa interbancar,
creterea ratei dobnzii de politic monetar i vnzarea de valut sunt echivalente. Amndou se
reflect ntr-un management mai restrictiv al lichiditii. O cretere a ratei dobnzii de politic
monetar este nsoit de un managment al lichiditii care ar trebui s duc rata medie a dobnzii
pe piaa interbancar spre nivelul crescut al ratei de politic monetar. Vnzrile de valut se
reflect n extragerea de lichiditate, care contribuie la creterea ratei dobnzii pe piaa monetar
interbancar, aa cum s-a ntmplat n Romnia n octombrie 2008.
Criza economic i atacul speculativ din octombrie 2008 arat c exist lecii importante legate
de reputaia bncii centrale referitoare la sensibilitatea sa privind magnitudinea
deprecierii/aprecierii leului. Aceast reputaie a jucat un rol important att n acumularea
riscurilor, nainte de apariia crizei n Romnia, ct i n derularea atacului speculativ, n perioada
de debut a crizei. Unele lecii se refer la efectele acestei reputaii, iar altele la cauzele ei.
n ceea ce privete efectele nainte de criz, aceast reputaie a acionat ca o garanie implicit c
BNR va utiliza rezerva valutar pentru a evita deprecieri semnificative ale leului. n principiu,
36

existena unei garanii reduce riscul ratei de schimb, mrind astfel nivelul optim al datoriei
private la nivel microeconomic. Acest lucru s-a ntmplat i n Romnia. Datorit garaniei
implicite, agenii privai au subevaluat riscul ratei de schimb, ceea ce a favorizat acumularea
imprudent de datorie privat extern.
Cu ct este mai solid aceast reputaie cu att mai ineficiente sunt avertismentele publice date
de banca central mpotriva supraexpunerii la riscul ratei de schimb. Aceast cauzalitate explic
de ce avertismentele bncii centrale mpotriva creditrii excesive n valut n perioada 2005-
2008 nu au fost ncorporate n deciziile microeconomice.
La debutul crizei, discursul concertat al politicienilor mpotriva unui acord de mprumut cu FMI
s-a suprapus cu reputaia bncii centrale privind rata de schimb. Aceast suprapunere, combinat
cu reducerea previzibil a finanrilor externe i cu deteriorarea deficitului bugetar au consolidat
anticipaiile pieei c politicile se vor concentra pe stabilizarea produciei i a ocuprii i mai
puin pe aprarea nivelului curent al leului. Cu aceste anticipaii, pieele au atribuit bncii
centrale, temporar, un obiectiv implicit privind rata de schimb (un nivel al ratei de schimb pe
care banca l-ar apra), situat mult deasupra nivelului curent al ratei de schimb. Aceasta a fost o
premis favorabil declanrii atacului speculativ din octombrie 2008.
mpreun, efectele pre- i post-criz ale reputaiei bncii centrale privind sensibilitatea la
magnitudinea deprecierii/aprecierii leului indic necesitatea ca aceast reputaie s fie
ameliorat. Cu aceasta se ajunge la cauzele acestei reputaii.
Reputaia referitoare la rata de schimb este derivat de pia din interveniile bncii centrale pe
piaa valutar. Dar ar fi o greeal s se cread c interveniile sunt o preferin intrinsec a
BNR. Ele sunt mai degrab o consecin a lipsei sau amnrii reformelor structurale adecvate,
care a fcut ca n unele perioade leul s fie sub presiune. Au existat numeroase astfel de perioade
ncepnd cu 1990, n care banca central a suplinit lipsa de reforme structurale sau incoerena
politicilor prin influenarea ratei de schimb.
De exemplu, n perioada 1990-1996, guvernele au promovat o politic de supraapreciere a ratei
de schimb, furniznd subvenii implicite pentru importuri. mpreun cu subveniile implicite
oferite prin ratele reale negative ale dobnzii, acestea au finanat o cretere economic
nesustenabil n perioada 1993-1996, dup care a urmat recesiunea din perioada 1997-1999.
37

n perioada 1999-2010, au fost 50 de luni n care banca central a efectuat cumprri nete mai
mari de 2 la sut din rezerva valutar, i 17 luni n care banca a efectuat vnzri nete mai mari de
2 la sut din rezervele valutare.
Cele mai multe cumprri nete mai mari de 2 la sut din rezerve (efectuate n 43 din 50 de luni,
adic n 86 la sut din cazuri) au avut loc n perioada 1999-2004, n principal pentru a compensa,
prin deprecieri competitive, lipsa de ajustri n sectorul exportator. n aceast perioad s-au
cumprat 59,6 la sut din totalul cumprrilor efectuate de banca central n perioada 1999-2010.
Dup adoptarea strategiei de intire a inflaiei, n august 2005, banca central a cumprat 28,3 la
sut din totalul cumprrilor.
Cele mai multe vnzri nete care au depit 2 la sut din rezerve au avut loc ntr-un numr de 10
luni din perioada 2008-2010, n condiiile crizei financiare internaionale i a crizelor
guvernamentale i politice din perioada 2009-2010. n perioada 2008-2010 s-au vndut 83,7 la
sut din totalul vnzrilor de valut efectuate de banca central n perioada 1999-2010, restul de
16,3 la sut vnzndu-se n perioada 1999-2004. Celelalte vnzri nete care au depit 2 la sut
din rezerve s-au efectuat n 7 luni (41 la sut din numrul de luni) din perioada 1999-2004, n
special pentru a suplini ajustrile structurale insuficiente n raport cu obiectivele dezinflaiei. n
aceast perioada s-au vndut 16 ,3 la sut din totalul sumelor vndute de banca central n
perioada 1999-2010.
Numeroasele intervenii pe piaa valutar au consolidat reputaia bncii centrale privind
sensibilitatea sa referitoare la magnitudinea deprecierii/aprecierii leului. Ameliorarea acestei
reputaii ar permite agenilor economici s evalueze corect riscurile ratei de schimb i nivelul
optim al variabilelor care depind de mrimea acestui risc, cum ar fi nivelul datoriei externe i
investiiile n sectoarele bunurilor comerciabile (tradable). O ameliorare a reputaiei a aprut n
perioada noiembrie 2005-iulie 2007, cnd BNR nu a intervenit pe pia (Anexa 3). Dar, odat cu
declanarea crizei finaciare internaionale, BNR i-a reluat interveniile pe piaa valutar.
Orizontul problemei reputaiei se ntinde pn la data adoptrii euro. La acea dat, riscul ratei de
schimb leu-euro dispare. Pn atunci, odat ncheiat criza economic internaional, banca
central ar putea s decid, din nou, eliminarea total a interveniilor pe piaa valutar pentru a
maximiza o funcie obiectiv derivat dintr-o funcie de utilitate care maximizeaz bunstarea.
38

Totui, din cauza problemelor structurale, episoade de volatilitate excesiv pe piaa valutar pot
pune n pericol obiectivele privind stabilitatea preurilor i stabilitatea financiar. Din aceast
cauz, ar putea fi optim ca banca central s menin interveniile dedicate exclusiv combaterii
episoadelor de volatilitate excesiv a ratei de schimb.
39

Anexa 1: Frecvena interveniilor bncii centrale pe piaa valutar n perioada 1999-2010 (numr
de luni de intervenii)
Perioada Vnzri
*
Cumprri
*
Vanzri nete
**

(1) (2) (3) (4)
ntreaga perioad 1999- 2010
>2 % din rezerve 27 (11) 60 (11) 17 (50)
>1 % din rezerve 47 (20) 70 (20) 28 (65)
>0 % din rezerve 67 (42) 79 (42) 34 (70)
nainte de adoptarea strategiei de
intire a inflaiei

1999-iulie 2005
>2 % din rezerve 17 (11) 56 (11) 7 (46)
>1 % din rezerve 30 (20) 65 (20) 12 (60)
>0 % din rezerve 47 (40) 70 (40) 14 (63)
Dup adoptarea strategiei de intire a
inflaiei

August-octombrie 2005
>2 % din rezerve 0 1 0 (1)
>1 % din rezerve 0 2 0 (2)
>0 % din rezerve 0 3 0 (3)
Noiembrie 2005-iunie 2007
>2 % din rezerve 0 0 0
Iulie 2007-septembrie 2008
>2 % din rezerve 1 (0) 2 (0) 1 (2)
>1 % din rezerve 2 (0) 2 (0) 2 (2)
>0 % din rezerve 2 (0) 2 (0) 2 (2)
Octombrie 2008-decembrie 2010 (criza)
>2 % din rezerve 9 (0) 1 (0) 9 (1)
>1 % din rezerve 15 (0) 1 (0) 14 (1)
>0 % din rezerve 18 (2) 4 (0) 18 (2)
*

n coloanele (2) i (3), datele din parantez se refer la cumprri concomitente cu vnzri de valut din aceeai
lun a aceluiai an.

**
n coloana (4), datele din parantez se refer la cumprrile nete, adic la vnzrile nete care satisfac condiia < -2
la sut din rezervele valutare, < -1 la sut din rezervele valutare i, respectiv, < 0 la sut din rezervele valutare.
40

Anexa 2: Titlurile de stat libere de gaj
0
10
20
30
40
50
60
1
-
S
e
p
-
0
8
1
-
O
c
t
-
0
8
1
-
N
o
v
-
0
8
1
-
D
e
c
-
0
8
1
-
J
a
n
-
0
9
1
-
F
e
b
-
0
9
1
-
M
a
r
-
0
9
1
-
A
p
r
-
0
9
1
-
M
a
y
-
0
9
1
-
J
u
n
-
0
9
1
-
J
u
l
-
0
9
1
-
A
u
g
-
0
9
1
-
S
e
p
-
0
9
1
-
O
c
t
-
0
9
1
-
N
o
v
-
0
9
1
-
D
e
c
-
0
9
1
-
J
a
n
-
1
0
1
-
F
e
b
-
1
0
1
-
M
a
r
-
1
0
1
-
A
p
r
-
1
0
1
-
M
a
y
-
1
0
1
-
J
u
n
-
1
0
1
-
J
u
l
-
1
0
1
-
A
u
g
-
1
0
1
-
S
e
p
-
1
0
1
-
O
c
t
-
1
0
1
-
N
o
v
-
1
0
1
-
D
e
c
-
1
0
Procente
Fig.1: Ponderea valorii de pia a titlurilor de stat (TS) libere de gaj n
valoarea de pia a TS
TS libere de gaj ale celor mai mari 4 bnci (procent din valoarea de pia a TS)
TS libere de gaj ale celorlalte bnci (procent din valoarea de pia a TS)
0
1
2
3
4
5
6
1
-
S
e
p
-
0
8
1
-
O
c
t
-
0
8
1
-
N
o
v
-
0
8
1
-
D
e
c
-
0
8
1
-
J
a
n
-
0
9
1
-
F
e
b
-
0
9
1
-
M
a
r
-
0
9
1
-
A
p
r
-
0
9
1
-
M
a
y
-
0
9
1
-
J
u
n
-
0
9
1
-
J
u
l
-
0
9
1
-
A
u
g
-
0
9
1
-
S
e
p
-
0
9
1
-
O
c
t
-
0
9
1
-
N
o
v
-
0
9
1
-
D
e
c
-
0
9
1
-
J
a
n
-
1
0
1
-
F
e
b
-
1
0
1
-
M
a
r
-
1
0
1
-
A
p
r
-
1
0
1
-
M
a
y
-
1
0
1
-
J
u
n
-
1
0
1
-
J
u
l
-
1
0
1
-
A
u
g
-
1
0
1
-
S
e
p
-
1
0
1
-
O
c
t
-
1
0
1
-
N
o
v
-
1
0
1
-
D
e
c
-
1
0
Miliarde lei
Fig. 2: Valoare a de pia a titlurilor gajate de bnci
TS gajate de bnci TS gajate de cele mai mari 4 bnci
41

Anexa 3: Lunile n care abaterea ratei dobnzii de la medie a depit o deviaie standard pentru
cel puin trei zile consecutiv
Luna
Deviaia maxim n
cadrul lunii (deviaii
standard)
Luna
Deviaia maxim n
cadrul lunii (deviaii
standard)
Feb-99 2,8 Mar-03 6,4
Mar-99 4,2 Oct-03 1,9
Apr-99 4,2 Ian-04 1,2
Mai-99
**
1,5 Feb-04 1,2
Iul-99
*
1,2 Mar-04 1,1
Mai-00
**
1,7 Apr-04 1,5
Sep-00 1,9 Mai-04 1,1
Oct-00 1,9 Ian-05 2,1
Nov-00 2,8 Feb-05 1,6
Dec-00
**
1,8 Feb-06
*
2,3
Ian-01 1,9 Iun-06
*
1,5
Feb-01 2,1 Aug-06
**
1,3
Mar-01 1,7 Mar-07 2,9
Apr-01 2,2 Apr-07 5,8
Mai-01 2,1 Mai-07 3,1
Iun-01
*
1,01 Apr-08
*
1,01
Iul-01
**
2,1 Aug-08 1,5
Sep-01 1,4 Sep-08 1,4
Dec-01
*
1,04 Oct-08 8,3
Ian-02
**
2,1 Nov-08 8,0
Sep-02 2,2 Dec-08 1,8
Oct-02 2,1 Ian-09 1,8
Nov-02
**
1,3 Feb-09 2,2
Ian-03 3,0 Mar-09 1,6
*
Pentro o singur zi;
**
Pentru dou zile consecutive;

42

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1

TEORIA I CRITICA POLITICII MONETARE N
ROMNIA
(Preliminar)

Lucian Croitoru

Mulumesc colegilor mei Mihai Copaciu i Tudor Grosu pentru sprijinul acordat n realizarea
acestui studiu. Eventualele erori mi aparin.

Opiniile prezentate n aceast lucrare aparin n ntregime autorului
i ele nu implic sau angajeaz n vreun fel Banca Naional a Romniei.

Ianuarie 2014

2

Sumar
n acest studiu revedem progresele n nelegerea determinanilor inflaiei din ecuaia Phillips
neokeynesist. n linie cu aceste progrese, artm c politicile macroeconomice nu pot
tempera un boom financiar dac inflaia este joas i stabil i producia este la nivelul
potenial.
n perioada de boom economic, politica monetar n Romnia a fost criticat pentru c nu a
crescut mai mult rata dobnzii pentru a tempera inflaia. n perioada de recesiune, critica a
vizat reducerea prea lent a ratei dobnzii. Informai de progresele menionate, artm de ce o
cretere mai timpurie sau mai mare a ratei dobnzii n perioada de boom nu s-ar fi reflectat
ntr-o inflaie mai mic. De asemenea, artm de ce, n perioada de recesiune, o reducere mai
timpurie sau mai mare a ratei dobnzii nu ar fi ajutat mai mult creterea economic.
n sfrit, oferim o explicaie pentru care n rile dezvoltate, unde rata dobnzii este virtual
egal cu zero, inflaia s-a stabilizat la niveluri pozitive n timp ce rata omajului a crescut la
niveluri nalte i persistente. Artm de ce, la acest nivel al ratei dobnzii, politica monetar
este necesar s inteasc creterea ratei omajului la un anumit nivel, care este stabilit de
sectorul privat. Astfel dm o baz teoretic politicii Rezervei Federale a SUA i a Bncii
Angliei de a practica relaxrile cantitative pn cnd se atinge o anumit rat a omajului.
Subliniem riscurile care apar dac rata omajului aleas ca int de banca central difer de
cea stabilit de sectorul privat.

3

1. Introducere ......................................................................................................................... 4
2. Inflaia joas i efectele ei .................................................................................................. 5
2.1 Inflaia joas i stabil i boom-ul economic ............................................................... 6
2.2 Inflaia joas i stabil i criza ..................................................................................... 7
3. Inflaia, ocurile pe partea ofertei i friciunile financiare ................................................. 9
3.1 Practica conducerii politicii monetare ......................................................................... 9
3.2 Distorsiunile economice i inflaia joas i stabil .................................................... 10
3.3 ocurile pe partea ofertei, ocurile n preferine i friciunile financiare .................. 13
4. Inflaia i ocurile pe partea ofertei i a cererii n Romnia ............................................. 17
4.1 Precizri metodologice .............................................................................................. 17
4.2 Critica politicii monetare nainte de izbucnirea crizei ............................................... 19
4.3 Critica politicii monetare dup apariia efectelor crizei ............................................ 30
4.3.1 Rata nalt a dobnzii a temperat declinul n perioada 2008 T4-2010 T1 ......... 30
4.3.2 Perioada inflaiei libere: 2010 T2-2013 T3 .................................................... 33
5. Deviaia inflaiei de la int, exprimat ca sum de ocuri ............................................... 36
5.1 ocurile de politic monetar .................................................................................... 36
5.2 ocurile n preferinele consumatorilor ..................................................................... 37
5.3 ocurile n prima de risc a rii .................................................................................. 39
5.4 ocurile n marjele productorilor de bunuri intermediare interne ........................... 39
6. Criza i rata omajului ...................................................................................................... 40
6.1 Nivelul i stabilitatea anticipaiilor inflaioniste ........................................................ 40
6.2 Valoarea job-ului i excesul ofertei ........................................................................... 44
6.3 Iraionalitatea i rata omajului ...................................................................................... 48
6.3.1 Adoptarea normelor i rata omajului .................................................................... 48
6.3.2 Constrngerea ZLB, anticipaiile inflaioniste i normele....................................... 54
7. Concluzii .......................................................................................................................... 56
Anexa 1 .................................................................................................................................... 58
Anexa 2 .................................................................................................................................... 59
Bibliografie ............................................................................................................................... 60

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1. Introducere

Stabilizarea inflaiei i a produciei sunt eseniale pentru asigurarea unei creteri economice
sustenabile. Nicio ar nu a putut crete nivelul de trai n mod sustenabil cu inflaie nalt sau
cu o volatilitate accentuat a produciei. Politica monetar poate stabiliza cele dou variabile
cu condiia s existe o identificare corect a relaiei dintre acestea i a nivelului adecvat al
inflaiei.
n ceea ce privete nivelul adecvat al inflaiei, nainte de criz exista convingerea c o inflaie
joas i stabil este crucial pentru creterea economic pe termen lung. n consecin, o
inflaie de doi la sut era considerat optim.
n ceea ce privete relaia dintre inflaie i producie, nainte de criz, toi economitii,
indiferent de coala de gndire economic, erau de acord c dac exist capaciti de
producie neutilizate inflaia scade. Invers, capacitile suprautilizate duc la creterea inflaiei.
n ultimile dou-trei decenii, aproape toate bncile centrale din lume au trecut la intirea
implicit sau explicit a inflaiei. Acest regim al politicii monetare se sprijin pe modelul
neokeynesist. n forma standard a acestui model, relaia dintre inflaie i gradul de utilizare a
capacitilor de producie este dat de ecuaia ofertei, care are forma:

(1),
unde
este inflaia la momentul t;
} este inflaia anticipat la momentul t pentru

perioada urmtoare;
) este gap-ul produciei;
este logaritmul produciei la

momentul t;
este logaritmul nivelului potenial al produciei; este un factor de discount

al timpului; ( ); este coeficientul asociat cu aversiunea la risc a gospodriilor;
este elasticitatea salariilor n raport cu oferta de munc;
( )( ), unde
este ponderea firmelor care las preurile neschimbate n perioada dat.
Ecuaia cererii n modelul neokeynesist are forma:

} (2),
unde
este rata dobnzii de politic monetar,
este rata natural a dobnzii n termeni

reali i
} este gap-ul anticipat al produciei. Ecuaiile (1) i (2) mpreun cu o

specificare a evoluiei ratei dobnzii de politic monetar i cu legea de micare a variabilelor
exogene descriu echilibrul dinamic al economiei.
Ecuaia (1) este curba Phillips in forma neokeynesist standard. Ea arat c inflaia depinde de
anticipaiile inflaioniste i de distana dintre producie i producia potenial. Aceast
dependen nseamn c stabilizarea inflaiei este suficient pentru a stabiliza producia.
Filozofia care sprijin ecuaia este aceea c distorsiunile care opereaz n economie nu
interfereaz cu ocurile. Astfel, dac politica monetar ine inflaia la int, producia
potenial i producia actual se mic n acelai sens i cu aceeai magnitudine, adic are loc
divina coinciden, aa cum au numit-o Blanchard i Gal (2007). Cnd inflaia este
5

stabilizat, inflaia este egal cu anticipaiile inflaioniste. n ecuaia (1), dac
} , atunci i
) .
nainte de a i se aduce modificri, aceast filozofie a dat suport teoretic concepiei c banca
central trebuie s asigure stabilitatea preurilor, fr a se preocupa de consecinele asupra
produciei, a crei stabilizare este automat asigurat de stabilizarea preurilor.
Totui, acest automatism nu a fost validat de practic, ceea ce l-a fcut pe Tobin (1998) s
spun c [c]orolarul dedicrii politicii monetare stabilizrii preurilor este indiferena oficial
fa de rezultatele macroeconomice reale ocupare i omaj, produsul intern real i creterea
sa (...). Adic, rezultatele reale devin o preocupare a politicilor numai dup ce bncile centrale
i, de asemenea, guvernele devin ncreztoare c inta stabilitii preurilor este atins. n mai
puin de un deceniu de la aceast observaie, mai muli economiti neokeynesiti aveau s
modifice ecuaia pentru a permite un compromis ntre inflaie i producie.
Criza actual a artat c probleme cum ar fi nivelul adecvat al inflaiei, determinanii ei i
legtura inflaiei cu rata omajului sunt departe de a fi suficient nelese. De exemplu, n ciuda
faptului c dup criz, n rile dezvoltate deflaia a fost rapid nlturat, iar inflaia a revenit
la niveluri joase i relativ stabile, nivelul produciei este nc semnificativ sub potenial.
n seciunea a doua artm c, n anumite circumstane, un nivel prea mic i stabil al inflaiei
poate reduce semnificativ efectele stabilizatoare ale politicii monetare, chiar i n condiiile n
care ecuaia (1) ar ine. Aceasta pune n discuie legitimitatea inflaiei joase i stabile. n
seciunea a treia prezentm unele mbuntiri aduse curbei Phillips neokeynesiste i
implicaiile lor referitoare la ct de ferm trebuie s rspund politica monetar la o deviere a
inflaiei de la int. n seciunea a patra utilizm aceste mbuntiri pentru a arta de ce
criticile la adresa politicii monetare n Romnia au fost n cea mai mare parte nefondate. n
seciunea a cincea, analizm contribuiile ocurilor de politic monetar i ale ocurilor n
preferinele consumatorilor, n marjele productorilor i n prima de risc a rii la deviaia
inlaiei de la int n Romnia. n seciunea a asea, discutm principalele moduri n care piaa
muncii a fost introdus n modelul neokeynesist i explorm potenialul lor de a explica de ce
n rile dezvoltate criza a crescut omajul la un nivel nalt i persistent, n timp ce inflaia s-a
stabilizat la niveluri pozitive, doar cu puin mai mici comparativ cu cele de dinainte de criz.
Seciunea a aptea prezint concluziile.

2. Inflaia joas i efectele ei

S-au adus multe argumente n favoarea unui nivel al inflaiei de doi la sut. Printre aceste
argumente este i acela c inflaia de doi la sut este suficient de nalt pentru a rmne
pozitiv atunci cnd ciclul afacerilor ar muta producia sub potenial. Nu s-a vorbit ns
niciodat de un nivel al inflaiei care s permit politicii monetare s rmn operaional
chiar i atunci cnd nivelul produciei scade semnificativ sub nivelul potenial
1
. Fa de
adoptarea unui astfel de criteriu pot exista rezerve, la care m voi referi la sfritul acestei

1
O inflaie joas i stabil poate fi optim chiar dac exist un grad mare de variabilitate a activitii reale indus
de ocuri n preferine i tehnologie dac acestea afecteaz nivelul actual i nivelul potenial al produciei n
egal msur.
6

seciuni, dar pentru moment s admitem c el este acceptabil. Un nivel sczut al inflaiei nu
satisface acest criteriu. Pot fi dou situaii n care, din cauza inflaiei joase i stabile, politicile
macroeconomice nu pot fi folosite la stabilizarea economiei. Prima apare n perioada de boom
economic. A doua apare n urma unei crize.
2.1 Inflaia joas i stabil i boom-ul economic

Prima situaie apare atunci cnd, n mod concomitent, ciclul de afaceri i ciclul financiar sunt
n faza ascendent. Dac banca central intete o inflaie joas i stabil n mod eficient,
atunci anticipaiile inflaioniste sunt egale cu inta de inflaie.
Alturi de ali factori, inflaia joas i stabil contribuie la lungirea orizonturilor decizionale
ale agenilor economici i stimuleaz consumul i investiiile productive. Dac i capitalurile
sunt libere, atunci se poate ca aceast creterea economic s fie nalt, finanat prin
acumularea de datorii. Pe lng producie, inflaia joas i stabil stimuleaz ns i apariia
automulumirii i a euforiei. Treptat, n aceste condiii, att volumul ct i rata de cretere a
produciei poteniale se mut la niveluri nalte. S admitem c pentru ceva timp, nivelul i
ritmul produciei actuale sunt egale cu nivelul i, respectiv, ritmul produciei poteniale.
Avnd n vedere ecuaia (1), din perspectiva bncii centrale nu exist nicio problem cu
scenariul descris mai sus. Stabilitatea inflaiei este asigurat. n cadrul standard al modelului
neokeynesist, politica monetar minimizeaz deviaia inflaiei de la int i a produciei de la
nivelul de echilibru cu condiiile exprimate de ecuaiile (1) i (2). Din acest proces rezult
panta optim pentru inflaie i gap-ul de producie {
}. Dat fiind aceast pant optim,

se utilizeaz ecuaia cererii a modelului (2) pentru a deriva politica ratei dobnzii care sprijin
panta respectiv.
Att timp ct banca central asigur stabilitatea la niveluri joase a inflaiei, stabilitatea
produciei este asigurat n mod automat. Totui, n procesul unei creteri economice nalte,
finanate cu credit, se acumuleaz dezechilibre: cresc preurile proprietilor peste potenial
2
,
se produc dezechilibre ntre activele n moned naional i pasivele n valut ale firmelor i
gospodriilor i crete ponderea debitorilor ale cror datorii sunt finanate cu active inflatate.
Cu alte cuvinte, dei producia este la potenial i inflaia este stabil, poate exista o bul
financiar, care ulterior se va sparge
3
.

2
n scenariul nostru inflaia este stabil, dei are loc o cretere a preurilor activelor. n general, ideea care
predomin este aceea c un boom al preurilor activelor este asociat cu o cretere a preurilor. Un boom poate fi
asociat ns i cu o scdere a preurilor. Aceast asociere poate s apr, de exemplu, dac exist anticipaii
referitoare la efectele pozitive ale unor inovaii tehnologice (Christiano et al., 2008). n acest caz, preurile ar
putea scdea, iar o cretere a ratei dobzii va genera o amplificare a fluctuaiilor.
3
n abordarea neokeynesist standard, o cretere n preul activelor reflect un oc n cerere. Creterea costurilor
care rezult de la o astfel de micare a preurilor activelor va genera o cretere a inflaiei. n viziunea
neokeynesist, dac politica monetar este foarte agresiv n combaterea inflaiei, atunci va contribui i la
stabilizarea preurilor activelor, astfel nct nu este necesar includerea acestora ex ante n funcia de reacie.
Totui, n opinia mea, canalul de transmisie implicat n acest raionament nu funcioneaz. n procesul creterii
preurilor activelor, dac boom-ul este finanat cu datorie, piaa determin creterea ratelor dobnzii. Acesta nu
duce la stoparea boom-ului deoarece randamentele la activele finanate cu datorie cresc mai repede dect ratele
dobnzilor, astfel c procesul continu. Nici creterea dobnzilor de ctre autoritatea monetar nu va avea mai
7

Teoretic, autoritatea fiscal ar putea s doreasc s reduc deficitul bugetar, fie pentru a
menine datoria public n limite sustenabile, fie pentru a tempera creterea deficitului
contului curent. S presupunem c reducerea deficitului bugetar are loc prin reducerea
cheltuielilor publice (echivalent, din perspectiva strict a reducerii deficitului, ar putea fi
crescute impozitele). n consecin, producia se va muta sub nivelul potenial
4
, la care se afla
nainte de contracia fiscal. n aceste condiii, conform ecuaiei (1), dac inflaia anticipat i
inta erau egale (aa cum ar trebui s fie cnd intirea inflaiei este riguroas), atunci i inflaia
va cobor sub int.
Astfel, contracia fiscal intr n contradicie cu faptul c banca central intete inflaia.
Indiferent de nivelul inflaiei intite, banca central va reduce rata dobnzii pentru a se asigura
c inta de inflaie va fi atins i credibilitatea sa nu va avea de suferit. Politica fiscal ar putea
tempera creterea economic temporar, dac banca central ar menine rata dobnzii
nemodificat. Dar, dac banca central menine rata dobnzii, inflaia scade sub int. n acest
caz, apar dou consecine nedorite. Prima, politica nu mai este optim, adic cresc pierderile
pentru societate. A doua, dac inflaia este joas, anticipaiile inflaioniste ar putea deveni
deflaioniste.
Reducerea ratei dobnzii va stimula creterea valorii bondurilor (titlurilor de valoare) i,
astfel, a consumului i a investiiilor private. n plus, moneda s-ar putea deprecia, stimulnd
creterea exporturilor i a cheltuielilor, inclusiv a celor necesare pentru producerea mai multor
bunuri pentru export. n final, creterea cheltuielilor private determinat de reducerea ratei
dobnzii de ctre banca central va compensa reducerea cheltuielilor publice iniiat de
autoritatea fiscal. n acest fel, cererea agregat rmne nemodificat, demonstrnd c
politicile macroeconomice nu pot tempera un boom financiar.
2.2 Inflaia joas i stabil i criza

A doua situaie n care politica monetar devine impotent/ineficient apare n urma unei crize
precedate de o perioad ndelungat de inflaie joas i stabil. La finalul perioadei ascendente
a ciclului de afaceri, pe care politicile macroeconomice nu-l pot tempera, magnitudinea
dezechilibrelor este mare. Preul activelor, n special preul proprietilor i creditul au crescut
deja foarte mult, dei, n timp real producia este (sau apare a fi
5
) la nivelul potenial. Cnd,
mai trziu, piaa corecteaz aceste dezechilibre, producia efectiv scade abrupt. Ceteris
paribus, n termenii ecuaiei (1), aceasta nseamn c i diferena dintre inflaia curent i cea
intit (anticipat) scade n mod corespunztor, iar gap-ul produciei devine negativ.

mult succes (Croitoru, 2013a). Oricum, banca central se va feri s fie agresiv, pentru a evita s fie acuzat de
prbuirea produciei.
4
Deviaia produciei de la trend nu va fi mare dect dac ajustarea deficitului fiscal va fi mare. Magnitudinea
relativ mare a ajustrii este cerut de faptul c ponderea cheltuielilor publice n PIB este relativ mic, comparativ
cu cea a cheltuielilor private, care depete, n general, 70-80 la sut din PIB.
5
Dup cum se tie, datele n timp real referitoare la gap-ul produciei au o putere informativ relativ redus
pentru prognoza inflaiei (Orphanides i van Norden, 2002, 2005; Marcelino i Musso, 2010). Chiar dac
producia ar fi peste potenial, politica monetar, aa cum am artat n nota de subsol 3, nu are cum s tempereze
boom-ul prin creterea ratei dobnzii.
8

Totui, n practic, datorit faptului c nu este numai joas, ci este i stabil, inflaia scade
relativ puin. Comportamentele productorilor i consumatorilor referitoare la ritmul de
schimbare a preurilor nu se modific uor. Stabilitatea relativ a comportamentelor se
reflect n persistena inflaiei, adic n dependena ei de propriile niveluri anterioare. Aceasta
nseamn c dup o eventual deflaie, rata inflaiei se stabilizeaz n apropierea nivelului
anticipat de societate n perioada ndelungat de dinainte de criz. S admitem c n urma
crizei, producia scade att de mult nct rata real a dobnzii care ar putea readuce producia
la nivelul potenial ar fi de minus 4 la sut. Rata real a dobnzii este egal cu rata nominal a
dobnzii minus rata inflaiei anticipate. Dac inflaia este de 2 la sut, rata dobnzii de politic
monetar ar trebui s fie de minus 2 la sut pentru a se atinge rata real de minus 4 la sut.
Totui, banca central nu poate stabili rata dobnzii nominale la un nivel negativ dect pentru
o scurt perioad de timp
6
. Rata nominal va fi redus n fapt la zero. n aceste condiii, rata
real a dobnzii este egal cu minus inflaia, adic cu minus 2 la sut. Astfel, rata real a
dobnzii rmne de dou ori mai mare dect este necesar pentru restabilirea echilibrului dintre
cerere i ofert la nivelul potenial. Cu alte cuvinte, economia este n capcana lichiditii.
Cnd este n capcana lichiditii, din perspectiva mijloacelor convenionale, politica monetar
este impotent, iar aceast impoten apare datorit nivelului redus al inflaiei. Dac, n
exemplul nostru, rata inflaiei ar fi fost de 4 la sut, rata real a dobnzii ar fi fost egal cu
minus 4 la sut i producia ar fi crescut pentru a reatinge nivelul potenial.
Dup reducerea ratei dobnzii la zero, rolul stabilizrii revine politicii fiscale. Totui, aceasta
poate fi indisponibil, de exemplu pentru c guvernele sunt prea ndatorate i piaa nu
finaneaz creterea deficitelor care ar putea stimula cererea agregat. n aceast situaie,
banca central este nevoit s adopte msuri neconvenionale de stimulare a cererii. n
practic, msurile preferate de bncile centrale din rile dezvoltate imediat dup izbucnirea
crizei din 2008 au fost cumprarea de active financiare de la sectorul privat sau de la sectorul
public i/sau ghidajul prospectiv (forward guidance).
O inflaie moderat ar putea s ajute la evitarea capcanei lichiditii. Din acest motiv, muli
economiti (Akerloff, 1996, Blanchard et al., 2010, Croitoru, 2013a) au propus intirea unei
inflaii moderate i stabile, nu neaprat a unei inflaii joase i stabile. O inflaie moderat ar da
mai mult spaiu politicii monetare pentru contracararea scderii cererii agregate, evitnd
scderea produciei.
Ali economiti (Minsky, 1986, 1993; Hall, 2013b) consider c aceast soluie este mai puin
bun dect politicile de meninere a robusteii sistemului financiar, inclusiv prin creterea
cerinelor de capital. Totui, dac sursa ultim a ciclului de afaceri i a ciclului finaciar o
constituie euforia i panica, o criz financiar este inevitabil, indiferent ct de robust poate
prea sistemul financiar la un moment dat (Croitoru, 2013b).

6
Ratele dobnzii nu pot fi dect uor negative i doar pe perioade scurte de timp. Aceast constrngere deriv
din faptul c odat ce rata nominal a dobnzii este negativ, investitorilor li se deschide opiunea de a pstra
cash, n loc de a investi. Este uor de dedus implicaia negativ pentru creterea economic.
9

3. Inflaia, ocurile pe partea ofertei i friciunile financiare

n ecuaia (1) sunt ncriptate cteva mesaje pentru politica monetar: (i) revenirea inflaiei la
int ar trebui s fie relativ rapid. Din moment ce stabilizarea inflaiei este echivalent cu
stabilizarea produciei, rezult i consecina nerealist c o deviere orict de mare a inflaiei
de la int din cauza cererii ar putea fi corectat printr-o cretere orict de mare a ratei
dobnzii, fr a destabiliza producia. Aa cum vom discuta mai jos, aceasta este consecina
ignorrii faptului c pe piaa bunurilor i pe piaa muncii competiia nu este perfect; (ii)
devierile de la inta de inflaie cauzate de ocurile pe partea ofertei nu trebuie acceptate.
Justificarea pentru aceast respingere este aceea c ocurile pe partea ofertei, cum ar fi, de
exemplu, creterea preului petrolului sau o schimbare n tehnologie, sunt prezente numai prin
efectele lor asupra produciei naturale (
) i, implicit, asupra gap-ului produciei; (iii)

politica monetar nu are motiv s fie preocupat de variaiile preurilor activelor (inclusiv ale
cursului de schimb) asupra competitivitii economiei sau asupra stabilitii financiare.
Aceasta este consecina presupunerii c o politic monetar care combate ferm o inflaie
cresctoare va avea ca efect i temperararea preurilor activelor (vezi i nota de subsol 3).

3.1 Practica conducerii politicii monetare

n practic, bancherii centrali au constatat existena unui compromis ntre stabilizarea inflaiei
i stabilizarea produciei. Ei nu au negat filozofia inflaiei joase i stabile, implicit n ecuaia
(1)
7
, dar au fost foarte flexibili n aplicarea ei. n practic, n multe cazuri, s-au nregistrat
urmtoarele caracteristici (Blanchard et. al, 2010): (i) revenirea la inta de inflaie a fost lin,
nu abrupt; (ii) deviaiile de la int au fost acceptate, att timp ct nu au alterat anticipaiile
referitoare la inflaie; n sfrit, (iii) n multe economii emergente, rata dobnzii a fost stabilit
inndu-se cont de implicaiile asupra cursului de schimb sau asupra bilanurilor.
Optica derivat din ecuaia (1) a fost predominant n teorie pn pe la mijlocul primului
deceniu al acestui secol. ncepnd de atunci, o serie de economiti preocupai de studierea
rigiditilor reale din economie
8
au adus n prim plan rigiditile pe piaa muncii i implicaiile
lor pentru producie, ocupare i inflaie. Blanchard i Gali (2008) au artat c ocurile pe
partea ofertei interfereaz cu rigiditile, astfel c stabilizarea inflaiei la niveluri joase poate
duce la fluctuaii ample i persistente ale produciei i omajului. Relativ recent, unele studii
s-au concentrat pe introducerea friciunilor financiare n extinderea modelului neokeynesist i,
n consecin, a ecuaiei (1) (Woodford i Crdia, 2009; Goodfriend i McCallum, 2007).
Toate aceste dezvoltri nu au fcut dect s introduc mai mult realism n teorie, astfel
apropiind teoria de practic.
Rezultatele acestor cercetri nu au fost general acceptate i au avut nevoie de timp pentru a
deveni un rezultat cunoscut i neles de un numr mare de analiti. Ca atare, cercetrile
respective nu au constituit imediat un suport teoretic pentru practicile menionate. n

7
Dup ce Phelps i Friedman au artat, n 1968, c stabilitatea inflaiei necesit meninerea produciei la nivelul
potenial a devenit clar c inflaia stabil este necesar. De asemenea, din regula Friedman (1969) deriv
necesitatea unei inflaii joase.
8
De exemplu, Gertler i Trigari (2004), Shimer (2005), Hall (2005), Krause i Lubik (2007), Christoffel i
Linzert (2005), Faia (2006), Blanchard i Gali ((2005), 2007) i Blanchard i Gali (2008).
10

consecin, bncile centrale care au aderat la aceste practici, evitnd intirea strict a
inflaiei au fost n continuare criticate o bun perioad dup apariia acestor studii. De fapt,
doar cteva bnci centrale din rile dezvoltate i-au permis s nu fie preocupate i de
problemele de competitivitate sau de stabilitatea financiar.
M voi referi pe scurt la aceste progrese aprute n urma cercetrilor recente pentru a putea
interpreta, n lumina lor, modificrile n rata inflaiei i n rata dobnzii n Romnia.

3.2 Distorsiunile economice i inflaia joas i stabil

Politica monetar caut s maximizeze utilitatea gospodriei reprezentative. Ea face acest
lucru date fiind restriciile care rezult din volumul limitat al resurselor, calitatea instituiilor
i imperfeciunea informaiilor.
n mod concret, politica monetar caut s elimine sau s minimizeze orice distorsiune din
economie. Pe piaa bunurilor i pe piaa muncii exist cel puin patru tipuri de distorsiuni
9
.
Referirea la ele s-a fcut utiliznd diferite denumiri. n acest studiu vom folosi aceleai
denumiri folosite de Gal (2002). Vom discuta aceste distorsiuni pentru a arta c filozofia
inflaiei joase i stabile este o consecin (i) a obiectivului de eliminare sau reducere
concomitent a distorsiunilor precum i (ii) a ipotezei c distorsiunile nu interacioneaz cu
ocurile pe partea ofertei.
Una din distorsiuni, i anume distorsiunea monetar, deriv din nevoia de a transforma avuia
n consum. Pentru ca aceast transformare s aib loc ori de cte ori dorete, proprietarul
avuiei are nevoie s dein un activ monetar nepurttor de dobnd. Din acest motiv,
distorsiunea se numete i distorsiunea de tranzacie. Costul de oportunitate al deinerii
private a acestui activ este mai mare ca zero (de exemplu, cash-ul ar putea fi plasat cu
dobnd, fcndu-l productiv), n timp ce costul social al producerii lui este egal cu zero.
Aceast distorsiune ar putea fi eliminat de punerea ratei dobnzii la zero (regula Friedman),
ceea ce ar egaliza costul privat i costul social, dar aceasta ar nsemna, n general, o scdere
stabil a nivelului preurilor (Gal, 2002).
O alt distorsiune este distorsiunea static a marjei, generat de concurena monopolist pe
piaa bunurilor. Firmele aflate n competiie monopolist au puterea s stabileasc preurile
prin adugarea unei marje peste costul marginal. Marja reflect puterea de pia a firmelor.
Distorsiunea este reflectat prin faptul c preul este mai mare dect costul marginal cu o
marj medie. Pentru simplitate, s presupunem c singurul factor de producie este munca.
Astfel, la echilibru, din cauza concurenei monopoliste, diferena dintre produsul marginal
real al muncii i costul marginal real al muncii nu este egal cu zero, ca n cazul concurenei
perfecte, ci este egal cu marja pozitiv. Marja pozitiv face ca, la echilibru, producia s fie
mai mic dect cea care ar prevala dac concurena ar fi perfect.

9
Vezi, de exemplu, Blanchard i Kiyotaki (1987), care au artat importana acestor distorsiuni pentru influena
pe care cererea agregat o are asupra ofertei. Pentru o descriere detaliat i n acelai timp formalizat a acestor
distorsiuni vezi Khan, King i Wolman (2003). Rolul distorsiunilor n formularea politicii monetare este discutat
n Woodford (2003) i Gal (2002).
11

Alte dou distorsiuni economice apar din cauz c preurile nu sunt perfect flexibile, adic nu
sunt stabilite optimal la fiecare moment de timp. Dac preurile ar fi stabilite optimal de ctre
toate firmele n toate perioadele, marja ar fi aceeai pentru toate firmele i constant n timp.
Dar, din diverse cauze
10
, nu toi productorii de bunuri finale reuesc s modifice preurile n
acelai timp, atunci cnd se confrunt cu ocuri. Datorit rigiditii preurilor, politica
monetar poate influena variabilele reale pe termen scurt.
Lipsa sincronizrii n ajustarea preurilor are dou efecte: (i) deviaz marjele (pe care firmele
aflate n competiie monopolist
11
le adaug la costurile marginale) de la nivelul lor calculat
n lipsa friciunilor (adic n prezena preurilor total flexibile)
12
. Aceasta este distorsiunea
dinamic a marjei. Ea produce fluctuaii ineficiente ale gap-ului de producie; (ii) introduce
diferene ntre preurile acelorai produse, genernd o distorsiune a preurilor relative.
Diferenele respective produc ineficiene n alocarea resurselor. Astfel, cu preuri diferite
pentru aceleai produse, i cantitile produse i consumate din acele produse sunt diferite de
cele care ar fi produse i consumate dac preurile nu ar fi difereniate. Deoarece produsele
respective intr n preferina consumatorilor cu o rat marginal de substituie de unu-la-unu,
consumatorii vor alege acele produse care au preurile mai mici. Astfel, preurile relative sunt
distorsionate, ducnd la ineficien n alocarea resurselor, care se reflect n nivelul
produciei
13
.
Pentru a atenua efectele distorsiunilor menionate, politica monetar trebuie s inteasc o
inflaie joas i stabil. Pentru a nelege mai uor de ce inflaia trebuie s fie att joas ct i
stabil, este util s amintim c primele dou distorsiuni nu depind de rigiditile nominale, dar
c, mpreun cu acestea, definesc trei niveluri relevante ale produciei.
Primul este nivelul eficient, adic acel nivel al produciei care s-ar obine dac economia ar
funciona cu concuren perfect i nu ar exista rigiditi nominale. Notm logaritmul acestui
nivel cu
. Al doilea nivel al produciei (nivelul natural) este acel nivel care se obine dac
concurena dintre firme este monopolist, dar nu exist rigiditi nominale. Logaritmul acestui

10
Aceste cauze includ: imperfeciunea informaiilor (Friedman, 1968, Lucas, 1973, Mankiw i Reis, 2001);
costul ajustrii preurilor (Rotemberg, 1982, Mankiw, 1985), abaterile de la raionalitate (Akerlof i Yellen,
1985).
11
n limba romn cuvntul monopol, care este la rdcina cuvntului monopolist, arat un drept exclusiv sau un
privilegiu al cuiva (om, organizaie, stat). n economie exist diverse forme de competiie imperfect, depinznd
de structura pieei. Dac sunt doar civa vnztori, competiia este oligopolist. Dac sunt muli vnztori i un
singur cumprtor, vorbim de competiie de monopson. Dac sunt muli vnztori i puini comprtori, vorbim
de competiie de oligopson. n sfrit, dac exist muli vnztori care vnd produse difereniate n mod clar,
manualele romneti prefer termenul de competiie monopolistic. Totui, cuvntul monopolistic nu exist
n limba romn. n text am utilizat noiunea de competiie monopolist pentru a m referi la ultimul tip de
competiie imperfect pe care l-am menionat.
12
Distorsiunea marjei statice (ca de altfel i distorsiunea monetar) exist independent de flexibilitatea preurilor.
Cu alte cuvinte, o marj exist chiar i n cazul restrictiv n care preurile ar fi total flexibile (Gal, 2002).
13
Woodford a artat c stabilizarea gap-ului de producie nu ar trebui s fie singura preocupare a politicii
macroeconomice, din moment ce dispersia produciei ntre sectoare conteaz. n fapt, n cadrul de baz nu
exist niciun motiv ca producia de echilibru s fie diferit pentru diferite bunuri, cu excepia cazului cnd este
rezultatul distorsiunilor n preurile relative care rezult din rigiditatea preurilor ntr-un mediu unde nivelul
general al preurilor este instabil. Acesta este canalul prin care stabilitatea preurilor devine relevant pentru
bunstare, ntr-un mod care merge dincolo de simpla asociere ntre inflaie i nivelul gap-ului produciei
agregate (Woodford, 2003, p 396).
12

nivel este notat cu
n ecuaia (1). n sfrit, exist nivelul produciei efective, al crui

logaritm este notat n ecuaia (1) cu
, care este efectiv obinut dat fiind competiia

monopolist, rigiditile nominale i politica monetar.
Nevoia de a inti o inflaie joas deriv din cerinele contradictorii care apar pentru politica
monetar de la distorsiunea monetar i distorsiunea static a marjei. Eliminarea distorsiunii
monetare nseamn o scdere stabil n nivelul preurilor (deflaie). Dar aceasta intr n
contradicie cu inflaia relativ nalt necesar pentru eliminarea distorsiunii statice a marjei.
Eliminarea distorsiunii statice a marjei nseamn ca, dat fiind competiia monopolist i
rigiditile nominale n stabilirea preurilor, politica monetar s stimuleze cererea agregat
astfel nct producia s fie la nivelul eficient al produciei. n condiiile menionate, atingerea
acestui nivel mut inflaia la niveluri relativ nalte.
Pentru a clarifica cum atingerea nivelului eficient al produciei ar muta inflaia la niveluri
nalte, s admitem c nivelul de echilibru al produciei logaritmate (
) cu cererea este dat de

forma generic
14
:

(3),
unde
reprezint productivitatea muncii,
reprezint cheltuielile guvernamentale,
( ) ( ) ,
( ) i ( ) ( ) ; este rata constant la

care este subvenionat ocuparea; este marja pe care o adaug firmele monopoliste la costul
marginal.
Nivelul lui
are urmtoarele caracteristici: (i) n absena rigiditilor nominale este

independent de politica monetar; (ii) n prezena rigiditilor nominale, are forma
(ca i n ecuaia (3)); i (iii) n absena impozitrii distorsionante a

ocuprii ( ) i a competiiei monopoliste ( ) i cu preuri total flexibile, nivelul de
echilibru are forma
.
Cu aceste definiii, dac presupunem , diferena dintre nivelul eficient al produciei i
nivelul natural este egal cu:
( )
15
. Avnd n vedere distorsiunile
menionate i ipoteza c ele nu interacioneaz cu ocurile, aceast distan este o constant,
chiar dac att nivelul eficient ct i nivelul natural al produciei se modific n timp.
Utiliznd acest gap pozitiv n ecuaia (1) obinem un nivel pozitiv al inflaiei:
( ) . Pentru valorile uzual acceptate ale acestor parametri n literatura de specialitate,
( ), inflaia trimestrial furnizat de aceast relaie

14
Pentru derivarea acestei forme de a scrie producia vezi Gali (2002).
15
Pentru a vedea ce valori individuale au nivelul eficient i nivelul natural, putem normaliza producia la 1, astfel
c nivelul eficient al produciei este
, iar nivelul natural este
( ) , care este o valoare

mai mic dect zero. Raportul dintre valorile nelogaritmate n baza natural ale nivelului eficient al produciei
(
) i nivelul natural al produciei (
) este egal cu
()
, care este mai mare ca 1. n Woodford (2003, pp.
393-394) se arat c dac inflaia este zero i distorsiunile generate de impozite i de puterea de pia a firmelor
nu ar exista, atunci nivelul la starea stabil al produciei ar fi egal cu nivelul eficient al produciei.
13

este de 86 la sut. Cu aceti parametri, nivelul eficient al produciei este cu aproximativ 5 la
sut mai mare dect nivelul natural al produciei.
Dat fiind inflaia mare care s-ar nate pentru a compensa diferena dintre cele dou niveluri
ale produciei, politica monetar nu intete la compensarea efectelor marjei (puterii de pia a
firmelor), ci doar la meninerea ei constant
16
. n concluzie, pentru a diminua concomitent att
efectele distorsiunii monetare ct i pe cele derivate din puterea de pia a firmelor, inflaia
trebuie s fie relativ joas.
Nevoia de a inti o inflaie stabil deriv din ipoteza c ocurile nu modific raportul n care
se afl nivelul eficient al produciei i nivelul natural al acesteia. Corespunztor acestor
niveluri, exist dou gap-uri de producie. Primul gap este dat de diferena dintre producia
efectiv i nivelul eficient al produciei, adic (
). Acesta este gap-ul relevant pentru

bunstare (Woodford 2003). Al doile-a gap este dat de diferena dintre producia efectiv i
nivelul natural, adic (
), care este gap-ul produciei din ecuaia (1).

Dac ocurile pe partea ofertei nu interacioneaz cu distorsiunile i las distana constant,
atunci stabilizarea gap-ului (
) asigur automat i stabilizarea gap-ului relevant pentru

bunstare (
) (Blanchard i Gal, 2007). Ecuaia (1) este construit pe aceste ipoteze.

Din aceast cauz, stabilizarea inflaiei nseamn i stabilizarea automat a gap-ului relevant
pentru producie. Aceast concomiten a fost numit de Blanchard i Gal divina
coinciden. n acest caz particular, politica monetar este interesat n pstrarea unei inflaii
constante. Numai n acest caz, stabilizarea inflaiei de ctre politica monetar nseamn i
stabilizarea produciei.

3.3 ocurile pe partea ofertei, ocurile n preferine i friciunile financiare

Chiar admind, n dauna realismului, c ocurile nu interacioneaz cu distorsiunile, politica
inflaiei joase i stabile este discutabil n virtutea argumentelor aduse n seciunea 2. Totui,
ipoteza c ocurile nu interfereaz cu distorsiunile nu este realist. Dac ocurile
interacioneaz cu distorsiunile amintite, stabilizarea inflaiei nu mai asigur stabilizarea
produciei. n acest caz, un compromis ntre stabilizarea inflaiei i stabilizarea produciei
poate fi optim.
Pentru a evidenia compromisul dintre stabilizarea inflaiei i stabilizarea distanei dintre
producie i nivelul ei eficient, n teorie exist cel puin dou abordri. Una dintre acestea
presupune c exist variaii exogene stohastice n raportul dintre cele dou gap-uri (). n
consecin, ecuaia (1) devine:

16
n acest caz se face ipoteza convenabil c distorsiunea marjei statice i/sau distorsiunea monetar sunt foarte
mici, putnd fi neglijate. De asemenea, se poate face ipoteza c politica fiscal subvenioneaz locuri de munc
ntr-o proporie care compenseaz pe deplin pierderea locurile de munc asociat cu nivelul mai sczut al
produciei implicat de existena marjei (puterii de pia a firmelor). n consecin, politica monetar i asum
rolul de a compensa doar distorsiunile n alocarea resurselor generat de rigiditile nominale. Politica monetar
poate s menin producia la nivelul de echilibru care s-ar obine dac preurile ar fi total flexibile i firmele se
afl n competiie monopolist. n acest caz, ceteris paribus, gap-ul de producie este egal cu zero i inflaia este
egal cu inflaia anticipat.
14

(4),
unde reprezint un oc de tip distorsiune, cum ar fi variaii n ratele de impozitare,
schimbri n marjele dorite de firme sau ocuri pe partea ofertei (cost push shocks), acestea
din urm explicnd modificrile diferite ale costului marginal comparativ cu gap-ul de
producie
17
. (pentru astfel de ocuri vezi de exempu Clarida, Gal i Gertler, 2001; Smets i
Wouters, 2003; Benigno and Woodford, 2003 i 2005; Woodford i Crdia, 2009).
n ecuaia (4), stabilizarea inflaiei nu mai este echivalent cu stabilizarea gap-ului de
producie. ocurile de tipul menionat nu afecteaz distana dintre nivelul curent al produciei
i nivelul natural al acesteia, dar afecteaz distana dintre nivelul natural i nivelul eficient al
produciei. Astfel, compromisul se realizeaz ntre stabilizarea inflaiei i stabilizarea gap-ului
relevant pentru bunstare (
). Dac, aa cum este normal, se intete la stabilizarea

acestui din urm gap i dac ocurile afecteaz distana dintre nivelul eficient i nivelul
natural al produciei, atunci rezult c stabilizarea gap-ului dintre producie i nivelul su
natural nu este de dorit.
A doua cale pentru a evidenia compromisul dintre stabilizarea inflaiei i stabilizarea
produciei const n introducerea unor rspunsuri (fluctuaii) endogene ale gap-ului de
producie la ocuri. De exemplu, Erceg, Henderson i Levin (2000), au permis att rigiditatea
preurilor ct i pe cea a salariilor (conform unor procese Calvo), astfel c ecuaia inflaiei are
forma generic:

} (
)

(
) (5),
unde i
sunt salariul curent i respectiv nivelul su de echilibru. Compromisul apare

dac salariul difer de nivelul de echilibru, i nu pe baze ad hoc, ca n ecuaia (4).
Compromisul depinde de parametrii care definesc preferinele i tehnologia, dar si de o serie
de disturbane exogene. Ecuaia (5), n contextul modelului pe baza cruia a fost derivat,
spune c nici stabilizarea inflaiei preurilor nici stabilizarea inflaiei salariilor nu este posibil
concomitent cu stabilizarea gap-ului de producie.
Inflaia preurilor a fost aleas ca int pentru stabilizare deoarece rigiditile nominale n
stabilirea preurilor sunt, n general, mai mari dect cele care caracterizeaz stabilirea
salariilor. Totui, dac rigiditile afecteaz n aceeai msur att preurile ct i salariile,
atunci intirea unui indice compozit al inflaiei, calculat pe baza preurilor i a salariilor,
permite politicii monetare s compenseze mai bine distorsiunile menionate n seciunea 3.2.

17
n forma sa pur, ecuaia Phillips de tip neokeynesist conine gap-ul costurilor marginale. Derivarea ecuaiei
(1) se face pornind de la proporionalitatea care exist ntre gap-ul de producie i costurile marginale reale.
Aceast proporionalitate nu este valabil n orice condiii, ci rezult n urma adoptrii unor ipoteze specifice.
Aceste ipoteze privesc egalitatea dintre consum i venituri, modul n care firmele stabilesc preurile, flexibilitatea
total a salariilor etc. Ecuaia (1) spune c variaiile n inflaie sunt asociate cu variaiile deviaiilor produciei de
la nivelul natural (acel nivel obinut dac preurile sunt pe deplin flexibile). Deviaiile gap-lui de producie sunt,
la rndul lor, reflectarea proporional a deviaiilor costurilor marginale de la starea stabil. Eecul firmelor de a
stabili preurile n mod optimal produce variaii ale gap-ului costurilor marginale, care se transfer n variaiile
gap-ului de producie numai dac ipotezele care au dus la stabilirea proporionalitii sunt confirmate. Dac
aceste ipoteze nu sunt regsite n practic, ocul ar trebui s le compenseze (pentru detalii vezi Gal, 2002).
15

Blanchard i Gal (2007) au artat c dac se calculeaz o inflaie compozit, apariia
compromisului din ecuaia (5) dispare. Cu alte cuvinte, stabilizarea unei medii ponderate a
inflaiei preurilor i a inflaiei salariilor este echivalent cu stabilizarea distanei dintre nivelul
produciei curente i nivelul eficient al acesteia (
), fr ca distana dintre nivelul

eficient i cel natural al produciei s se modifice. Din nou, ipoteza care lucreaz este aceea
c stabilizarea inflaiei este echivalent cu stabilizarea produciei.
Pentru a introduce n mod endogen fluctuaii ale produciei, Blanchard i Gal (2007, 2008) au
plecat de la faptul c salariile reale rspund n mic msur i cu ntrziere la modificarea
condiiilor de pe piaa muncii. Pentru a reflecta acest fapt, ei au introdus rigiditi n formarea
salariilor reale n cadrul standard al modelului neokeynesist. Procednd astfel, ei au putut
arta c distana dintre nivelul natural i cel eficient al produciei depinde de ocuri pe partea
ofertei i de ocuri n preferine. Ecuaia ofertei pe care au obinut-o are o form care poate fi
simplificat astfel:

( ) (6).
Ecuaia (6) arat c inflaia depinde de inflaia anticipat, de distana dintre nivelul produciei
i nivelul ei eficient i de un numr de lag-uri ale acestora, precum i de ocuri pe partea
ofertei () i de ocuri n preferine (). Cu alte cuvinte, stabilizarea gap-ului

poate nsemna o reducere sau o cretere a gap-ului relevant pentru bunstare (
)
depinznd de ocurile pe partea ofertei i/sau de ocurile n preferine, instabilitate ce nu este
de dorit.
n lumina celor discutate pn aici, din perspectiva ecuaiei (6), sunt disponibile 3 opiuni
pentru politica monetar n ceea ce privete producia. Prima, dac nivelul eficient al
produciei este mai mare dect nivelul natural i distana dintre cele dou niveluri este
constant, atunci creterea produciei peste nivelul natural nu este dezirabil deoarece inflaia
se accelereaz pn la 86 la sut atunci cnd
. Politica monetar nu poate rmne

consistent n timp i meninerea unei anumite distane fa de nivelul eficient al produciei
este necesar pentru bunstare. A doua opiune: dac distana
rmne
constant n timp, atunci rata de cretere a produciei trebuie pstrat la nivelul potenial i
politica monetar va rmne consistent n timp. A treia opiune const n devierea de la rata
potenial de cretere dac distorsiunile se schimb sau dac ocurile interacioneaz cu
distorsiunile.
n sfrit, relativ recent, cadrul neokeynesist standard a fost extins pentru a cuprinde i
sectorul bancar (Goodfriend i McCallum, 2007) sau friciunile financiare (Crdia i
Woodford, 2009). n ambele modele, motivaia introducerii sectorului financiar este obinerea
unei mai bune identificri a modificrii ratei dobnzii de politic monetar necesar pentru a
stabiliza inflaia ca rspuns la un oc de productivitate n funcia de producie.
Dei cele dou modele par s mearg n aceeai direcie, filozofiile care le ghideaz sunt
substanial diferite. Goodfriend i McCallum (2007) au dorit s demonstreze intuiia c
introducerea banilor n modelul neokeynesist ar permite o mai bun identificare a nivelului
16

adecvat al ratei dobnzii. Totui, rezultatele obinute de ei nu au confirmat c modificrile
venite de la introducerea sectorului bancar (i, implicit a banilor) n model
18
erau
semnificative (vezi i McCallum, 1999 i 2012).
Crdia i Woodford (2009), de asemenea, au introdus dou rate ale dobnzii n model pentru a
evidenia dou tipuri diferite de gospodrii, cu preferine temporale diferite pentru consum.
Proporia cele dou tipuri de gospodrii este constant. Totui, n fiecare perioad, apare un
eveniment care rezult n extragerea unui nou tip de gospodrie, care este fie o gospodrie
care ia bani cu mprumut (
) cu probabilitatea
, fie una care economisete (
), cu
probabilitatea
, astfel c
au valori n intervalul (0, 1) i
.
Intermedierea este exclusiv n interiorul sectorului gospodriilor, i nu ntre gospodrii i
firme
19
.
Friciunile financiare au fost introduse ca i distorsiuni de tipul cost-push, ca n prima
categorie la care ne-am referit. n acest caz, ecuaia Phillips neokeynesist are forma:

} (
(7),
cu .
n ecuaia (7),
este rata natural a produciei. Ea este o combinaie liniar de cheltuielile

guvernamentale pentru bunul compozit, productivitatea muncii, numrul de ore lucrate i de
consumul privat. Toi aceti factori sunt surse de variaii ale nivelului de echilibru al
produciei obinute cu preuri flexibile. n absena ocurilor pe partea ofertei i a friciunilor
financiare, aceste surse de variaie sunt comune i nivelului eficient al produciei.
n ecuaia (7), termenul
este introdus n mod exogen (fiind un oc de tip cost push) i

depinde de deviaia puterii de pia a angajailor de la trend i de variaia tipului de agent (
).
Aceti ultimi doi factori (care n model se afl ntr-o combinaie liniar) sunt surse de variaie
a nivelului de echilibru al produciei n condiii de preuri flexibile care nu corespund niciunei
schimbri n nivelul eficient al produciei. Cei doi factori luai mpreun sunt un motiv
puternic pentru ca politica monetar s fac un compromis ntre inflaie i producie.
Ecuaia (7) se deosebete de ecuaia din varianta standard a modelului neokeynesist prin
termenii care sunt proporionali cu
. Simbolul
reprezint o msur a ineficienei

intermedierii finaciare. Ea este egal cu zero dac nu exist friciuni financiare
20
. Simbolul

desemneaz costul intermedierii, adic costul real al resurselor asociate cu extinderea
creditelor (loan origination) i monitorizarea lor. Termenii care conin aceste dou
simboluri n ecuaia (7) reprezint, mpreun, efectele cost-push ale friciunilor asociate cu
creditul. Cnd aceste costuri sunt egale cu zero, ecuaia Phillips are aceeai form ca cea din
modelul neokeynesist standard (ecuaia (1)).

18
n modelul lor sunt utilizate cinci rate ale dobnzii, spre deosebire de o singur rat a dobnzii (cea de politic
monetar) existent n cadrul standard al modelului neokeynesist.
19
Pentru implicaiile unei astfel de intermedieri asupra nivelului produciei vezi comentariile lui Blanchard la
articolul lui Crdia i Woodford (2009), n Crdia i Woodford (2009, pp. 63-65).
20
La rndul su, ineficiena intermedierii financiare are forma:
, unde
este abaterea
spread-ului dintre rata dobnzii la depozite i rata dobnzii la credite de la trend.
17

Concluzia prezentat de Crdia i Woodford (2009) este urmtoarea: criteriul int optim
rmne exact la fel ca n modelul neokeynesist de baz: banca central ar trebui s caute s
stabilizeze o medie ponderat a ratei inflaiei i a gap-ului de producie (sau alternativ, s
stabilizeze un nivel al preurilor ajustat cu gap-ul produciei).
Ecuaiile (4)-(7) arat c existena ocurilor pe partea ofertei, sau introducerea sectorului
financiar n model, ofer o baz solid pentru un compromis ntre stabilizarea inflaiei i
stabilizarea produciei. Existena ocurilor pe partea ofertei sau, de exemplu, a ocurilor n
preferine, transform inflaia temporar i parial ntr-o variabil aproape liber, adic o scot
de sub influena politicii monetare.
Aceasta nu nseamn, de exemplu, c politica monetar nu ar putea anihila, prin creterea ratei
dobnzii, ocul care duce la creterea inflaiei peste int. Dar, n acest caz, stabilizarea
inflaiei ar putea rezulta n scderea produciei la un nivel care ar reduce bunstarea
gospodriilor. Aa cum vom discuta n ultima seciune, inflaia devine o variabil aproape
liber i dac cererea se prbuete i politica monetar trebuie s reduc rata dobnzii la
zero.
4. Inflaia i ocurile pe partea ofertei i a cererii n Romnia

n Romnia, unii critici ai politicii monetare nu au fondat analizele lor lund n considerare
toate mbuntirile aduse cadrului standard al modelului neokeynesist. Cele mai multe critici
la adresa politicii monetare s-au bazat mai ales pe ecuaia (1). n esen, au fost dou tipuri de
comentarii: unul n care politica monetar era criticat pentru creterea prea lent (prea puin
i/sau prea trziu) a ratelor dobnzii comparativ cu inflaia. n mare msur, acesta a fost
cazul nainte de criz.
Al doilea tip de comentarii a constat n criticarea reducerii prea lente a ratei dobnzii, i nu a
inut cont c unele scderi accentuate ale inflaiei se datorau unor ocuri favorabile pe partea
ofertei. Acesta a fost cazul dup ce criza internaional a lovit i Romnia ncepnd cu a doua
parte a anului 2008.
4.1 Precizri metodologice

Pentru a vedea n ce msur aceste critici au fost fondate este necesar s explicm abaterea
inflaiei de la int n funcie de factorii care au determinat-o i de reacia politicii monetare la
evoluia acelor factori. n acest scop, vom proceda n doi pai. Mai nti ne vom referi la
factorii de influen descrii n principiu n ecuaiile (1) i (4)-(6). Practic, vom explica
abaterea inflaiei de la int printr-o serie de factori pe baza modelului elaborat n cadrul
Direciei Modelare i Prognoze Macroeconomice din cadrul BNR.
n acest model, inflaia este explicat distinct pentru inflaia de baz (core-3) i pentru inflaia
non-core-3. Determinanii din model ai inflaiei core-3, care sunt influenabili prin politica
monetar, sunt gap-ul produciei i anticipaiile inflaioniste (factori cuprini n ecuaia (1));
ali determinani ai inflaiei core-3, care nu sunt influenabili direct de politica monetar, sunt
18

persistena inflaiei (
) i inflaia importat
21
(
), precum i ali factori, care nu sunt

cuprini n (1). Inflaia core-3 neexplicat de factorii menionai este atribuit unui singur
factor (), astfel c ecuaia are forma generic
22
:

}] (
(8).
Inflaia non-core-3 reprezint contribuia medie ponderat a ratelor inflaiei produselor cu
preuri volatile (legume, fructe, ou, combustibili) sau cu preuri influenate eventual de alte
politici (tutun, acool, produse cu preuri administrate). Inflaia non-core-3 se adaug la inflaia
core-3 dat de ecuaia (8), pentru a obine inflaia IPC.
Apoi vom privi deviaia inflaiei de la int ca sum a unui numr de ocuri, pe baza
descompunerii inflaiei realizat de Copaciu (2012) pe baza modelului lui Christiano et al.
(2011). Vom vedea n ce msur nsei ocurile de politica monetar au determinat devierea
inflaiei de la in.
Perioada pentru care facem analiza este 2003-2013. n aceast perioad, au existat cteva
particulariti ale inflaiei, care merit menionate nainte de a analiza factorii care au deviat
inflaia de la int: (i) contribuia inflaiei core 3 (inflaiei de baz) la inflaia anual IPC a fost
n general mai mic dect cea a inflaiei non-core-3, cu excepia perioadelor 2003 T4-2004
T2, 2008 T2-2009 T1, 2009 T3 i 2012 T2 ; (ii) contribuia anticipaiilor inflaioniste la
inflaia anual a avut o traiectorie descresctoare.
Nu numai inflaia, dar i deviaia ei de la int este explicat cel mai frecvent de determinanii
non-core-3 ai inflaiei. Pe baza modelului construit i utilizat de BNR pentru intirea inflaiei,
contribuiile la deviaia inflaiei de la int n perioada 2003-2013 sunt prezentate n Fig. 1 - 4
(Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial de prognoz
al BNR). n Fig.1 i Fig. 3 datele sunt calculate pe baza inflaiei anuale IPC
23
. n Fig. 2 i Fig.
4, contribuiile sunt prezentate pe baza inflaiei trimestriale IPC (anualizate)
24
.

21
Politica monetar are o influen indirect n msura n care intervine pe piaa valutar.
22
n ecuaia (8) inflaia anticipat se refer la inflaia total, adic la suma dintre inflaia core-3 i inflaia non-
core-3. n ecuaiile (1) - (2) i (4) - (7) aceast problem este rezolvat la nivel teoretic deoarece inflaia se refer
la deflatorul produciei finale.
23
Aceast inflaie este inflaia cumulat nregistrat n ultimele patru trimestre (rat anual). n aceste condiii,
valoarea dintr-un trimestru a oricrui factor determinant va fi persistent, la nivelul ratei anuale a indicatorului
(implicit i a ratei anuale a inflaiei) timp de patru trimestre. De exemplu, dac un factor are o cretere neobinuit
de mare n trimestrul al doilea al unui an, atunci creterea respectiv va influena rata anual a inflaiei timp de
patru trimestre consecutive, adic pn n primul trimestru al anului viitor. ncepnd din trimestrul al doilea al
anului viitor, creterea respectiv nu va mai fi reflectat n rata anual a indicatorului. De exemplu, inflaia
anual din 2007 T2 este rezultatul evoluiei inflaiei din intervalul 2006 T3-2007 T2. Dac ne referim la inflaia
anual din 2007 T3, atunci aceasta nseamn inflaia anual din perioada 2006 T4-2007 T3 .a.m.d.
24
Aceast descompunere arat mai bine modificarea influenelor exercitate de diveri factori n trimestrul n care
au aprut. De exemplu, ceteris paribus, dac gap-ul produciei are o valoare anual pozitiv i n cretere cteva
trimestre la rnd, aceasta nu nseamn c n mod necesar n fiecare trimestru gap-ul produciei a crescut,
contribuind la creterea inflaiei.
19

Pentru a face prezentarea mai simpl, vom distinge dou perioade relevante ale abaterii
inflaiei de la int: cea de dinainte de izbucnirea crizei n Romnia, i cea de dup criz.

4.2 Critica politicii monetare nainte de izbucnirea crizei

Pentru a fi precii, considerm c economia Romniei a suferit efectele crizei mondiale
ncepnd din 2008 T4, cnd economia a intrat n recesiune
25
pentru prima dat dup anul
2000. n consecin, n aceast seciune ne vom concentra pe analiza deviaiilor inflaiei de la
int din perioada care se ncheie n 2008 T3.
Aceast perioad are cinci schimbri relevante pentru analiza politicii monetare. Prima
schimbare a constat n nchiderea gap-ului negativ al produciei rezultat n urma recesiunii din

25
Aici aderm la convenia fr baz n teoria economic conform creia dou trimestre consecutive de cretere
economic negativ definesc nceputul unei recesiuni.
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Fig. 1: Contribuia inflaiei core-3 i a inflaiei non-core-3 la
deviaia inflaiei anuale IPC de la int n perioada 2002 T2-
2013 T3 (puncte procentuale)
Contribuia inflaiei non-core-3 Contribuia inflaiei core-3 Deviaia de la int
Sursa: Modelul de analiz i prognoz pe termen mediu,
elaborat n cadrul Direciei de Modelare din BNR
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Fig. 2: Contribuia inflaiei core-3 i a inflaiei non-core-3 la
deviaia inflaiei IPC trimestriale anualizate de la int n
perioada 2002 T2-2013 T3 (puncte procentuale)
Contribuia inflaiei non-core-3 Contribuia inflaiei core-3 Deviaia de la int
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Fig. 3: Contribuii la deviaia inflaiei anuale IPC de la int
(pp)
Persistena Gap PIB Preuri de import
TVA Anticipaii inflaioniste Ali factori
Administrate LFO Combustibili
Tutun, tigari, alcool Deviaia de la int (%) GRRDPM
Rata real a dobnzii
de politic monetar
(RRDPM)
Gap-ul ratei reale a dobnzii
de politic monetar (GRRDPM)
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Fig. 4: Istoria contribuiilor la deviaia de la int a inflaiei
trimestriale anualizate IPC (pp)
Persistena Gap PIB Preuri de import
TVA Anticipaii inflaioniste Ali factori
Administrate LFO Combustibili
Tutun, tigari, alcool Deviaia de la int (%)
20

perioada 1997-1999. Gap-ul produciei calculat pe baze trimestriale a redevenit pozitiv n
2004 T3, indicnd reapariia excesului de cerere n economia Romniei.
A doua schimbare a constat n faptul c, de la permanent negativ anterior, contribuia
inflaiei core-3 la deviaia inflaiei anuale IPC de la int a devenit pozitiv pentru prima dat
n 2007 T4, i a rmas n acest teritoriu pn n 2009 T3
26
. Comparativ, contribuia inflaiei
non-core-3 a fost permanent pozitiv, cu exceptia trimestrului trei din anul 2012.
A treia schimbare a fost introducerea intirii inflaiei ca strategie de politic monetar
ncepnd cu august 2005. n condiiile unei relaii instabile ntre agregatele monetare i rata
inflaiei, banca central a renunat la intirea bazei monetare i a trecut la utilizarea ratei
dobnzii pentru atingerea intei de inflaie. Una dintre consecinele acestei schimbri este
aceea c rata dobnzii nu mai este rezultanta stabilirii stocului de bani, ci este rspunsul
politicii monetare la deviaia inflaiei de la int.
A patra schimbare const n creterea intrrilor de capital n Romnia la niveluri relativ nalte,
ncepnd cu 2005. Intrrile de capitaluri au atins niveluri foarte mari ncepnd din a doua
parte a lui 2006. Din aceast perspectiv, trecerea la intirea inflaiei a fost o necesitate.
Intrrile mari de capitaluri nu ar fi permis ca inflaia s mai poat fi controlat prin intirea
bazei monetare, care se afla de fapt sub controlul investitorilor strini. Intrrile de capitaluri
(bani) au crescut mult n 2006 i 2007, producnd un exces constant de lichiditate, pe care
politica monetar a trebuit s-l sterilizeze.
n sfrit, n 2007 T3 (9 august) a izbucnit criza financiar internaional, ale cror efecte au
dus la intrarea economiei romneti n recesiune n 2008 T4.
n concluzie, nainte de intrarea economiei romneti n recesiune avem cinci perioade
distincte: perioada de pn la nchiderea gap-ului de producie (n 2003 T1-2004 T2);
perioada urmtoare pn la adoptarea intirii inflaiei (2004 T3-2005 T3); perioada urmtoare,
dup adoptarea intirii inflaiei i pn la amplificarea la cote foarte nalte a intrrilor de
capital (2005 T4-2006 T3); perioada cu intrri foarte mari de capital i pn la izbucnirea
crizei mondiale (2006 T4-2007 T3); n sfrit, perioada de dup izbucnirea crizei mondiale i
pn la intrarea economiei romneti n recesiune (2007 T4-2008 T3), n care contribuia
inflaiei core-3 la deviaia inflaiei IPC de la int a fost pentru prima dat pozitiv i relativ
nalt.
Deviaia inflaiei de la int i contribuiile inflaiei non-core-3 i ale inflaiei core-3 n cele
cinci perioade sunt prezentate n Anexa 1. Pentru a menine analiza noastr simpl i
concentrat pe critica conform creia ratele dobnzilor au crescut insuficient sau cu ntrziere
nainte de intrarea economiei n recesiune, ne vom referi doar la perioada care a urmat
adoptrii intirii inflaiei.

26
n perioada 2003 T1-2007 T3, deviaia inflaiei anuale IPC de la int a fost n medie de aproximativ +0,56
pp. Descompunerea acestei deviaii pe cele dou tipuri de inflaie arat astfel: contibuia medie a inflaiei anuale
core-3 a fost de -1,01 pp, iar contribuia inflaiei non-core a fost de aproximativ +1,57 pp. Aceast tendin se
vede clar i n cadrul inflaiei trimestriale IPC anualizate.

21

Tabelul 1: Contribuiile inflaiei non-core-3 i ale inflaiei core-3 la deviaia inflaiei anuale
IPC de la int i rata dobnzii reale de politic monetar
Perioada Deviaia
inflaiei
anuale
IPC (pp)
Contribui
a inflaiei
non-core-
3 (pp)
Contribui
a inflaiei
core-3
(pp)
Rata real
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
efective a
dobnzii
de politic
monetar
(%)
(1) (2) (3) (4) (5) (6) (7)
2005 T4-2007 T3 0,25
(0,62)
1,58
(1,59)
-1,33
(-0,97)
1,78
(7,97)
-0,57 -1,24
2007 T4-2008 T3 3,95
(4,45)
2,39
(2,22)
1,56
(2,23)
3,20
(8,96)
0,69 0,42
Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial de prognoz al BNR i calcule
ale autorului. Not: n coloanele (2)-(4), n parantez sunt prezentate datele pentru inflaia IPC trimestrial
(anualizat). n coloana (5) n paranteze sunt prezentate ratele nominale medii ale dobnzii de politic monetar.
Datele din Tabelul 1 sugereaz c politica monetar a reacionat n direcia corect atunci
cnd deviaia inflaiei IPC de la int a devenit puternic pozitiv n perioada 2007 T4-2008
T3, comparativ cu cea din intervalul 2005 T4-2007 T3. Creterea deviaiei ratei inflaiei
anuale IPC de la int a fost cauzat n proporie de 78 la sut de creterea ampl, de la
negativ la pozitiv, a contribuiei inflaiei core-3, component pe care politica monetar o
influeneaz, inclusiv prin modificarea ratei dobnzii.
Politica monetar a reacionat prin creterea ratei medii a dobnzii nominale cu 1 pp n
perioada 2007 T4-2008 T3 comparativ cu perioada 2005 T4-2007 T3, ceea ce a rezultat n
creterea ratei medii reale a dobnzii cu 1,43 pp (rata efectiv
27
a dobnzii medii nominale a
crescut cu 1,4 pp, ceea ce a rezultat n creterea ratei reale efective a dobnzii cu 1,83 pp). Ea
nu a ncercat s corecteze deviaiile de la int cauzate de evoluiile preurilor la produsele cu
preuri volatile sau cu preuri administrate, ori cauzate de efectul direct produs de ocurile pe
partea ofertei.
n Tabelul 2 sunt prezentate contribuiile trimestriale ale inflaiei non-core-3 i ale inflaiei
core-3 la deviaia inflaiei anuale IPC i ratele reale ale dobnzii de politic monetar. Se
poate vedea c sporirea contribuiei inflaiei anuale core-3 a fost relativ rapid, contribuia
atingnd maximul istoric de 2,18 pp n 2008 T2 (vezi i Fig. 1). n acelai timp, contribuia
inflaiei non-core-3 a sczut, astfel c cele dou contribuii la deviaia inflaiei anuale IPC au
ajuns s fie egale pentru prima dat n istoria inflaiei n 2008 T3. n aceste condiii, unii
analiti au criticat politica monetar pentru c nu a temperat inflaia core-3 i mai mult, pentru
a nu avea influene propagate la nivelul inflaiei anuale IPC.
Tabelul 2: Contribuiile trimestriale la deviaia inflaiei IPC de la int (puncte procentuale)

27
Acea rat calculat ca medie a ratelor dobnzii la operaiunile bncii centrale ponderate cu volumele efective
ale operaiunilor.
22

Perioada Deviaia
inflaiei
anuale IPC
(pp)
Contribuia
inflaiei
non-core-3
(pp)
Contribuia
inflaiei
core-3 (pp)
Rata real
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
efective a
dobnzii
de politic
monetar
(%)
(1) (2) (3) (4) (5) (6) (7)
2007 T2 -0.62
(0,22)
0,55
(1,81)
-1,17
(-1,59)
2,75
(7,33)
0,30 0,16
2007 T3 0,77
(2,40)
1,38
(2,64)
-0,61
(-0,24)
2,14
(6,48)
-0,38 -0,66
2007 T4 2,65
(8,14)
2,13
(3,40)
0,52
(4,74)
1,70
(7,33)
-0,85 -0,99
2008 T1 4,05
(5,89)
2,68
(2,98)
1,37
(2,91)
3,04
(8,68)
0,50 0,35
2008 T2 4,75
(2,95)
2,56
(1,39)
2,18
(1,56)
3,97
(9,67)
1,46 1,16
2008 T3 4,34
(0,82)
2,17
(1,12)
2,17
(-0,30)
4,12
(10,17)
1,66 1,15
(anualizat). n coloana (5), n paranteze sunt prezentate ratele medii ale dobnzii nominale n trimestrul
respectiv.
O astfel de critic este ndreptit n cazul n care cile de a reduce inflaia de baz exist, dar
nu sunt folosite de politica monetar. Pentru a vedea n ce msur acestea au existat, trebuie
rspuns la ntrebarea: ar fi putut o cretere mai mare a ratei dobnzii reduce contribuia a trei
determinani importani ai inflaiei i anume anticipaiile inflaioniste, gap-ul produciei i
inflaia importat la creterea contribuiei inflaiei core-3 la deviaia inflaiei IPC?
Pentru a rspunde la aceast ntrebare vom proceda n doi pai. Mai nti vom examina
contribuiile celor trei determinani pentru a vedea (i) dac au fost relativ nalte sau
cresctoare ctre niveluri relativ nalte i (ii) dac raporturile dintre ele ar fi permis o cretere
mai mare a ratei dobnzii. Referitor la acest din urm aspect, de exemplu, dac contribuia
gap-ului de producie ar fi foarte mic sau zero i contribuia anticipaiilor inflaioniste ar fi
relativ nalt, o cretere relativ mare a ratei dobnzii nu ar fi posibil fr a afecta producia i
ocuparea. n schimb, dac, de exemplu, toate cele trei componente ar avea contribuii pozitive
relativ mari, o cretere relativ nalt a ratei dobnzii este necesar pentru a reduce inflaia.
Dac n aceast din urm situaie, autoritatea monetar nu ar majora rata dobnzii ea ar genera
critici aparent corecte, deoarece n cadrul modelului neokeynesist, o cretere a ratei dobnzii
ar tempera inflaia.
Totui, n practic, pot exista anumite condiii speciale, astfel nct, o cretere a ratei dobnzii
nu numai c nu poate duce la reducerea inflaiei, dar o poate chiar alimenta. Astfel, n pasul al
doilea vom verifica dac o astfel de situaie a existat n Romnia, dnd un fundament solid
politicii monetare practicate cu ceva timp nainte de intrarea economiei n recesiune.
23

4.2.1 Analiza contribuiilor celor trei determinani: o critic aparent corect a politicii
ratei dobnzii de politic monetar n perioada 2007 T4-2008 T3
n Fig. 3 i Fig. 4 se vede c, ntr-adevr, n perioada 2007 T4-2008 T3, principalii factori
care au dus la creterea contribuiei inflaiei core-3 la deviaia inflaiei IPC de la int fa de
perioada 2005 T4-2007 T3 au fost gap-ul de producie, anticipaiile inflaioniste i inflaia
importat. Contribuiile acestor trei factori sunt prezentate n Tabelul 3.
Inflaia importat, care este influenat de preurile strine i de rata de schimb a leului, a avut
cea mai mare ajustare a contribuiei la deviaia inflaiei de la int: 0,99 pp pentru inflaia
anual i 1,31 pp pentru inflaia trimestrial anualizat. De la influene trimestriale negative,
care au redus inflaia ntre 2003 i 2007, contribuiile inflaiei importate au devenit pozitive
ncepnd cu 2007 T4, mai ales din cauza deprecierii leului induse de creterea aversiunii la
risc odat cu declanarea crizei financiare mondiale. Pentru aceast component, rspunsul la
ntrebarea de mai sus este pozitiv: o cretere a ratei dobnzii ar fi avut ca efect temperarea
deprecierii leului i reducerea contribuiei inflaiei importate la deviaia inflaiei IPC de la
int. Ceteris paribus, mrimea contribuiei acestui factor i sensul n care s-a micat ar fi
justificat o cretere mai mare sau mai timpurie a ratei dobnzii.
Tabelul 3: Contribuiile anticipaiilor inflaioniste, ale gap-ului de producie i ale inflaiei
importate la deviaia inflaiei anuale IPC de la int nainte de intrarea economiei romneti n
recesiune
Perioada Deviaia
inflaiei anuale
IPC (pp)
Contribuia
anticipaiilor
inflaioniste
(pp)
Contribuia
gap-ului de
producie (pp)
Contribuia
inflaiei
importate (pp)
(1) (2) (3) (4) (5)
2005 T4-2007 T3 0,25
(0,62)
0,56
(0,56)
0,73
(0,92)
-0,49
(-0,47)
2007 T4-2008 T3 3,95
(4,45)
0,56
(0,82)
1,37
(1,56)
0,50
(0,84)
2008 T3 4,34
(0,82)
0,79
(0,92)
1,56
(1,62)
0,83
(-0,29)
ale autorului. Not: n coloanele (2)-(5), n paranteze sunt prezentate datele pentru inflaia IPC trimestrial
(anualizat)
Spre deosebire de inflaia importat, contribuiile anticipaiilor inflaioniste i ale gap-ului de
producie la deviaia inflaiei anuale IPC au fost permanent pozitive n perioada 2004 T4-2008
T3
28
.
Contribuiile pozitive ale anticipaiilor inflaioniste la deviaia inflaiei anuale IPC au oscilat
ntre aproximativ 0,21 pp i 0,99 pp n perioada 2005 T4-2008 T3. n aceast perioad inta de
inflaie a fost diminuat de cteva ori. n aceste condiii, ajustarea contribuiei anticipaiilor
inflaioniste n perioada 2007 T4-2008 T3 fa de perioada 2005 T4-2007 T3 a fost relativ

28
Contribuia anticipaiilor inflaioniste a fost permanent pozitiv n ntreaga perioad 2003 T4-2013 T3.
24

redus: zero pentru inflaia anual i 0,26 pp pentru inflaia trimestrial anualizat. Aa cum
se poate vedea n Anexa 2, ajustrile au fost mai mari n unele subperioade.
Pe baze anuale, contribuia medie a anticipaiilor inflaioniste la deviaia inflaiei de la int
ascunde ns o cretere gradual a contribuiilor de la 0,34 pp n 2007 T4 la 0,79 pp n 2008
T3. Pe baze trimestriale, contribuia anticipaiilor inflaioniste a fost relativ nalt i stabil n
perioada 2007 T4-2008 T3, oscilnd n intervalul restrns 0,77-0,92 pp.
Ca i n cazul ratei de schimb, care influeneaz inflaia importat, rspunsul la ntrebarea de
mai sus este, din nou, pozitiv: o cretere mai mare a ratei dobnzii ar fi redus anticipaiile
inflaioniste n msura n care anticipaiile conin i o component raional
29
. Mrimea
contribuiei pozitive a anticipaiilor inflaioniste i sensul n care acestea s-au micat justifica,
ceteris paribus, o cretere mai mare i mai timpurie a ratei dobnzii de politic monetar.
n sfrit, contribuia gap-ului produciei
30
s-a accentuat odat ce comportamentele agenilor
economici au devenit euforice. Contribuia medie a gap-ului produciei la deviaia inflaiei
IPC de la int a crescut n perioada 2007 T4-2008 T3 fa de perioad anterioar cu 0,64 pp,
att pentru inflaia anual ct i pentru cea trimestrial anualizat. Contribuia gap-ului de
producie la deviaia inflaiei anuale IPC de la int a devenit pozitiv n 2004 T4, ajungnd s
explice jumtate din totalul contribuiilor pozitive la sfritul anului 2008
31
. Mai mult, n
perioada 2008 T1-2009 T1, niciun factor individual al inflaiei core-3 sau non-core-3 nu
producea mai mult inflaie n exces dect gap-ul de producie (excesul de cerere).
Analizate pe baza influenelor trimestriale, concluziile nu se schimb semnificativ
32
. Pe baze
trimestriale, n perioada 2008 T1-2008 T3, contribuia gap-ului de producie la deviaia
inflaiei de la int nu a fost n mod constant cea mai mare, comparativ de exemplu cu
contribuia preurilor administrate sau cu cea a combustibililor. n schimb, gap-ul de producie

29
Datele din Tabelul 1 arat c dei contribuia inflaiei core 3 la deviaia inflaiei IPC de la int s-a accelerat
masiv n intervalul 2007 T4-2008 T3, n termeni absolui, contribuia acestei componente a rmas mult inferioar
celei provenind de la componentele non-core-3. n aceste condiii, spaiul de manevr al unei majorri a ratei
dobnzii ar fi fost serios limitat de realitatea ineficienei controlrii prin msuri de politic monetar a
componentelor non-core-3 ale inflaiei IPC.
30
Determinarea gap-ului produciei implic evaluarea nivelului potenial al PIB. Fiind o variabil neobservabil,
determinarea potenialului se realizeaz prin aplicarea unor tehnici statistice, relevana valorilor obinute fiind
ulterior coroborat i, eventual, corectat, n raport cu alte evidene de ordin empiric. Aprecierile din text au la
baz cea mai recent estimare a nivelului potenial al PIB (corespunztoare Raportului asupra inflaiei publicat n
luna noiembrie 2013), ce are n vedere ntregul set de efecte induse de criza financiar global asupra PIB intern
i extern. Cu toate acestea, la momentul adoptrii deciziilor de politic monetar analizate n aceast lucrare,
informaiile aflate la dispoziia decidentului erau cele evaluate n timp real (de exemplu, gap-ul PIB estimat n
timp real n perioada premergtoare declanrii crizei avea valori pozitive semnificativ mai mici comparativ cu
cele evaluate ex-post, ulterior relevrii la nivel global a lipsei de sustenabilitate pe termen mediu a evoluiilor
din perioada pre-2008).
31
n 2006 T1, contribuia pozitiv a gap-ului de producie devenise deja semnificativ, explicnd 21 la sut din
totalul contribuiilor pozitive ale factorilor inflaiei core-3 i inflaiei non-core-3 la deviaia inflaiei. Contribuia
gap-ului de producie a crescut treptat pentru a ajunge la aproape 50 la sut din totalul contribuiilor pozitive n
2008 T4.
32
ncepnd cu 2006 T1, contribuia trimestrial anualizat a gap-ului de producie la deviaia inflaiei de la int
a fost relativ mare: ntre 0,67 pp i 1,15 pp n perioada 2006 T1-2007 T4. n anul 2008, contribuiile trimestriale
au fost ntre 1,23 pp i 1,65 pp n fiecare trimestru.
25

a fost singurul factor care a contribuit pozitiv cu mai mult de 1 pp la deviaia inflaiei de la
int n fiecare trimestru n perioada 2006 T4-2008 T3.
Avnd n vedere contribuiile pozitive relativ mari ale celor trei factori la deviaia inflaiei IPC
de la int, criticile la adresa politicii monetare a acelei perioade par ndreptite. Creterea
ratei dobnzii de politic monetar de la 6,5 la sut n 2007 T3 la 10,17 la sut n 2008 T3
(rata efectiv a dobnzii a crescut de la 6,2 la sut n 2007 T3, la 9,66 la sut n 2008 T3) pare
s fi fost insuficient n raport cu nevoia de a reduce gap-ul produciei. De altfel, aceast
concluzie pare s fie valabil pentru ntreaga perioad n care a funcionat regimul intirii
inflaiei nainte de criz. De la 7,5 la sut n 2005 T4, rata dobnzii de politic monetar a fost
crescut la 10,17 la sut n 2008 T3 (rata efectiv a dobnzii de politic monetar a crescut de
la 4,9 la sut n 2005 T4 cel mai mic nivel al ratei dobnzii nregistrat vreodat nainte de
recesiune la 9,66 la sut n 2008 T3 i la 14,2 la sut n 2008 T4, cea mai mare valoare
practicat vreodat n perioada de intire a inflaiei). n termeni reali, rata dobnzii a crescut
de la 2,14 la sut n 2007 T3 la 4,12 la sut n 2008 T3 (rata real efectiv a crescut de la 1,85
la sut n 2007 T3 la 3,61 la sut n 2008 T3 i la 7,6 la sut n 2008 T4). Cu toate acestea,
deviaia produciei de la potenial a continuat s se lrgeasc.
Pentru muli analiti, deviaia inflaiei de la int ar fi fost mai mic dac banca central ar fi
crescut mai devreme i/sau mai mult rata dobnzii. ntr-adevr, n cadrul modelului
neokeynesist, o cretere suficient de mare a ratei dobnzii ar fi putut reduce la zero deviaia
gap-ului de producie de la nivelul potenial. n cadrul strict al modelului neokeynesist,
rspunsul la ntrebarea de mai sus este pozitiv i n cazul gap-ului de producie: o cretere a
ratei dobnzii contribuie la diminuarea gap-ului de producie prin reducerea cererii. Ca i n
cazul celorlalte componente, mrimea contribuiei gap-ului de producie i sensul n care s-a
micat justificau, ceteris paribus, o cretere mai mare i/sau mai timpurie a ratei dobnzii de
politic monetar.
4.2.2 Condiiile speciale: intrrile masive de capitaluri i efectele contradictorii ale
ratelor dobnzii
Dar ar fi fost posibil, n practic, n afara modelului considerat, reducerea gap-ului de
producie la zero, prin creteri mai mari ale ratei dobnzii?
Rspunsul este negativ, deoarece panta curbei balanei de pli este pozitiv. Din acest motiv,
pe msur ce producia crete i contul curent se deterioreaz, rata dobnzii crete pentru a
atrage capitalurile care s finaneze deficitul lrgit al contului curent. n acest fel, clauza
ceteris paribus invocat atunci cnd am afirmat c rate mai mari ale dobnzii ar fi redus
inflaia importat, anticipaiile inflaioniste i gap-ul produciei, a fost nclcat cu margini
largi. n consecin, o cretere i mai mare a ratei dobnzii ar fi atras i mai multe capitaluri
care s alimenteze gap-ul inflaionist. Creterea mai abrupt a dobnzilor ar fi implicat i o
accenturare a aprecierii leului, cu implicaii dezinflaioniste. Au existat, totui, perioade n
care aprecierea leului i creterea anticipaiilor inflaioniste au coexistat (Isrescu, 2009).
n perioada 2004-2008, intrrile de capitaluri au fost mai mari ca deficitul de cont curent i
banca central a intervenit pe piaa valutar pentru a cumpra aproape 10 miliarde de dolari.
26

Aceasta nu este n mod necesar o indicaie c rata dobnzii era prea sus, ci mai degrab faptul
c intrrile de capitaluri au i ali determinani. ntre acetia, anticipaiile euforice privind
viitorul economiei, inclusiv anticiparea aderrii Romniei la Uniunea European, au jucat un
rol major. Intrrile de capitaluri au fost stimulate i de anticipaiile c leul va continua s se
aprecieze dac banca central urmeaz cu strictee intirea inflaiei. Intrrile de capital mrite
au stimulat creterea preurilor activelor (acestea din urm nefiind cuprinse n funcia de
reacie a politicii monetare).
Un element foarte important, dar neglijat de teoria dominant, a fost c randamentele
anticipate la investiiile speculative au crescut mai rapid dect ratele dobnzilor. La un
moment dat, randamentele anticipate ale investiiilor n active au devenit mult mai mari dect
ratele dobnzilor, fcnd posibil (rentabil) finanarea cu datorii (credit) a cumprrii de
active (investiii) sau a consumului. De exemplu, luarea unui credit pentru cumprarea unei
proprieti imobiliare ca form de investire devenise rentabil deoarece preurile proprietilor
respective creteau de la an la an cu mai mult dect variaia nregistrat de rata dobnzii.
Structura pe debitori a economiei romneti s-a deteriorat. A crescut ponderea debitorilor
neacoperii (care puteau finana din cash-flow-uri doar dobnda) i a celor de tip Ponzi, care
primeau credit doar pentru c preurile activelor lor creteau att de mult nct se credea c
valoarea acelor active era suficient pentru acoperirea datoriilor (aceti din urm debitori nu
puteau ns acoperi din cash-flow-uri nici mcar rata dobnzii la creditele lor). Astfel, dei
ratele dobnzilor au crescut, consumul i investiiile au continuat s creasc la rate nalte,
contribuind pozitiv la creterea economic i la gap-ul inflaionist al produciei
33
.
n acest proces, chiar i aprecierea leului a contribuit, pe baze nete, la cretere produciei peste
potenial. Pe de o parte, aprecierea leului a ieftinit importurile, fcnd ca exporturile nete s
contribuie negativ la creterea economic pe ansamblul perioadei 2003-2008. Pe de alt parte
ns, aprecierea leului a ieftinit creditul n valut relativ la cel n lei. Acesta a nceput s
creasc mai repede dect cel n lei, stimulnd consumul privat i producia dar, n acelai
timp, crend dezechilibre ntre activele n lei i pasivele n valut ale gospodriilor i firmelor.
Totui, contribuia negativ a exporturilor nete la creterea produciei nu a compensat
contribuia pozitiv a consumului i a investiiilor. Astfel, rezultatul net a fost creterea
produciei peste potenial, devierea creditului de la trend i acumularea de dezechilibre
externe. Reacia politicii monetare a fost n linie cu filozofia cuprins n ecuaia (7), care
include stabilitatea financiar ca factor distinct. Gap-ul produciei a crescut treptat, n
perioada 2006-2008 fiind componenta cu cea mai mare contribuia medie la deviaiei inflaiei
(anuale sau trimestriale) de la int (Fig.3).

33
Creterea ratelor dobnzii poate contribui la creterea inflaiei. n ecuaiile (1)-(2), i (4)-(7), gap-ul de
producie este derivat, n anumite ipoteze, din gap-ul costului marginal. n msura n care firmele se mprumut
n avans pentru a plti factorii de producie, creterea ratei dobnzii conduce la creterea gap-ului, iar acesta din
urm este un factor proporional de cretere a inflaiei.
27

4.2.3 Dilema politicii monetare nainte de criz
Aceste evoluii arat c, n perioada intrrilor masive de capitaluri, n care diferena dintre
ratele dobnzilor i randamentele activelor este negativ, politica monetar s-a confruntat cu o
dilem. Pe de o parte, conform cadrului neokeynesist, aprea ca necesar creterea ratei
dobnzii pentru a tempera inflaia, n special pe ruta ancorrii anticipaiilor inflaioniste.
De exemplu, cu un an nainte de intrarea economiei n recesiune a aprut pregnant nevoia de
a rspunde prin creteri ale ratei dobnzii la modificarea anticipaiilor. n Fig. 4 se vede c
anticipaiile inflaioniste i-au sporit contribuia la deviaia inflaiei trimestriale anualizate de
la int de la o medie de 0,24 pp n perioada 2006 T4-2007 T3, la una de 0,82 pp n perioada
2007 T4-2008 T3.
Rata dobnzii nominale de politic monetar a crescut n cele dou perioade de la o medie de
7,71 la sut la o medie de 8,96, corespunznd unor rate reale de 3 la sut i respectiv 3,2 la
sut i unor gap-uri ale acestora din urm de 0,58 la sut i 0,69 la sut. Rezult c ar fi fost
nevoie de o cretere mai mare a ratei dobnzii pentru a menine contribuiile anticipaiilor la
nivelul din perioada anterioar.
Pe de alt parte, n practic, aprea ca necesar reducerea ratei dobnzii pentru a evita
accelerarea intrrilor de capital, aflate deja la niveluri fr precedent, care mutau producia
peste potenial i alimentau anticipaiile inflaioniste
34
. De exemplu, rata dobnzii de politic
monetar era n 2008 T3 cu 2,67 pp mai mare comparativ cu nivelul din 2005 T4, n timp ce
gap-ul inflaionist trimestrial al produciei a crescut cu 7,8 pp, iar cel anual cu 8,2 pp. n
perioada 2005 T4-2008 T3, media ratei dobnzii de politic monetar a fost de 8,3 la sut
35
.
Rezult c o cretere relativ mic a ratei dobnzii s-a asociat cu creteri relativ mari ale gap-
ului inflaionist al produciei. Totui, aceast concluzie trebuie ajustat innd cont de faptul
c rata efectiv a dobnzii de politic monetar arat o cretere de 4,76 pp (de la 4,9 la sut n
2005 T4 la 9,66 la sut n 2008 T3), care se coreleaz cu aceleai modificri ale gap-ului de
producie. Chiar i cu aceast ajustare, este clar c lrgirea gap-ului era condus i de ali
factori i nu putea fi controlat prin modificarea dobnzii de politic monetar.
Confruntat cu acest dilem, banca central i-a extins gama de instrumente pe care le-a
utilizat pentru a-i atinge obiectivele privind stabilizarea preurilor i stabilitatea financiar.
ntre acestea s-au inclus limitarea ndatorrii bancare a gospodriilor, limitarea creditului ca
procent din valoarea imobilelor, creterea rezervelor obligatorii la 40 la sut, limitarea
creditelor n valut la cel mult 300 la sut din capitalul social etc. De asemena, lichiditatea a

34
Aa cum am subliniat deja, impactul asupra anticipaiilor inflaioniste ale aprecierii leului erau indecise: pe de
o parte, aprecierea stimula creditul n valut, care contribuia la creterea gap-ului inflaionist al produciei, iar pe
de alt parte, aprecierea n sine exercita influene dezinflaioniste captate n inflaia importat.
35
n perioada 2006 T4-2008 T3 (adic de la accelerarea intrrilor de capital i pn la intrarea economiei n
recesiune) fa de perioada 2005 T4-2006 T3 (adic de la adoptarea intirii inflaiei i pn la accelerarea
intrrilor de capital), gap-ul produciei a crescut de la o medie anual de 2,6 la sut (medie trimestrial de 4,1 la
sut) la una de 7,2 la sut (trimestrial 8,1 la sut). n aceleai perioade, rata dobnzii de politic monetar a
crescut de la o medie nominal de 8,22 la sut la una de 8,33 la sut, iar rata dobnzii efective a crescut de la o
medie de 7,33 la sut la una de 7,97 la sut. Gap-ul ratei reale a dobnzii de politic monetar a crescut de la o
medie de -1,71 la sut la una de 0,63 la sut, iar gap-ul ratei efective a dobnzii reale de politic monetar a
crescut de la o medie de -2,61 la sut la una de 0,27 la sut.
28

fost administrat astfel nct ratele dobnzii pe piaa interbancar s scad sub nivelul ratei
dobnzii de politic monetar n unele perioade dup adoptarea intirii inflaiei. Evoluia
acestor instrumente n perioada 2003-2008 este prezentat sintetic, dar suficient de informativ,
n Popa et al. (2009), Isrescu (2008 i 2009) i Georgescu (2011).
Astfel, conducerea politicii monetare a fost caracterizat de o combinaie ntre modificrile n
rata dobnzii i utilizarea de instrumente prudeniale i administrative. n anumite perioade,
cum a fost, de exemplu, anul 2005, pentru a descuraja intrrile de capital, politica monetar a
optat pentru soluia relaxrii etapizate a politicii ratei dobnzii menite s descurajeze
intrrile de capital volatil i pentru compensarea relativei pierderi de autonomie i de
eficacitate a acesteia prin utilizarea, n scopul frnrii procesului prea rapid de creditare, a
altor prghii aflate la dispoziia sa (...); mix-ul de msuri complementare adoptate i
implementate de BNR a fost conceput astfel nct s se imprime condiiilor monetare n sens
larg restrictivitatea necesar continurii decelerrii sustenabile a inflaiei (Popa et al., 2009,
p. 35).
Mutarea unei pri a sarcinii de a tempera cererea excesiv asupra msurilor prudeniale i
administrative a nsemnat, de facto, recunoaterea dilemei cu care se confrunta politica ratei
dobnzii i a ineficienei acestei politici n temperarea cererii atunci cnd intrrile mari de
capitaluri i anticipaiile inflaioniste coexist .
n Fig. 5 (Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial de
prognoz al BNR), sunt prezentate contribuiile factorilor la deviaia gap-ului de producie de
la zero. Aceste contribuii sunt calculate utiliznd modelul de prognoz al BNR, care, aa cum
este firesc, nu ine cont de msurile prudeniale i administrative i permite unei creteri a
ratei dobnzii s contribuie la reducerea gap-ului de producie.
Conform modelului, n perioada 2005 T3-2006 T4, contribuiile deviaiei ratei reale a
dobnzii la creterea gap-ului de producie au fost pozitive, situndu-se ntre 0,1 i 0,4 pp.
Aceasta arat c, n perioada menionat, ratele reale ale dobnzilor practicate de instituiile
bancare la depozite i credite n lei au fost mai mici dect nivelurile lor de echilibru,
contribuind astfel la creterea gap-ului de producie. Dup aceast perioad, contribuia ratelor
reale ale dobnzilor bancare la creterea gap-ului de producie a fost cvasi-nul.
n Fig. 5 se vede c principala contribuie la formarea gap-ului de producie a avut-o
persistena gap-ului, adic nivelurile sale anterioare crescnde. Contribuia persistenei n
perioada 2004 T4-2008 T4 a fost ntre 0,7 pp i 8 pp. Contribuia medie a persistenei la
formarea gap-ului a fost de 6,5 la sut n perioada 2007-2008 i de 7,4 pp n 2008, reflectnd
percepiile euforice puternic cresctoare ale agenilor economici
36
. Aceste contribuii relativ

36
n ecuaia cererii din modelul utilizat, gap-ul anticipat al produciei (adic
} din ecuaia generic (2))

nu este prezent. Cineva ar putea spune c nu persistena (adic
), ci gap-ul anticipat ar trebui s

reflecte euforia generalizat. Totui, dac avem n vedere c anticipaiile se formeaz mai ales pe baza
variabilelor realizate n trecut, i mai puin pe baza unor raionamente despre viitor, atunci euforia este reflectat
mai ales de persistena gap-ului de producie i mai puin de anticipaiile despre gap-ul viitor. n esen, o
variabil cum este
} , se obine pe baze raionale, n sensul raionalitii de tip Lucas, prezent n

modelul neokeynesist, adic presupunnd c fiecare agent implicat (gospodrii, firme, banc central) tie cu
29

mari atest c eficiena msurilor prudeniale i administrative a fost foarte sczut, msurile
respective nereuind s asigure n 2007 i 2008 nici ntrirea condiiilor monetare generale,
nici prevenirea acumulrii de vulnerabiliti externe. Percepia euforic a fost att de puternic
nct chiar i n 2009, anul prbuirii PIB, contribuia trimestrial medie a persistenei la
formarea gap-ului de producie a fost de 3,1 pp.
Pe fundalul euforiei generalizate n rndul agenilor economici privind creterile viitoare ale
preurilor activelor, salariilor, veniturilor bugetare etc., msurile prudeniale i administrative
au fost ocolite, dovedindu-se, la rndul lor, ineficiente. Astfel, gap-ul inflaionist al produciei
a continuat s creasc, reflectnd creterea puternic a veniturilor salariale, cteodat mai
puternic dect cea a productivitii muncii (de exemplu n perioada 2006-2007), creterea
masiv a creditului peste potenial i caracterul prociclic al politicii fiscale.
Fiind prociclic, politica fiscal a contribuit pozitiv la accentuarea gap-ului de producie o
lung perioad de timp. Contribuia impulsului fiscal
37
la gap-ul de producie a fost pozitiv
(ntre 0,2 i 0,7 pp) n fiecare trimestru al perioadei 2006 T1-2008 T3, cu o singur excepie
(2007 T1). Contribuia sa medie la gap-ul produciei n perioada 2007 T4-2008 T3 a fost de
0,5 pp.

Mai mult, intrrile de capitaluri tindeau s schimbe structura financiar a economiei de la una
stabil la una instabil
38
. Structura financiar se deteriora pe msur ce creterea gap-ului de
producie era nsoit de acumularea dezechilibrelor externe i de creterea inflaiei.
Nivelul ratei dobnzii de politic monetar a fost rezultatul unui compromis, dar nu ntre
stabilizarea inflaiei i stabilizarea produciei. Creterea ratei dobnzii contribuia la reducerea

precizie ce decizie va adopta fiecare dintre ceilali ageni. Astfel, gap-ul anticipat nu ar putea fi responsabil
pentru euforie, care este iraional nu numai din perspectiva menionat, dar i din perspectiva definiiei dat de
Mises iaraionalitii (Mises, 1957).
37
Impulsul fiscal reflect conduita discreionar a politicii fiscale, fiind calculat prin excluderea din deficitul
bugetar a componentei ciclice a acestuia.
38
n sensul definit de Minsky (1982, 1993).
-8
-6
-4
-2
0
2
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6
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12
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T
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T
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9

T
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T
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T
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0

T
3
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0

T
4
2
0
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T
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T
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1

T
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T
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0
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2

T
2
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0
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2

T
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2
0
1
2

T
4
2
0
1
3

T
1
2
0
1
3

T
2
2
0
1
3

T
3
Fig. 5: Contribuii la deviaia PIB trimestrial (puncte
procentuale)
Efect de avutie si bilant Deviaie curs efectiv
Persistena Deviaie RRD RON
Impulsul fiscal Credit crunch
Cererea UE efectiv Ali factori
Output Gap (% din PIB potenial)
90,5
91
91,5
92
92,5
93
93,5
94
94,5
95
-7
-2
3
8
13
2
0
0
8

T
1
2
0
0
8

T
2
2
0
0
8

T
3
2
0
0
8

T
4
2
0
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9

T
1
2
0
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9

T
2
2
0
0
9

T
3
2
0
0
9

T
4
2
0
1
0

T
1
2
0
1
0

T
2
2
0
1
0

T
3
2
0
1
0

T
4
2
0
1
1

T
1
2
0
1
1

T
2
2
0
1
1

T
3
2
0
1
1

T
4
2
0
1
2

T
1
2
0
1
2

T
2
2
0
1
2

T
3
2
0
1
2

T
4
2
0
1
3

T
1
2
0
1
3

T
2
2
0
1
3

T
3
Procente
Fig. 6: Rata inflaiei core-3, rata dobnzii de politic monetar,
rata de creere a PIB i ocuparea forei de munc
Rata anual a inflaiei core-3
Rata de cretere a PIB trimestrial
Rata anual de cretere a PIB n ultimile 4 trimestre
Rata efectiv a dobnzii de politic monetar
Gap PIB anual
Indicele ocuprii BIM
Indicele ocuprii (sc.dr.)
Rata de cretere a PIB
ultimile 4 trimestre
Rata de
cretere a PIB
trimestrial
Inflaia
core-3
Rada efectiv a dobnzii de politic monetar
Indicele ocuprii (scala din dreapta)
Gap PIB anual
Procente
30

inflaiei i, ncepnd din 2007 T3, la temperarea deprecierii monedei care ar fi afectat negativ
creterea produciei pe ruta bilanurilor entitilor ndatorate n moned strin. Compromisul
a fost ntre stabilitatea preurilor i stabilitatea financiar. O cretere i mai mare a ratei
dobnzii nu ar fi dus la reducerea dorit a inflaiei, dar ar fi fragilizat structura pe debitori a
economiei, crend potenialul pentru destabilizarea financiar a economiei. BNR nu a fcut
greeala s creasc rata dobnzii la nivelurile care ar fi accelerat i mai mult creterea
creditului n valut.

4.3 Critica politicii monetare dup apariia efectelor crizei

Pentru a face prezentarea mai uor de urmrit, vom mpri perioada de dup apariia crizei n
Romnia n dou perioade. Prima perioad este cea cuprins ntre 2008 T4, cnd producia a
sczut pe baze trimestriale pentru prima dat i 2010 T1, cnd gap-ul trimestrial al produciei
a devenit negativ. Cea de-a doua perioad este cuprins ntre 2010 T2 i 2013 T3, ultimul
trimestru pentru care exist date disponibile la data redactrii acestui studiu.

4.3.1 Rata nalt a dobnzii a temperat declinul n perioada 2008 T4-2010 T1

Rata de cretere a PIB s-a diminuat relativ accelerat n perioada 2008 T3-2010 T1 (Fig. 6;
Sursa: Calculele autorului pe baza datelor de la INS). Efectele crizei au fost resimite puternic
n 2008 T4 i 2009 T1, cnd producia a sczut, fa de trimestrul anterior cu 2 la sut i
respectiv cu 5,7 la sut. n final, producia a sczut cu 6,8 la sut n 2009 fa de 2008.
Tabelul 4: Deviaia inflaiei de la int dup intrarea economiei romneti n recesiune
Perioada Deviaia
inflaiei
anuale
IPC (pp)
Contribui
a inflaiei
non-core-
3 (pp)
Contribui
a inflaiei
core-3
(pp)
Rata real
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
efective a
dobnzii
de politic
monetar
(%)
(1) (2) (3) (4) (5) (6) (7)
2008 T4 3,02
(2,78)
1,44
(0,40)
1,58
(2,38)
3,58
(10,25)
1,16

5,14

2009 1,95
(1,14)
1,42
(1,55)
0,54
(-0,41)
3,55
(9,14)
1,24 1,96
2010 T1-2013 T3 1,87
(1,82)
2,07
(0,76)
-0,20
(-0,26)
0,97
(5,83)
-1,21 -1,45
Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial de prognoz al BNR i clacule
ale autorului. Not: n coloanele (2)-(4), n paranteze sunt prezentate datele pentru inflaia IPC trimestrial
(anualizat). n coloana (5) n paranteze sunt prezentate mediile ratei nominale a dobnzii de politic monetar.
Pe msur ce recesiunea s-a adncit, inflaia a sczut, prnd s fie din ce n ce mai puin o
problem. De la 8,6 la sut n 2008 T2, inflaia IPC anual a sczut la 4,6 la sut n 2010 T1.
Aceast scdere a fost condus de scderea inflaiei core-3 care, n perioada menionat, a
31

cobort de la 7,5 la sut la 1,1 la sut
39
(Fig. 6). Pe acest fundal, deviaia inflaiei anuale IPC
de la int a cobort de la 4,75 pp n 2008 T2 la 1,1 pp n 2010 T1 (Fig. 1).
Cu aceste evoluii, critica politicii monetare s-a inversat. Muli analiti au considerat c, n
raport cu scderea activitii economice, modificrile ratei dobnzii nu au fost adecvate.
Schimbrile n rata dobnzii de politic monetar au prut c nu sunt n linie cu evoluiile din
domeniul produciei. De exemplu, cnd producia a sczut cu 2 la sut n 2008 T4 fa de
2008 T3, rata efectiv a dobnzii de politic monetar a crescut cu 4,6 pp n termeni nominali
i cu 4 pp n termeni reali (Tabelul 5 i Tabelul 6). O cretere de aceast magnitudine a ratei
dobnzii este n general neobinuit, i cu att mai neobinuit pare ntr-o perioad de
recesiune. Rata efectiv de politic monetar a crescut n 2008 T4 din cauza evenimentelor de
pe piaa monetar interbancar (pentru o prezentare a lor vezi Croitoru, 2013c).
Tabelul 5: PIB, rata dobnzii de politic monetar i contribuiile factorilor fundamentali la
deviaia inflaiei dup intrarea economiei romneti n recesiune
Perioada Deviaia
inflaiei
anuale
IPC (pp)
Contribuia
anticipaiilor
inflaioniste
(pp)
Contribuia
gap-ului de
producie
(pp)
Contribuia
inflaiei
importate
(pp)
Rata
real a
dobnzii
de
politic
monetar
(%)
Creterea
economic
(%)
(1) (2) (3) (4) (5) (6) (7)
2008 T3 4,34
(0,82)
0,79
(0,92)
1,56
(1,62)
0,83
(-0,29)
4,12
(3,61)
0,4*
2008 T4 3,02
(2,78)
0,89
(1,16)
1,53
(1,25)
0,78
(1,81)
3,58
(7,55)
-2,0*
2009 1,95
(1,14)
0,98
(0,87)
0,72
(0,25)
0,02
(-0,68)
3.55
(4,26)
-6,8**
2010 T1-
2013 T3
1,87
(1,82)
0,74
(0,76)
-0,20
(-0,26)
0,06
(0,18)
0,97
(0,73)

ale autorului. Not: n coloanele (2)-(4) n paranteze sunt prezentate datele trimestriale (anualizat). n coloana
(6), n paranteze sunt prezentate ratele reale efective ale dobnzii de politic monetar. n coloana (7): * rata
trimestrial de cretere economic; ** rata anual de cretere economic.
n schimb, rata dobnzii de politic monetar a rmas relativ constant n termeni nominali
(vezi Tabelul 2 i Tabelul 4) i a sczut uor n termeni reali, rmnnd consistent cu
modificarea contribuiilor unor factori ai inflaiei core-3 la deviaia inflaiei IPC de la int
(Tabelul 5). Dei producia a sczut, contribuia trimestrial a gap-ului de producie la deviaia
inflaiei a rmas pozitiv i nalt-inflaionist, reducndu-se de la 1,62 pp n 2008 T3 la doar
1,25 pp n 2008 T4. Mai mult, contribuia trimestrial a inflaiei importate a devenit pozitiv,
crescnd la 1,81 pp, iar contribuia anticipaiilor inflaioniste a crescut cu 0,24 pp, la 1,16 pp.

39
De la 9,04 la sut n iulie 2008, inflaia anual IPC a sczut la 4,2 la sut n martie 2010. n aceeai perioad,
inflaia core-3 a cobort de la 8,2 la sut la 0,8 la sut.
32

n 2008 T3, mpreun, cei trei factori (gap-ul de producie, anticipaiile inflaioniste i inflaia
importat) contribuiau cu numai 2,25 pp (41,2 la sut) la totalul de 5,46 pp ct nsumau toate
contribuiile pozitive (inclusiv cele specifice inflaiei non-core-3) la deviaia inflaiei
trimestriale anualizate de la int. n 2008 T4, mpreun, cei trei factori explicau 4,22 pp din
totalul de 6,04 pp ct nsumau toate contribuiile pozitive (70 la sut), dnd suport deciziei
bncii centrale de a crete rata dobnzii.
Tabelul 6: Contribuia factorilor fundamentali la deviaia inflaiei IPC n perioada 2009-2010
T1
Perioada Deviaia
inflaiei
anuale IPC
(pp)
Contribuia
anticipaiilor
inflaioniste
(pp)
Contribuia
gap-ului de
producie
(pp)
Contribuia
inflaiei
importate
(pp)
Rata real
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
a dobnzii
de politic
monetar
(%)
(1) (2) (3) (4) (5) (6) (7)
2009 T1 3,01
(5,82)
0,99
(1,12)
1,25
(0,34)
0,71
(0,79)
3,85
(10,15)
1,49
(2,60)
2009 T2 2,39
(0,5)
1,05
(1,05)
0,87
(0,21)
0,06
(-2,01)
3,73
(9,74)
1,40
(1,52)
2009 T3 1,37
(-3,15)
1,03
(0,84)
0,52
(0,24)
-0,01
(-0,58)
3,19
(8,69)
0,92
(1,32)
2009 T4 1,03
(1,4)
0,85
(0,48)
0,25
(0,19)
-0,69
(-0,91)
3,41
(8,00)
1,18
(2,41)
2010 T1 1,13
(6,21)
0,69
(0,43)
0,15
(-0,04)
-1,19
(-1,11)
2,77
(7,19)
0,56
(-0,54)
ale autorului. Not: n coloanele (2)-(5) n paranteze sunt prezentate datele trimestriale (anualizate). n coloana
(6), n paranteze sunt prezentate ratele nominale ale dobnzii de politic monetar. n coloana (7), n paranteze
sunt prezentate datele gap-ului ratelor efective ale dobnzii de politic monetar.
Chiar i n 2009, cnd producia a sczut cu 6,8 la sut comparativ cu 2008, contribuia
trimestrial a gap-ului de producie a rmas inflaionist (Tabelul 6 i Fig. 4), dei s-a redus
gradual, devenind negativ abia n 2010 T1. Rata dobnzii de politic monetar a fost redus
de la 10,25 la sut n 2008 T4 la o medie de 9,15 la sut n anul 2009 (n termeni reali, de la
3,58 la sut la 3,55 la sut). n schimb, rata real efectiv a dobnzii de politic monetar a
fost redus
40
de la 7,55 la sut n 2008 T4 la o medie de 4,26 la sut n anul 2009. De
asemenea, gap-urile ratei reale a dobnzii au rmas relativ nalte n 2009 (Tabelul 6).
Criticii politicii monetare au spus c banca central a fost prea preocupat s reduc rata
inflaiei ntr-o perioad n care economia scdea, astfel c a redus insuficient rata dobnzii,
contribuind la accentuarea recesiunii.

40
Exprimarea c rata real a dobnzii a fost redus trebuie neles ca rezultat al deciziilor combineate ale
bncii centrale i ale sectorului privat. Baca central stabilete rata dobnzii nominale de politic monetar, n
timp ce sectorul privat stabilete preurile i anticipaiile referitoare la acestea, cu care se deflateaz rata dobnzii
nominale.
33

Exist un motiv solid pentru care aceast critica nu este ns corect: n 2009, cnd producia
s-a prbuit, nu a existat niciun compromis n stabilirea ratei dobnzii, deoarece obiectivele
privind stabilizarea inflaiei i stabilizarea produciei nu erau conflictuale. Pe de o parte, n
2009, rata relativ nalt a dobnzii a redus contribuiile anticipaiilor inflaioniste i ale gap-
ului de producie la deviaia pozitiv de la int a inflaiei anuale IPC (Tabelul 6 i Fig. 4), n
linie cu scopul bncii centrale. Contribuia cumulat a acestor doi factori la deviaia inflaiei
anuale IPC de la int a sczut de la 2,42 pp n 2008 T4 (din totalul de 5,13 pp al tuturor
contribuiilor pozitive
41
n 2008 T4, adic de la 47 la sut) la 1,1 pp n 2009 T4 (din totalul de
3,06 pp al tuturor contribuiilor pozitive n 2009 T4, adic la 14 la sut). Pe baze trimestriale,
contribuiile cumulate respective au sczut de la 2,41 pp n 2008 T4 (din totalul de 6,04 pp al
tuturor contribuiilor pozitive n 2008 T4, adic de la 40 la sut) la 0,67 pp (din totalul de 3,5
pp al tuturor contribuiilor pozitive n 2009 T4, adic la 19 la sut).
Pe de alt parte, rata dobnzii relativ nalt a contribuit la minimizarea efectelor
contracioniste. Rata relativ nalt a dobnzii i vnzrile de valut ale bncii centrale au
mpiedicat o depreciere relativ mare a leului, care ar fi tensionat bilanurile firmelor i
gospodriilor puternic ndatorate n valut. Astfel, politica monetar a evitat adncirea
recesiunii. Efectele expansioniste ale unei rate a dobnzii mai mici ar fi fost ntrecute de
efectele contracioniste ale unei deprecieri mai mari a leului.

4.3.2 Perioada inflaiei libere: 2010 T2-2013 T3

Imediat ce contribuia trimestrial a gap-ului de producie la deviaia inflaiei a devenit
negativ, rata real a dobnzii a sczut de la 3,41 la sut (4,64 la sut dac ne referim la rata
real efectiv) n 2009 T4 la valori preponderent negative n perioada 2010 T2-2011 T2 . n
perioada 2010 T2-2013 T3, media ratei reale a dobnzii de politic monetar a fost de 0,84 la
sut la sut (0,67 la sut n termenii ratei reale efective), contribuind la stimularea produciei.
n perioada 2010 T2-2013 T3, deviaia medie de la int a inflaiei IPC medii anuale a fost de
1,9 pp, foarte apropiat de contribuia de 2 pp a inflaiei non-core. Perioadele n care deviaia
a crescut au alternat cu perioadele n care aceasta a sczut, extremele situndu-se ntre -1,12
pp i 4,93 pp.
Dac definim perioadele ncepnd cu trimestrul care a marcat o schimbare de sens a deviaiei
inflaiei de la int i terminnd cu trimestrul care precede o schimbare major n sens invers,
rezult urmtoarele perioade (Fig. 1): 2010 T3-2011 T2 (patru trimestre de cretere); 2011
T3-2012 T2 (patru trimestre de scdere); 2012 T3-2013 T1 (trei trimestre de cretere); i 2013
T2-2013 T3 (dou trimestre de scdere).
Din Tabelul 7 se vede c n fiecare perioad, exceptnd perioada 2011 T3-2012 T2, principala
contribuie la deviaia inflaiei de la int a venit de la contribuiile inflaiei non-core-3.

41
Contribuiile pozitive ale tuturor factorilor (inclusiv factorii inflaiei non-core-3) la deviaia inflaiei anuale
IPC au fost: 5,13 pp n 2008 T4; 4,47 pp n 2009 T1; 4,09 pp n 2009 T2; 2,88 pp n 2009 T3; 3,06 pp n 2009
T4; i 3,98 pp n 2010 T1. Contribuiile pozitive ale tuturor factorilor (inclusiv factorii inflaiei non-core-3) la
deviaia inflaiei trimestriele IPC (anualizat) au fost: 6,04 pp n 2008 T4; 6,13 pp n 2009 T1; 4,13 pp n 2009
T2; 2,09 pp n 2009 T3; 3,50 pp n 2009 T4; i 8,08 pp n 2010 T1.
34

Cineva ar putea ntreba de ce rata dobnzii a fost meninut constant la 6,25 la sut n
perioada 2010 T3-2011 T3 i din nou contant la 5,25 la sut n perioada 2012 T2-2013 T2
dac deviaia inflaiei a fost major determinat de inflaia non-core-3.
Rspunsul este acela c contribuia medie de 1,42 pp a anticipaiilor inflaioniste la deviaia
inflaiei trimestriale anualizate din perioada 2010 T3-2011 T2 (Tabelul 8 col. 3) a fost cea mai
mare nregistrat vreodat dup anul 2002. Creterea TVA n iulie 2010 cu 5 pp a contribuit
foarte mult la inflamarea anticipaiilor inflaioniste. n 2010 T3, inflaia produs de TVA,
precum i contribuia sa la deviaia inflaiei trimestriale anualizate de la int a fost de 4,86 pp.
Tabelul 7: Contribuiile medii la deviaia inflaiei anuale IPC de la int n perioada 2010 T3-
2013 T3 (puncte procentuale)
Perioada Deviaia
inflaiei
anuale IPC
(pp)
Contribuia
inflaiei
non-core
(pp)
Contribuia
inflaiei
core-3 (pp)
Rata real a
dobnzii de
politic
monetar
(%)
Gap-ul ratei
reale a
dobnzii de
politic
monetar
(%)
(1) (2) (3) (4) (5) (6)
2010 T3-2011 T2 4,35
(5,03)
3,90
(4,07)
0,46
(0,96)
-0,39
(6,25)
-2,63
2011 T3-2012 T2 -0,05
(-1,03)
0,33
(-0,52)
-0,38
(-0,51)
1,81
(5,79)
-0,4
2012 T3-2013 T1 1,86
(3,76)
1,84
(3,48)
0,02
(0,28)
0,80
(5,25)
-1,34
2013 T2-2013 T3 1,60
(-2,82)
1,86
(-1,59)
-0,26
(-1,23)
0,89
(4,97)
-1,29
ale autorului. Not: n coloanele (2)-(4), n parantez sunt prezentate datele pe baza valorilor trimestriale
anualizate. n coloana (5), n paranteze sunt prezentate ratele nominale medii ale dobnzii. n perioadele
menionate n tabel, ratele reale ale dobnzii i ratele reale efective ale dobnzii au fost egale. n consecin, i
gap-ul ratei reale a dobnzii de politic monetar a fost egal cu gap-ul ratei efective a dobnzii reale de politic
monetar.
Totui, caracterul temporar al majorrii impactului cotei standard a TVA asupra ratei anuale a
inflaiei IPC a fost corect neles de operatorii din pia. Inflaia anticipat a sczut dup patru
trimestre de la mometul creterii TVA. n cele patru trimestre care au precedat creterea TVA
inflaia anticipat a fost de 4,8 la sut. Creerea TVA a mutat inflaia anticipat la o medie de
6,9 la sut n intervalul 2010 T3-2011 T2 (patru trimestre), dup care sczut la o medie de 4,1
la sut n intervalul 2011 T3-2012 T2. Meninerea ratei dobnzii la 6,25 la sut n intervalul
2010 T3-2011 T3 a contribuit la minimizarea efectelor de runda a doua ale creterii TVA, de
regul frecvente n astfel de situaii.
Aa cum era de dorit, reducerea ratei dobnzii de la 6,25 la sut la 5,25 la sut a fost fcut
gradual, exact n perioada 2011 T3-2012 T2, cnd contribuia inflaiei core-3 la deviaia
inflaiei de la int a fost negativ. n acea perioad, contribuiile anticipaiilor inflaioniste la
35

deviaia inflaiei trimestriale anualizate de la int au cobort de la 1,12 pp n 2011 T3 la
aproximativ 0,2 pp n fiecare trimestru pn n 2012 T3.
Din nou, cineva ar putea ntreba de ce rata dobnzii nu a fost redus sub 5,25 la sut n
perioada 2012 T3-2013 T2, cnd deviaia inflaiei anuale IPC de la int a fost determinat
aproape n ntregime de inflaia non-core-3. Din nou, rspunsul este acela c n acea perioad
anticipaiile inflaioniste au crescut de la 0,23 pp n 2012 T3 la 0,84 pp n 2013 T1 (cu o
medie a perioadei de 0,64 pp). Toate aceste date dovedesc c politica ratei dobnzii a fost
corect i n perioada n care producia a fost sub nivelul potenial (2010-2013). Dei deviaia
inflaiei de la int a fost determinat masiv de inflaia non-core-3, inflaia nu a fost liber
de influena politicii monetare. Contribuiile anticipaiilor inflaioniste la deviaia inflaiei au
fost relativ nalte, fcnd necesar, meninerea ratei dobnzii la niveluri constante pe perioade
relativ lungi.
Tabelul 8: Contribuiile anticipaiilor inflaioniste, ale gap-ului de producie i ale inflaiei
importate la deviaia inflaiei anuale IPC de la int n perioada 2010 T3-2013 T3
Perioada Deviaia
inflaiei anuale
IPC (pp)
Contribuia
anticipaiilor
inflaioniste
(pp)
Contribuia gap-
ului de
producie (pp)
Contribuia
inflaiei
importate (pp)
(1) (2) (3) (4) (5)
2010 T3-2011 T2 4,35
(5,03)
0,99
(1,42)
-0,15
(-0,22)
0,39
(0,43)
2011 T3-2012 T2 -0,05
(-1,03)
0,89
(0,43)
-0,22
(-0,28)
0,12
(0,23)
2012 T3-2013 T1 1,86
(3,76)
0,35
(0,64)
-0,36
(-0,34)
0,23
(-0,14)
2013 T2-2013 T3 1,60
(-2,82)
0,69
(0,65)
-0,35
(-0,39)
-0,12
(0,27)
ale autorului. Not: n coloanele (2)-(5), n parantez sunt prezentate datele pe baza valorilor trimestriale
anualizate.
n concluzie, analiza noast arat c politica ratei dobnzii a fost corect n toate perioadele
analizate. nainte de criz, cnd economia se confrunta cu intrri masive de capitaluri, rate ale
dobnzii mai mari dect cele stabilite prin politica monetar nu ar fi dus la scderea inflaiei,
ci doar la accelerarea acumulrii dezechilibrelor externe.
Invers, n perioada cuprins ntre 2008 T4, cnd economia a sczut pe baze trimestriale pentru
prima dat, i 2010 T1, cnd gap-ul de producie a devenit negativ, o scdere mai abrupt a
ratei dobnzii ar fi accentuat recesiunea. Efectele negative asupra bilanurilor entitilor
ndatorate n valut ale deprecierii leului rezultat din reducerea mai abrupt a ratei dobnzii
ar fi fost mai mari dect efectele pozitive asupra stimulrii exporturilor. n sfrit, n perioada
2010 T2-2013 T3, aa cum era de ateptat, ratele nominale ale dobnzilor nu au rspuns la
deviaiile inflaiei de la int conduse de inflaia non-core, ci doar acelor deviaii conduse de
inflaia core-3 (Tabelul 1 i Fig. 1).
36

5. Deviaia inflaiei de la int, exprimat ca sum de ocuri

n aceast seciune utilizm descompunerea pe ocuri a deviaiei inflaiei de la int realizat
de Copaciu (2012) n urma estimrii modelului lui Christiano et al. (2011) pentru Romnia.
Aceste rezultate sunt prezentate n Fig. 7. Ele sunt conceptual diferite de cele prezentate n
seciunea anterioar prin aceea c fiecare factor al inflaiei este conceput ca o sum de ocuri.
Descompunerea menionat permite cteva concluzii importante din perspectiva acestui
studiu. n aceast seciune ne concentrm pe ocurile privind: politic monetar, preferinele
consumatorului, marjele dinamice ale firmelor i productivitatea total a factorilor.

5.1 ocurile de politic monetar

ocurile de politic monetar reprezint diferena dintre rata dobnzii efectiv utilizate
(presupus observabil n regula Taylor) i rata dobnzii generat de determinanii inclui n
regula Taylor. Cnd aceast diferen este negativ, ceteris paribus, contribuia ocurilor de
politic monetar la deviaia inflaiei este pozitiv, i invers.
Din Fig. 7 (Sursa: Copaciu, 2012) rezult c ocurile de politic monetar au contribuit relativ
rar i relativ modest la deviaia inflaiei de la int. Cele mai mari contribuii ale ocurilor de
politic monetar s-au nregistrat nainte de trecerea la regimul de intire a inflaiei. Dup
adoptarea noii strategii de politic monetar, ocurile i-au redus contribuia la inflaie i au
devenit negative. n perioada 2006 T3-2007 T2, ocurile de politic monetar au contribuit la
reducerea deviaiei inflaiei de la int.
Totui, n perioada de euforie
maxim, n intervalul 2007 T3-
2008 T3, contribuiile ocurilor
de politic monetar au
redevenit pozitive. Aceasta
nseamn c, n logica
modelului cu care au fost
estimate, ratele dobnzii de
politic monetar n trimestrele
respective au fost mai mici
dect nivelul cerut de rata
dobnzii rezultat din
contribuiile factorilor
fundamentali prezeni n funcia
de reacie (i.e. n lipsa ocurilor
de politic monetar). Fa de
aceast evoluie sunt relevante
dou comentarii: a) contribuiile
respective la deviaia inflaiei de
la int au fost relativ mici (ntre 0,2 i 0,9 pp); b) aa cum am artat n seciunea precedent,
depind logica modelului neokeynesiste, o cretere mai mare a ratelor dobnzii n perioada
-15
-10
-5
0
5
10
15
2
0
0
3
Q
1
2
0
0
3
Q
2
2
0
0
3
Q
3
2
0
0
3
Q
4
2
0
0
4
Q
1
2
0
0
4
Q
2
2
0
0
4
Q
3
2
0
0
4
Q
4
2
0
0
5
Q
1
2
0
0
5
Q
2
2
0
0
5
Q
3
2
0
0
5
Q
4
2
0
0
6
Q
1
2
0
0
6
Q
2
2
0
0
6
Q
3
2
0
0
6
Q
4
2
0
0
7
Q
1
2
0
0
7
Q
2
2
0
0
7
Q
3
2
0
0
7
Q
4
2
0
0
8
Q
1
2
0
0
8
Q
2
2
0
0
8
Q
3
2
0
0
8
Q
4
2
0
0
9
Q
1
2
0
0
9
Q
2
2
0
0
9
Q
3
2
0
0
9
Q
4
2
0
1
0
Q
1
2
0
1
0
Q
2
2
0
1
0
Q
3
2
0
1
0
Q
4
2
0
1
1
Q
1
2
0
1
1
Q
2
2
0
1
1
Q
3
2
0
1
1
Q
4
Fig. 7: Deviaia inflaiei IPC trimestriale ajustate sezonier de la
int (puncte procentuale)
Entrepreneurial wealth Markup imports for exports Markup imports for investment
Markup imports for consumption Markup exports Initial values
Markup domestic Inflation target Monetary policy
Country risk premium All external Labor preferences
Consumption preferences MEI Stationary neutral tech.
Unit root neutral tech. Unit root inv. specific Measurement error
Quarterly CPI inflation deviation
37

respectiv ar fi dus la acumularea de dezechilibre externe mai mari dect cele care s-au
acumulat de fapt, fr a reduce neaprat inflaia.
S facem pentru moment abstracie de efectele asupra acumulrii de dezechilibre externe ale
unei rate a dobnzii mai mari i s presupunem c rata dobnzii ar fi fost crescut la nivelul de
la care, n modelul menionat, contribuia ocurilor de politic monetar ar fi fost zero. Chiar
i n acest caz, n perioada 2007 T3-2008 T3, deviaiile inflaiei de la int n condiiile
utilizrii ratei dobnzii rezultat din funcia de reacie n lipsa ocurilor (DIT*) ar fi rmas
pozitive la niveluri doar cu puin mai mici dect cele efectiv nregistrate (Tabelul 2).
Contribuiile ocurilor de politic monetar la deviaia inflaiei de la int au fost negative n
fiecare trimestru din perioada 2008 T4-2010 T2. Aceasta nseamn, conform estimrilor
realizate de Copaciu, c ratele dobnzii au fost prea mari relativ la dobnzile rezultate din
funcia de reacie. i aici sunt dou comentarii relevante: a) aceste contribuii sunt relativ mici
(ntre -0,2 pp i -0,7 pp); b) contribuiile sunt derivate fa de o rat a dobnzii rezultat din
funcia de reacie a modelului, care nu este construit pentru a ine cont de gradul de ndatorare
n valut a firmelor i gospodriilor. Politica monetar a inut cont de acest grad i, aa cum
am artat n seciunea precedent, a meninut ratele dobnzii la un nivel mai mare ca cel cerut
de funcia de reacie (a modelului BNR sau a modelului estimat de Copaciu, 2012), pentru a
evita accentuarea recesiunii pe ruta efectului de avuie.
Tabelul 9: Deviaia inflaiei de la inta trimestrial n condiiile ratei dobnzii furnizate de
funcia de reacie (DIT*) comparativ cu deviaia nregistrat n condiiile ratei efective a
dobnzii de politic monetar (DIT) (puncte procentuale)
2007 T3 2007 T4 2008 T1 2008 T2 2008 T3
DIT 2,4 4,9 2,7 2,3 1,1
DIT* 2,2 4,4 1,8 1,5 0,9
Sursa: Calcule ale autorului pe baza datelor prezentate n Copaciu, 2012.
n sfrit, contribuiile ocurilor de politic monetar au redevenit pozitive n perioada 2010
T3-2011 T4. ntr-adevr, n acea perioad, anticipaiile inflaioniste au crescut (Fig. 3 i
Fig.4), fiind alimentate de contribuiile creterii TVA i a altor determinani de pe partea
ofertei (tutun, combustibili, legume, fructe, ou, preuri administrate) la deviaia inflaiei.
Aceasta este nc o indicaie c rata dobnzii a fost stabilit pentru a realiza un compromis
ntre stabilizarea inflaiei i stabilizarea produciei.

5.2 ocurile n preferinele consumatorilor

ocurile n preferinele consumatorilor reprezint o schimbare intertemporal ntre consumul
viitor i cel prezent. Dac ocul n preferinele consumatorului creaz un gap pozitiv sau l
accentueaz, atunci el contribuie la deviaia inflaiei de la int.
n Fig. 7 se vede c au existat dou perioade principale n care ocurile n preferine au avut
contribuii pozitive relativ mari (2003 T4-2004 T4 i 2006 T1-2008 T3) la deviaia inflaiei de
la int. Aceasta nseamn c, n perioadele respective, gospodriile au decis s consume mai
mult n prezent dect ar fi fcut-o n mod normal. n principiu, consumatorii raionali iau
38

aceast decizie dac ratele actuale ale dobnzii sunt n prezent mai mici dect rata neutr a
dobnzii. De asemenea, a existat o perioad (2010 T2-2011 T4) n care ocurile n preferine
au avut contribuii negative. n acea perioad, consumatorii au decis, n contradicie cu
predicia teoretic, s amne pentru viitor o parte a consumului.
Relevant pentru acest studiu este c n perioada 2006 T2-2008 T3, adic o bun perioad
nainte de intrarea economiei n recesiune, niciun alt oc individual nu a contribuit la deviaia
inflaiei de la int ntr-o msur mai mare dect ocurile n preferine. Mai mult, pe msur ce
euforia s-a consolidat, contribuia ocurilor n preferinele consumatorilor la deviaia inflaiei
a crescut, reflectnd un proces de accelerare a aducerii consumului viitor n prezent.
Contribuiile cele mai mari (ntre 3,2 pp i 5,1 pp) au fost nregistrate n perioada 2007 T4-
2008 T3.
Aceste evoluii sprijin ideea c decizia de a aduce n prezent o parte a consumului viitor nu a
fost n mod necesar raional. Ea nu a reflectat n mod necesar rspunsul gospodriilor la o
diferen negativ ntre rata real a dobnzii la credite i rata neutr a dobnzii. Muli
consumatori s-au mprumutat pe msur ce preul proprietilor cu care au garantat creditul de
consum a crescut. Acest credit a fost finanat de bnci cu datorie extern, ceea ce a fcut
posibil creterea deficitului de cont curent al balanei de pli. n acelai timp, creditul a fost
mijlocul de a aduce consumul viitor n prezent, fcnd ca ocurile n preferine s fie factorul
cu contribuia cea mai mare la deviaia inflaiei de la int n perioada 2006 T2-2008 T3.
ocurile n preferinele consumatorilor au contribuit pozitiv la nivelul ratei dobnzii n
ntreaga perioad 2003-2010, contribuia lor fiind maxim n anii 2007-2008 (Copaciu, 2012).
Cu alte cuvinte, ratele dobnzilor nregistrate n acea perioad ar fi fost mai mici dac ocurile
n preferine, care sunt exogene, nu ar fi aprut, indiferent dac rata dobnzii a crescut sau a
sczut n perioada respectiv. Aceasta indic un comportament contraciclic al politicii
monetare, care prin creterea ratei dobnzii a ncercat s tempereze aducerea din viitor n
prezent a consumului.
n perioada de recesiune puternic (2008 T4-2010 T1), ocurile n preferinele consumatorilor
nu au contribuit semnificativ la deviaia inflaiei de la int, iar n perioada 2010 T2-2011 T4,
contribuiile au fost negative. Evoluia acestor contribuii arat c a existat o ajustare treptat a
preferinelor consumatorilor. n prima faz, criza a adus compromisul dintre consumul prezent
i cel viitor la niveluri egale. Aceasta a nsemnat o prim corecie important, consistent cu
faptul c rata real a dobnzii a fost relativ nalt. n a doua faz, efectele crizei au devenit
mai severe i consumatorii au decis s amne o parte din consum pentru viitor. ocurile
negative n preferinele consumatorilor au contribuit negativ la nivelul ratei dobnzii de
politic monetar n anul 2011, indiferent dac, de la un trimestru la altul, rata dobnzii a
crescut sau a sczut.
Dac schimbarea n preferine ctre consumuri viitoare, aprut n a doua parte a anului 2010,
persist i n prezent, aa cum pare, are consecine. Conform logicii prezente n Rotemberg i
Woodford (1999), amnarea consumului duce rata dobnzii reale de echilibru la niveluri joase
sau negative. Astfel, gradul de utilizare a capacitilor de producie scade i inflaia este mai
sczut dect cea anticipat. Vnztorii de produse finale menin preurile relativ mari
39

comparativ cu costurile, astfel c puterea de pia a firmelor crete i duce la scderea
produciei. Acest scenariu a fost prezent din a doua parte a lui 2009 i a fost amplificat de
creterea TVA n iulie 2010. Atunci puterea de pia a firmelor a crescut, ceea ce a contribuit
la meninerea creterii economice la nivelurile joase de atunci.

5.3 ocurile n prima de risc a rii

Dup ce Romnia a devenit membru al NATO i a crescut probabilitatea ca ar s devin
membr a UE, percepia investitorilor s-a mbuntit. Intrrile de capitaluri au nceput s
creasc pe baza percepiei c perspectivele economice ale Romniei se vor mbunti.
Activele nete strine ale Romniei au continuat s scad (pasivele au crescut mai repede dect
activele), ceea ar fi trebuit s duc la creterea primei de risc.
Totui, prima de risc a Romniei a sczut, reflectnd percepiile investitorilor, formate ntr-o
atmosfer global dominat de anticipaii euforice. Percepiile euforice au acionat ca un oc
negativ (cu semnul minus) asupra primei de risc, reducnd-o. Acest oc a fost suficient de
puternic n perioada 2005 T4-2008 T4 pentru a depi efectul negativ asupra primei de risc
indus de volumul negativ tot mai mare al activelor nete strine.
Prima de risc sczut a contribuit la aprecierea leului, iar aceasta s-a reflectat n contribuia
negativ (cu semnul minus) a ocurilor n prima de risc la deviaia inflaiei de la int. Ceea ce
surprinde este faptul c dei criza financiar a aprut n august 2007, ocurile n prima de risc
au contribuit la deviaia n jos a inflaiei de la int pn la sfritul anului 2008. O
interpretare posibil a acestui rezultat este aceea c efectele crizei asupra Romniei au fost
dificil de anticipat i de ctre investitorii strini, nu numai de mediul decizional intern.
Contribuiile ocului n prima de risc a rii la deviaia inflaiei de la int au fost pozitive n
fiecare trimestru al anului 2009, cnd economia a sczut cu 6,8 la sut. ocul pozitiv (semnul
plus) n prima de risc a acoperit diferena pozitiv dintre diferenialul ratei dobnzii i ecartul
dintre rata de schimb anticipat i rata de schimb efectiv n trimestrele respective.
Contribuiile pozitive mai mari la nceputul anului 2009 sunt explicate de incertitudinea
existent pn la ncheierea acordului cu FMI n mai 2009.
Dup aceast dat, contribuiile pozitive ale primei de risc au sczut, devenind din nou
negative n 2010, ceea ce, aa cum vom arta n seciunea a cincea, a ajutat revigorarea
ocuprii forei de munc. Ajustrile n politica fiscal fcute prin reducerea salariilor, a
sporurilor i a ajutoarelor n sectorul public implementate n iulie 2010 au jucat un rol central
n reducerea primei de risc.

5.4 ocurile n marjele productorilor de bunuri intermediare interne

Comparativ cu contribuiile ocurilor n preferinele consumatorilor sau cu contribuiile
ocurilor n prima de risc, ocurile n marjele adugate de firme la costurile de producie au
avut contribuii pozitive sau negative relativ mici la deviaia inflaiei de la int nainte de
criz.

40

Totui, comparativ cu contribuiile ocurilor n ali factori, cum ar fi ocurile tehnologice
temporare, ocurile n marjele importurilor pentru consum sau ocurile n marjele importurilor
pentru export, contribuiile ocurilor n marjele productorilor de bunuri intermediare au fost
relativ mari.
Notabil este c cele mai mari contribuii negative la deviaia inflaiei de la int ale ocurilor
n marjele interne s-au nregistrat n perioada 2008 T4-2009 T3, adic n perioada de scdere
abrupt att a produciei, ct i a inflaiei, indiferent dac aceasta din urm este msurat ca
inflaie anual IPC sau core-3.
Creterea contribuiei negative a ocurilor n marjele productorilor de bunuri intermediare la
deviaia inflaiei de la int concomitent cu scderea abrupt a inflaiei sugereaz c scderea
inflaiei a venit n bun msur, potrivit modelului considerat, din scderea marjelor la
productorii interni de bunuri intermediare.
Contribuiile negative crescute ale ocurilor n marje au reflectat o scdere a puterii de pia a
productorilor de bunuri intermediare pentru piaa intern. Probabil, scderea marjelor a fost
cauzat n bun msur de scderea cererii pentru produsele finale, conform mecanismului
descris n Mortensen (2011), pe care l vom prezenta pe scurt n seciunea a cincea.
Mecanismul prin care a sczut puterea de pia a firmelor este legat de rigiditatea n stabilirea
preurilor. Firmele care au putut s-i ajusteze preurile n perioada de scdere abrupt a
produciei au rspuns la scderea cererii. Chiar dac, s presupunem, nu s-au confruntat cu
costuri crescute, ele au redus marjele pentru a putea lua o parte din piaa competitorilor.
Firmele care nu au putut reduce preurile, dar au nregistrat o creterea a costurilor unitare i-
au vzut marjele reduse. Creterea costurilor este probabil s fi fost determinat de scderea
produciei (care a dus la creterea costurilor fixe unitare) sau de nivelul relativ nalt al ratelor
dobnzii n perioada 2008 T4-2009 T3, cnd contribuia marjelor la deviaia inflaiei a fost
puternic negativ.
6. Criza i rata omajului

Criza financiar din 2008 a dus la scderea abrupt a cererii de producie. n unele ri
dezvoltate, inflaia a devenit negativ pentru o scurt perioad, dar a revenit la niveluri
pozitive, dei mai sczute dect nainte de criz. n schimb, ocuparea forei de munc a sczut
dramatic, fr a reveni n apropierea nivelului normal, astfel c rata omajului a crescut i a
rmas la niveluri nalte.
Evoluiile de mai sus genereaz ntrebarea de ce s-a stabilizat inflaia la niveluri pozitive
relativ sczute, n timp ce rata omajului s-a situat la niveluri nalte pentru o lung perioad de
timp?

6.1 Nivelul i stabilitatea anticipaiilor inflaioniste

Din perspectiva neokeynesist pare s fie mai uor de dat un rspuns la ntrebarea referitoare
la rezistena inflaiei. n cadrul acestei teorii, dac anticipaiile sunt bine ancorate, inflaia
41

revine la nivelurile pozitive att timp ct contribuia negativ a gap-ului de producie la
formarea inflaiei este mai mic dect contribuia pozitiv a anticipaiilor inflaioniste.
S presupunem c economia este la potenial. Ceteris paribus, n acest caz, inflaia este egal
cu anticipaiile inflaioniste nmulite cu factorul de discount. O prbuire a cererii va avea
consecine pentru evoluia viitoare a inflaiei i a ocuprii forei de munc, care depind de
nivelul i stabilitatea anticipaiilor inflaioniste.
Dac anticipaiile inflaioniste sunt joase i bine ancorate, ansa ca contribuia gap-ului
negativ (deflaionist) al produciei, care apare n urma prbuirii cererii, la formarea inflaiei
s fie mai mare ca cea a anticipaiilor este mare. n acest caz, apare deflaia, cel puin
temporar. Pentru ca rata real a dobnzii s fie ct mai mic, banca central reduce rata
nominal a dobnzii la zero. n acest caz, inflaia devine o variabil liber, aproape n afara
controlului bncii centrale
42
i rata real a dobnzii este egal cu minus rata inflaiei.
Cu deflaie, rata real a dobnzii este pozitiv. Corespunztor, gap-ul ratei reale a dobnzii ar
putea fi pozitiv, frnnd producia. Aceast situaie se poate ntmpla dac inflaia este foarte
sensibil la gap-ul negativ al produciei. Deflaia va accentua recesiunea, care va mri ritmul
de scdere a preurilor, astfel c sistemul devine instabil.
Dac anticipaiile nu sunt bine ancorate (stabile), deflaia poate persista, fcnd ca rata
dobnzii s fie pozitiv pentru o perioad mai lung, n timp ce restaurarea echilibrului ar cere
o rat real a dobnzii negative. O rat a dobnzii peste nivelul de echilibru face ca rata
omajului s fie relativ mare i persistent.
S presupunem ns c dup o perioad scurt de deflaie, rata dobnzii egal cu zero i
anticipaiile inflaioniste joase, dar stabile, determin ca inflaia s revin la niveluri pozitive,
dei mai mici ca nainte de prbuirea cererii. Cu ct este mai mare inflaia, cu att rata real a
dobnzii (negativ) este mai mic i cererea poate s reia mai rapid creterea spre nivelul
potenial al produciei. Astfel, gap-ul ratei reale a dobnzii (rata real actual minus rata
natural) poate fi negativ, adic va stimula producia cu att mai mult cu ct inflaia este mai
mare. n acest caz, ocuparea va crete relativ mai repede spre nivelul de dinainte de criz.
Modul n care cderea cererii produce scderi mici ale inflaiei i scderi mari ale produciei
atunci cnd rata dobnzii de politic monetar este egal cu zero este prezentat n Fig. 8, unde
oferta este reprezentat de linia albastr. Situaia evideniat cu linia verde este puin
probabil, deoarece o scdere mare a cererii are bune anse s produc deflaie. n cazul n
care aceste anse se materializeaz, linia verde nu ar putea fi prezent n Fig. 8.
Dup ce au redus rata dobnzii la zero, pentru a evita deflaia, bncile centrale din rile
dezvoltate au tiprit bani care au meninut anticipaiile inflaioniste la niveluri pozitive, dei
nu suficient de nalte pentru ca rata real negativ a dobnzii s ajute economia s creasc cu
o rat egal cu rata potenial. n acest caz, aa cum am artat n seciunea 3.2, inflaia se

42
Aceast afirmaie nu este strict exact. Influena bncii centrale asupra inflaiei nu se reduce la zero niciodat.
Totui, dac rata dobnzii de politic monetar este egal cu zero, influena bncii centrale asupra inflaiei se
reduce substanial. Relaxrile cantitative au o mai mic traciune n privina inflaiei dect variaiile n rata
dobnzii.
42

poate stabiliza la niveluri pozitive n timp ce rata omajului va rmne sczut. Aceast
situaie se potrivete bine cu stabilizarea inflaiei la niveluri pozitive relativ mici concomitent
cu omaj nalt dup anul 2008 n rile dezvoltate.
Evoluia inflaiei n SUA n timpul Marii Depresii din perioada 1929-1933 i al Marii
Recesiuni nceput n 2008 este edificatoare. Cu 10 ani nainte de criza din 1929-1933,
inflaia a fost foarte volatil, cu o medie joas, de numai 1,3 la sut. Fr politici care s
stimuleze inflaia, cderea cererii ncepnd din 1929 a determinat ca preurile s scad cu 2,07
la sut n medie pe an n perioada 1929-1939. Deflaia i omajul nalt au coexistat.

Fig. 8: Prbuirea cererii i corelaia dintre rata real a dobnzii i producie
cnd inflaia este pozitiv i rata dobnzii de politic monetar este egal cu
zero
Situaia a fost diferit n criza recent. Cu 10 ani nainte de izbucnirea crizei n 2008, inflaia a
fost relativ stabil, cu o medie anual de 2,43 la sut. Cu politici de relaxare cantitativ, dup
o intrarea n teritoriul negativ n 2009, inflaia a revenit la niveluri pozitive, dei mai mici ca
nainte de criz. Inflaia sczut a fcut ca gap-ul ratei dobnzii (rata dobnzii, care este egal
cu minus inflaia anticipat, minus rata natural a dobnzii) s fie prea mare n termeni reali
pentru a stimula creterea economic la rate mai mari ca rata potenial. Astfel, inflaia s-a
stabilizat la niveluri pozitive mai mici ca nainte de criz, dar rata omajului a fost pentru
civa ani la rnd aproximativ 9 la sut, care este un nivel foarte nalt dup standardele din
SUA.
Pentru Romnia, datele confirm rolul jucat de nivelul i dinamica anticipaiilor inflaioniste.
n Fig. 9 - 12 (Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial
de prognoz al BNR), se vede c anticipaiile inflaioniste au fost componenta cu cea mai

R
a
t
a

r
e
a
l

a

d
o
b
n
z
i
i

=

m
i
n
u
s

i
n
f
l
a
i
a

Producia
Cererea
Curba Phillips
neokeynesist
Curba Phillips neokeynesist cu
pant abrupt

43

stabil contribuie la determinarea inflaiei core-3. n perioada de recesiune puternic,
contribuia gap-ului la formare inflaiei a sczut puternic, devenind negativ n 2010 T1. Dac
neglijm contribuiile inflaiei importate, care n mare msur reflect deprecierea leului, i pe
cea a TVA (care nu sunt factori fundamentali ai inflaiei), atunci determinaii care contribuie
cu cantiti pozitive la formarea inflaiei de baz sunt anticipaiile inflaioniste (cu o
contribuie de aproape 90 la sut) i persistena inflaiei.

Exist o foarte bun corelaie ntre nivelul inflaiei anuale IPC i inflaia anticipat. Se poate
vedea ns c anticipaiile sunt mai mult influenate de modificrile n inflaia non-core-3
(evideniate cu albastru n Fig. 11 i Fig.12). Inflaia non-core-3 influeneaz ns nu numai
inflaia anticipat, ci i inflaia core-3, din cauza ponderii mari pe care o au alimentele n
coul de consum (aproximativ 36 la sut). Nivelul inflaiei nu a necesitat o reducere a ratei
dobnzii la zero odat ce criza a lovit. Totui, inflaia a cptat trsturile unei variabile libere
din cauza fluctuaiilor mari n inflaia core-3.

-10
-5
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T
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T
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0
1
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T
3
Fig. 9: Contribuii la inflaia anual CORE-3 (puncte
procentuale)
Persistena Deviaia PIB
Preuri de import TVA
Anticipaii inflaioniste Ali factori
Rata anual a CORE-3 (%) Anticipaii inflaioniste (%)
Inflaia anual IPC (%)
-10
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T
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T
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1
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T
3
Fig. 10: Contribuii la inflaia trimestrial anualizat CORE-3
(puncte procentuale)
Persistena
Deviaia PIB
Preuri de import
TVA
Anticipaii inflaioniste
Ali factori
Inflaia core-3 trimestrial anualizat (%)
-5
0
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10
15
20
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3
Fig. 11: Contribuii la inflaia anual IPC (puncte procentuale)
Inflaia importat TVA
Contribuii inflaie non-core-3 Rata anual IPC (%)
Anticipaii inflaioniste (%) Inflaia core-3 (%)
-10
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T
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T
2
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0
1
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T
3
Fig. 12 : Contribuii la inflaia trimestrial anualizat IPC
(puncte procentuale)
Infalia importat TVA
Contribuia inflaiei non-core-3 Rata trimestrial anualizat a IPC (%)
Anticipaii inflaioniste (%) Inflaia core-3 (%)
44

n seriile prezentate n Fig. 11 exist o informaie preioas. Fa de perioada 2009 T2-2010
T2, n perioada 2010 T3-2011 T2 (patru trimestre), media contribuiei inflaiei non-core-3 la
inflaie a crescut de la 3,2 pp la 5,2 pp. Acesta a fost un oc. Pe partea ofertei, el a venit de
la preurile administrate, de la legume, fructe, ou, de la tutun i de la combustibili. Pe partea
cererii a venit de la creterea TVA cu 5 pp. Dup dispariia acestui oc, contribuia inflaiei
non-core-3 a fost puternic scztoare n perioada 2011 T3-2012 T2 (urmtoarele patru
trimestre), contribuia medie cobornd la 1,5 pp. Pe date trimestriale, aceste evoluii sunt
similare: de la o contribuie trimestrial medie de 5,3 pp n perioada 2010 T3-2011 T2,
contribuia trimestrial anualizat a inflaiei non-core-3 la formarea inflaiei a sczut la
aproximativ 0,6 pp n perioada 2011 T3-2012 T2.
Aceste ajustri n inflaia non-core-3 au determinat comportamente diferite n inflaia anual
IPC i n inflaia anticipat. Dup ce ocul provocat n inflaie de creterea unor elemente ale
inflaiei non-core-3 i de creterea TVA a disprut n 2011 T3, inflaia anual IPC a cobort
de la 8,2 la sut n 2011 T2, la 1,9 la sut n 2012 T2 (-6,1 pp)
43
. n acelai interval, inflaia
anticipat a cobort de la 6,6 la sut la numai 3,5 la sut (-3,1 pp), rmnnd cvasi-stabil la
acest nivel (cel mai sczut nivel nregistrat vreodat) n intervalul 2011 T4-2012T3.
Ajustrile menionate arat c inflaia anual anticipat este mult mai stabil dect inflaia
anual IPC. n Fig.11 se vede c inflaia anual IPC a urcat la nivelul inflaiei anticipate sub
influena inflaiei non-core-3, dnd un anumit grad de libertate variabilei inflaie atunci cnd
exist ocuri pe partea ofertei. Fr creterea preurilor la combustibili i tutun, dar mai ales a
preurilor administrate, inflaia IPC ar fi rmas semnificativ sub nivelul anticipat.
6.2 Valoarea job-ului i excesul ofertei

Una dintre problemele cu explicaia privind evoluia ratei omajului bazat pe nivelul i
stabilitatea anticipaiilor inflaioniste ntr-o economie cu constrngerea ZLB este aceea c
pare s fie n contradicie cu teoria modern a ocuprii forei de munc, dezvoltat de
Diamond, Mortensen i Pissarides (DMP). n modelul DMP ocuparea este explicat pe baza
valorii job-ului pentru firme. Generic, valoarea job-ului este diferena dintre produsul
marginal al muncii i plata primit de angajat. Cheltuielile cu recrutarea personalului pe care
le face angajatorul nu pot depi valoarea job-ului. Cu ct valaorea job-ului este mai mare, cu
att eforturile de recrutare ale angajatorilor pot fi mai mari i, astfel, ocuparea crete. Invers,
cnd valoarea job-ului este mic, eforturile de recrutare se reduc i omajul crete.
n modelul DMP valoarea job-ului este mai mare cnd ocuparea este mic (rata omajului este
mare) pentru c gsirea unei oportuniti de angajare este relativ dificil. Angajaii trebuie s
cedeze mai mult din surplusul total asociat cu relaiile de ocupare a forei de munc. Dac,
pentru simplificare, considerm c rata omajului msoar ncordarea de pe piaa muncii,
atunci ntr-o negociere Nash, angajatorii ctig mai mult din surplusul total cnd rata
omajului este relativ mare. La acest nivel, recrutarea de noi angajai se intensific deoarece
angajatorii ctig mai mult de la fiecare nou angajat. Astfel, rata omajului ajunge s scad.

43
Aceast ultim dat, 2012 T2, are o semnificaie special. Pentru prima dat, contribuia inflaiei non-core-3 la
inflaia anual IPC a fost de numai 0,6 pp, cel mai mic nivel nregistrat vreodat.
45

Teoria DMP se concentreaz pe explicarea micrii ratei omajului ca rspuns la schimbri n
productivitatea total a factorilor. Critica fa de aceast teorie este aceea c scderile n
productivitate ar trebui s fie mari pentru a explica o scdere a ratei omajului ca cea ntlnit
n timpul recesiunilor (Shimer, 2005). Dar, n recesiunea nceput n 2008, scderile n
productivitatea total a factorilor nu au fost suficiente pentru a explica creterea mare n rata
omajului n unele ri.
n Fig. 13, preluat din Hall (2011a), este prezentat schematic mecanismul prin care un oc n
productivitate poate explica o micare n rata omajului.

Fig. 13: Creterea nivelului de echilibru al ratei omajului cauzat de o scdere n
productivitatea total a factorilor (Sursa: Hall, 2011a).
n Fig. 13, ecuaia profit-zero arat faptul c, n echilibru, firmele se ateapt s obin un
profit egal cu zero din recrutarea de angajai. Ecuaia negocierii Nash arat salariul stabilit
prin negociere de firm i angajat i stabilete prile care le revin acestora din surplusul care
se nate din relaiile de ocupare a forei de munc. Rata omajului de echilibru crete dac
apare un oc negativ n productivitate.
Totui, n rile dezvoltate unde constrngerea ZLB este prezent, rata omajului a crescut i a
rmas nalt. Aceasta nseamn c la un nivel nalt al omajului, valoarea job-ului nu a crescut
pentru a genera creterea eforturilor de recrutare ale firmelor. Hall (2011a) arta c
macroeconomia are nevoie s rezolve conflictul dintre teoria ocuprii bazat pe excesul
ofertei pe piaa bunurilor (aa cum apare i n modelul neokeynesist standard) i teoria DMP
bazat pe echilibru pe piaa muncii. El a sugerat c soluia const fie n includerea n teoria
excesului ofertei a unui element care reduce surplusul angajatorului (Hall, 2011a), fie n
4 5 6 7 8 9 10 11
V
a
l
o
a
r
e
a

j
u
b
-
u
l
u
i
,

d
o
l
a
r
i

Rata omajului, procente
4000
3500
3000
2500
2000
1500
1000
500
0

omajul crete
Negociere Nash,
( )
Productivitatea scade
Profit zero,
()
46

adoptarea unei funcii de stabilire a salariilor care reduce valoarea job-ului n condiiile care
duc la creterea omajului.
n literatura de specialitate exist elementele necesare pentru ca acest rezultat s apar, pe una
din cele dou ci, n modele clar specificate n acest sens. n Mortensen (2011a) apud Hall
(2013c), i n Mortensen (2011b) valoarea job-ului scade cnd economia este depresat.
Pentru a se ajunge la acest rezultat, n economie exist mai muli productori de bunuri
intermediare i un singur productor/vnztor de produse finale. Numai productorii
intermediari angajeaz personal ntr-o pia DMP. Producia vnztorului de bunuri finale este
constrns de rata real a dobnzii, care este egal cu minus inflaia (aa numita constrngere
ZLB), care este dat (adic economia este n capcana lichiditii). Productorul de bunuri
finale se adapteaz la aceast constrngere pltind mai puin pentru bunurile intermediare,
ceea ce reflecta scderea valorii acelor bunuri. Astfel, valoarea job-ului pe piaa DMP scade.
Productorii de bunuri intermediare se adapteaz la aceast constrngere reducnd ocuparea
suficient pentru ca producia de bunuri intermediare s scad la nivelul compatibil cu cererea
de bunuri finale, care este constrns de rata dobnzii nominale egale cu zero (ZLB).
Din moment ce rata inflaiei este predeterminat, un nivel pozitiv i relativ sczut al inflaiei
poate coexista cu rate nalte ale omajului pentru o perioad nedeterminat. Dat fiind
constrngerea ZLB, care face ca rata real a dobnzii s fie egal cu minus rata inflaiei,
soluia pentru ca ocuparea s creasc este ca cererea s creasc la niveluri normale.
Spre deosebire de modelul lui Mortensen, unde constrngerea ZLB duce la scderea preurilor
pe piaa bunurilor intermediare, n Hall (2013a i 2013b), constrngerea duce la
imposibilitatea de reducere a discounturilor, ceea ce menine valoarea job-ului sczut.
Hall pleac de la observaia c n modelele DMP este implicit faptul c valoarea job-ului este
egal cu valoarea prezent discountat a diferenei dintre productivitatea angajatului i plata
angajatului (Hall, 2013b). Dac discount-ul crete, valoarea job-ului scade i omajul crete.
Este tiut c fluxurile riscante primesc discounturi mari n perioadele de recesiune, iar
fluxurile considerate sigure primesc discounturi relativ mici. De exemplu, veniturile din
dobnzile la bondurile emise de guverne sunt considerate sigure, n timp ce riscul asociat
profiturilor firmelor (corporate earnings) sunt considerate riscante n perioade de recesiune. n
modelul lui Hall, fluxurile de beneficii de la un nou angajat (valoarea job-ului) are riscul
financiar comparabil cu riscul asociat profiturilor firmelor.
n perioade de criz, diferena dintre venitul anticipat pe piaa aciunilor i rata dobnzii
(adic premiul aciunilor) tinde s se lrgeasc, ceea ce nseamn c discountul implicit este n
cretere. Cnd discountul este mare, preul aciunilor este mic. n mod similar, n perioadele
de criz, cnd discountul este mare, fluxurile de beneficii de la un angajat (valoarea job-ului)
sunt mici
44
.
Micarea concomitent n acelai sens a valorii job-ului i a preului aciunilor nseamn c o
criz financiar care duce la creterea discounturilor finaciare face ca valoarea job-ului s

44
Pe piaa titlurilor de stat, unde discounturile scad, preurile titlurilor cresc n perioadele de criz.
47

scad i rata omajului s creasc. n viziunea lui Hall, aceasta explic scderea ofertei
agregate n timpul unei crize financiare. Discountul implicit existent n premiul aciunilor
(prima de risc de pe piaa de capital, asociat aciunilor) se mrete att prin creterea
venitului anticipat pe piaa aciunilor, ct i prin scderea ratei dobnzii.
Ceea ce conteaz este faptul c prima aciunilor este mare atunci cnd rata dobnzii este
constrns la zero din cauza scderii cererii. Dat fiind mrimea primei, presupunnd c banca
central ar crete rata dobnzii, venitul anticipat pe piaa aciunilor ar crete, lsnd prima
neschimbat. Cu alte cuvinte, constrngerea ZLB ar bloca scderea discountului.
Dac presupunem c factorul de discount este bine aproximat de prima de risc, atunci datele
economiei romneti confirm explicaia lui Hall. Contribuia ocului n prima de risc la
deviaia inflaiei a fost negativ n perioada de boom i s-a redus dramatic n 2008 T4, cnd
economia a sczut cu 2 la sut fa de trimestrul anterior. Contribuiile au devenit puternic
negative n fiecare trimestru din 2009 (Copaciu, 2012), cnd economia a sczut cu 6.8 la sut.
Din fericire, nu au existat factori care s mpiedice scderea primei de risc a Romniei i
creterea economic s-a reluat concomitent cu reluarea tendinei de cretere a gradului de
ocupare (scdere a ratei omajului) ncepnd cu 2010 T2 (Fig. 6).
Nici n Mortensen (2011) nici n Hall (2013a i 2013b) inflaia anticipat nu are rol n
explicarea coexistenei inflaiei pozitive relativ joase cu rate nalte ale omajului. Acest rol
apare ns n unele modele neokeynesiste. Walsh (2003) a fost primul care a introdus o
negociere Nash n cadrul modelelor de tip neokeynesist. Erceg, Henderson i Levine (2000)
au introdus pentru prima dat salarii rigide ntr-un model DSGE. n modelul lor neokeynesist,
Christiano, Eichenbaum, Evans (2005) au introdus salarii nominale rigide (ceea ce deja d un
rol inflaiei), fr ns a introduce o pia a muncii de tip DMP.
Gertler i Trigari (2009) au introdus un model de pia a muncii de tip DMP pentru a explica
de ce slariile reale au o evoluie relativ stabil, n timp ce rata omajului are o volatilitate
ridicat. Ideea de baz a fost aceea c negocierea Nash perioad-dup-perioad n cadrul
modelului DMP introducea prea mult volatilitate n stabilirea salariilor reale. Gertler i
Trigari (2009) au introdus o negociere Nash cu friciuni: n fiecare perioad de timp numai un
set de firme negociaz salariile cu angajaii si existeni la momentul negocierii. Cei angajai
ntre negocieri primesc salariile stabilite n negocierea anterioar. Astfel, pentru unele firme
salariile sunt, n termeni nominali, constante. Modelul dezvoltat de Gertler i Trigari (2009)
este o variant a modelului search and matching dezvoltat de Mortensen i Pissarides (1994).
Acest tip de negociere a fost introdus de Gertler, Sala, Trigari (2008) ntr-un model de
echilibru general. Evident, o inflaie mai mic (i, corespunztor, o rat a omajului relativ
mai mare) duce la scderea mai nceat a salariilor reale comparativ cu o inflaie mai mare.
Acest mecanism permite ca valoarea job-ului (produsul marginal al muncii minus salariul
angajatului) s fie mai mic la valori mai mici ale ratei omajului, unde inflaia este, posibil,
mai mare. n modelele menionate anterior, separarea angajailor de firme se realiza n mod
exogen. Christiano, Trabandt i Walentin (2011) introduc adiional i o separare endogen a
angajailor fa de firme, n funcie de situarea productivitii sub un nivel determinat
endogen, pentru a explica caracterul ciclic al ratelor de separare.
48

Blanchard i Gal (2008) au dezvoltat un model neokeynesist de echilibru general n care au
introdus o pia a muncii n care perioad dup perioad (nu la intervale aleatorii, ca n Gertler
i Trigari) exist o negociere Nash cu rigiditi (introduse exogen) n salariile reale. Acestea
nu scad pentru a acomoda scderea cererii. n modelul lor, inflaia depinde negativ att de
nivelul ratei omajului ct i de variaiile n rata omajului. Gradul de scleroz a pieei muncii
(msurat prin ncordarea pieei - calculat ca angajri/ omaj - i prin rata de separare
calculat ca proporie a angajailor care i pierd job-ul n fiecare perioad) joac un rol
esenial. Cu ct este mai sclerotic piaa muncii, cu att mai slabe sunt efectele ratei omajului
asupra inflaiei i cu att mai puternice sunt efectele n variaia ratei omajului. Aceast
concluzie este totui dificil de acomodat cu rezultatele din SUA, a crei pia a muncii este
foarte fluid, unde rata inflaiei a fost pozitiv i relativ stabil n perioada de recesiune, dar
rata omajului a rmas la niveluri foarte nalte.

6.3 Iraionalitatea i rata omajului

n Croitoru (2011) am artat c este posibil ca modelul DMP s rmn neschimbat i tot
poate explica rata nalt a omajului dac se accept c firmele au abateri de la raionalitate. n
continuare vom arta cum abaterea de la raionalitate se poate combina cu o recesiune pentru
a face ca rata omajului s fie nalt pentru o perioad ndelungat. Vom face acest lucru n
doi pai. n primul pas vom prezenta pe scurt i vom utiliza principalele ipoteze i rezultate
prezentate n Croitoru (2011) referitoare la piaa muncii, pentru a arta cum reduceri relativ
mici ale inflaiei pot coexista cu creteri relativ mari ale ratei omajului. n pasul al doilea
vom arta de ce inflaia relativ redus i rata nalt a omajului pot coexista pentru o perioad
relativ ndelungat atunci cnd constrngerea ZLB este perezent i ce cerine apar pentru
politica monetar.

6.3.1 Adoptarea normelor i rata omajului

Piaa muncii pe care am introdus-o n modelul neokeynesist este caracterizat de faptul c
firmele se pot temporar abate de la raionalitate prin adoptarea de norme privind angajarea
lucrtorilor auxiliari. Aceast abatere intervine ntr-un moment n care firmele anticipeaz c
perspectivele economice sunt bune pentru o perioad virtual nelimitat.
Perspectiva optimist apare la o rat a omajului relativ mic (
), dar totui semnificativ

mai mare dect rata natural a omajului, dup o criz, cnd economia i revine. Din acel
punct, angajaii cu munci auxiliare, care sunt o fracie constant din lucrtorii cu calificri
cheie pentru firm (
), sunt angajai n exces fa de lucrtorii auxiliari cerui de tehnologie.

Numrul minim de persoane auxiliare angajate n exces dup stabilirea normelor este o
proporie constant subunitar pozitiv (
) din numrul de personal auxiliar (
()).
Fr norme,
. Astfel, treptat, cnd producia crete, un numr tot mai mare de

lucrtori auxiliari sunt angajai n exces. Invers, cnd economia coboar din nou, numrul de
angajai n exces se reduce treptat pn la zero, cnd rata omajului reatinge nivelul
i
firmele renun la norme, revenind la raionalitate.
Iraionalitatea menionat face ca rata curent a omajului atunci cnd exist norme (
) s
fie mai mic dect rata curent a omajului care apare dac firmele nu au norme (
) cu

49

puncte procentuale. Aceast diferen (
) reprezint rezerve de eficien ale firmelor. Ele

reprezint o fracie din diferena negativ
, unde
, astfel c
este negativ (Croitoru 2011).

Angajaii n exces nu contribuie la creterea produciei, astfel c adoptarea (sau eliminarea)
normelor duce la un oc pozitiv (oc negativ) n productivitii muncii. Salariul este rezultatul
negocierii Nash ntre firm i fiecare angajat i depinde de rata omajului. Pe msur ce rata
omajului scade, salariul real crete, astfel c valoarea job-ului este mai mare la rate nalte ale
omajului.

Fig. 14: Corelaia dintre salariul real i rata omajului cnd exist norme

Totui, dup adoptarea normelor, productivitatea muncii scade i salariul real i ncetinete
creterea
45
. Aceasta nseamn c valoarea job-ului i ncetinete scderea la rate nalte ale
omajului. n Fig. 14
46
se vede c adoptarea normelor duce la deplasarea curbelor salariului pe
partea cererii (
) i a celui pe partea ofertei (
) n jos, reflectnd scderea productivitii

45
Cineva ar putea spune c salariile reale ar putea chiar scdea pe msur ce rata omajului scade dac normele
sunt adoptate la o rat a omajului apropiat de rata natural a omajului. Nu ar exista ns nicio raiune pentru
care salariile reale s scad pe msur ce economia se apropie de rata natural a omajului. Angajaii n exces ar
trebui s dein o pondere important din totalul forei de munc pentru ca scderea de productivitate s duc la o
scdere a salariului real pe partea cererii sub acel nivel al salariului real pe partea ofertei care exista la momentul
adoptrii normelor.
46
Pe axa rezervat ratei omajului, linia ntrerupt arat c distana dintre zero i rata natural a omajului este
mai mare dect apare n grafic. Aceast precizare este necesar pentru a nelege c distanaa dintre
nu
este n mod necesar aproape egal cu
, aa cum, din motive de spaiu apare din grafic.

u* + u
xef
u* u
nor
Rata omajului
w
s

w
d

Salariul real
Negocierea Nash pe o pia DMP
Normele duc
la scderea
ratei
omajului
50

muncii. Cu ct rezervele de eficien sunt mai mari, cu att ocul n productivitate este mai
mare.
Introducerea pieei muncii descris mai sus n modelul neokeynesist permite descompunerea
gap-ului ratei omajului ntr-o sum de dou gap-uri: gap-ul care reflect modificarea cererii
i gap-ul care reflect influena normelor, adic a ocului n productivitatea muncii. Cnd
cererea crete, rata omajului scade. La aceast scdere a ratei omajului se adaug scderea
determinat de angajarea n exces a personalului auxiliar. Invers, cnd cererea scade, rata
omajului crete. La creterea ratei omajului determinat de scderea cererii pentru producie
se adaug creterea ratei omajului determinat de concedierea personalului n exces
(eliminarea normelor)
47
. n acest fel, n modelul nostru, variaiile n rata omajului nu mai vin
doar de la ocurile n productivitate, ca n cadrul standard al modelului DMP, ci i de la
variaiile n cerere, care n final sunt reflectate n variaiile n producie.
Faptul c rata omajului se modific sub influena celor dou surse (cerere i norme) n timp
ce inflaia este n mod clar determinat de cerere (conform ecuaiei (1)), face ca ntre
modificrile n rata inflaiei i modificrile n rata omajului s existe decorelri. Pentru a
explica aceste decorelri este nevoie de (i) explicitarea legturii dintre variaiile n acel gap al
ratei omajului influenat exclusiv de cerere (producie) i variaiile n inflaie, precum i de
(ii) explicitarea legturii dintre gap-ul produciei i acel gap al ratei omajului determinat att
de cerere ct i de norme.
n ceea ce privete legtura dintre inflaie i gap-ul ratei omajului determinat exclusiv de
cerere (producie), n termenii notaiilor utilizate n acest studiu, se poate arta c ecuaia
Phillips are forma (Croitoru, 2011, p. 233):

(9),

unde
este deviaia costului marginal real de la trend

48
,
este gap-ul ratei

omajului determinat exclusiv de abaterea cererii de la nivelul potenial i
este rata natural

a omajului.
n ceea ce privete rata omajului, dac notm cu
gap-ul ratei omajului cnd

exist norme, atunci rata curent a omajului este:

, cu
(10).
n ecuaia (10),
pot fi pozitive sau negative i sunt calculate fa de rata natural a

omajului. Termenul
este tot un gap al ratei omajului, dar, aa cum am artat, este

calculat fa de
. Gap-ul
este egal cu gap-ul
dac nu exist norme. Cnd economia

este la potenial,
este negativ i egal cu rezervele de eficien. Cnd economia opereaz

sub potenial, dar rata omajului este mai mic dect
, gap-ul
este mai mare ca
.

47
Aa cum am precizat, personalul n exces este o proporie constant din personalul auxiliar, care la rndul su
reflect o proporie constant din personalul cu calificri cheie, cerut de tehnologie.
48
Pentru formula lui
vezi Croitoru (2011).

51

Cnd economia opereaz la un nivel peste potenial, ambele gap-uri ale ratei omajului sunt
negative, cu
n modul mai mare dect
n modul.
Aa cum vom arta n seciunea urmtoare, mai ales cnd constrngerea ZLB este prezent,
pentru relaia dintre inflaie i modificrile n rata omajului, devine relevant gap-ul ratei
omajului calculat fa de
. Notnd acest gap cu
i reamintind c
, relaia dintre gap-uri este:

(11).
Introducnd constanta
(definit n lipsa normelor) i innd cont c
, ecuaia (11) se poate scrie astfel nct rata curent a omajului s depind de variabila
, ca i inflaia n ecuaia (10):

)(
) (12).
Fr norme, rata curent a omajului este
i este dat de ecuaia (12) pentru
. Cu
norme, rata curent a omajului este
i este dat de ecuaia (12) pentru
().
Pentru a vedea cum se reflect o variaie a cererii (produciei) n variaia ratei omajului
pornim de la ecuaiile (1) i (9). Din aceste ecuii rezult c ntre gap-ul produciei i gap-ul
ratei omajului, atunci cnd normele nu sunt prezente, exist urmtoarea relaie:

(13).
innd cont de factorul de proporionalitate
din ecuaia (13), i introducnd constanta
, diferena
se poate scrie n termenii produciei sub forma

. nlocuind pe i pe
n ecuaia (12) cu formele lor dependente de producie

rata curent a omajului n funcie de gap-ul produciei este
49
:

) cu
(14).
Dac nu exist norme, ecuaia (14) are forma
, dac o
exprimm ca gap-uri fa de nivelul de adoptare a normelor, sau forma din relaia (13) dac o
exprimm ca gap-uri fa de nivelurile normale ale produciei i ratei omajului. Dac exist
norme, ecuaia (14) are forma
), dac este
exprimat n funcie de gap-urile fa de nivelul de adoptare a normelor. Exprimat n funcie

49
Ecuaia (14) este o form particular, n care variaiile sunt presupuse a avea loc fie pentru niveluri ale ratei
omajului mai mici dect ca
(cu norme) sau mai mari sau egale cu
(fr norme). Pentru o form

general a ecuaiei vezi (Croitoru, 2011). Scznd ecuaia (14) la momentul din ecuaia (14) la momentul
se obine:
). Dac economia se mut de la
la
,
atunci
)(
.
52

de ge gap-urile fa de nivelurile normale ale produciei i ale ratei omajului, ecuaia (14) are
forma
50
:

(15).
Acum putem studia legtura dintre gap-ul produciei, gap-ul ratei omajului i inflaie. Din
ecuaiile (9), (13) i (15) luate mpreun avem urmtoarele rezultate: (i) n lipsa normelor, un
gap dat al produciei (
) va genera o deviere a inflaiei de la inflaia anticipat (
}) i un gap al ratei omajului (
); (ii) n prezena normelor, acelai gap al

produciei (
) va genera aceeai deviere a inflaiei de la inflaia anticipat (
}),
dar va produce un gap al ratei omajului diferit (
), comparativ cu cel care apare cnd

normele nu sunt prezente. n mod particular , dac normele sunt prezente, aceeai variaie n
producie genereaz o variaie mai mare a ratei omajului comparativ cu situaia n care
normele nu sunt prezente. Cu alte cuvinte, normele influeneaz relaia dintre inflaie i omaj.
Aceste rezultate sunt prezentate n Fig. 15
51
, unde reprezentarea grafic a legturii dintre
inflaie i omaj este fcut conform ecuaiei (9), iar reprezentarea grafic a legturii dintre
inflaie i producie este fcut conform ecuaiei (1)
52
.
n Fig. 15 se presupune c economia se mic de la
la
i invers, astfel c nivelul

curent al produciei
ia alternativ valoarea
sau
. Dac nu exist norme (adic
), cnd economia se mic de la
la
i invers, conform ecuaiei

(14) relaia dintre modificarea produciei i modificarea ratei omajului este
.
n schimb, dac exist norme, conform ecuaiei (14), modificarea produciei determin o
modificare a ratei omajului de (
) ori mai mare:
)
53
. n Fig. 15, coeficientul
nu apare explicit deoarece am

presupus scale diferite pentru producie i pentru omaj.
S presupunem c economia este n faza ascendent i nu exist norme. Conform ecuaiei (9),
cnd producia se mut de la
la
, inflaia se mut de la
la
, astfel c rata
omajului va scdea de la
la
(Fig. 15). Se vede c nchiderea gap-ului
duce
la nchiderea gap-ului
i la egalitatea dintre inflaia curent i inflaia anticipat.

50
Aceast ecuaie se obine introducnd expresia lui
din ecuaia (13) n ecuaia (12) i innd cont c
este o constant.
51
Pe axa rezervat ratei omajului, linia ntrerupt arat c distana dintre zero i rata natural a omajului este
mai mare dect apare n grafic. Aceast precizare este necesar pentru a nelege c distanaa dintre
nu
este n mod necesar aproape egal cu
, aa cum, din motive de spaiu apare din grafic.

52
Ecuaia (9) poate fi scris n forma ecuaiei (1) dac termenul care l conine pe
se nmulete cu expresia
( )(
).
53
Termenul
este mai mic dect
deoarece
este negativ.
53

Totui, dac exist norme n virtutea crora se angajeaz personal auxiliar n exces fa de
numrul cerut de tehnologie, cnd producia crete de la
la
, rata omajului nu va
scdea de la
la
, ci la
, adic la un nivel mai mic dect rata natural a

omajului
54
.

Fig. 15: Rata inflaiei i modificrile n rata omajului cnd exist norme

Cu alte cuvinte, atunci cnd exist norme i producia crete la nivelul potenial, unei creteri
date a inflaiei i corespunde o reducere relativ mare a ratei omajului. Astfel, depinznd de
mrimea normelor, o cretere relativ mic a inflaiei de la
la
poate fi acompaniat
de o scdere relativ mare a ratei omajului.
Spresupunem ns c economia este n faza descendent a ciclului de afaceri i c normele
sunt prezente. Cnd producia scade de la nivelul potenial
la nivelul mai mic
, rata
omajului crete de la nivelul foarte redus
la nivelul de adoptare a normelor,
.
Ca i n cazul precedent, aceast cretere a ratei omajului este de
ori mai mare

dect creterea care apare dac firmele nu adopt norme. n acest caz, o scdere a inflaiei de
la nivelul anticipat
la nivelul
este acompaniat de o cretere relativ mare a ratei

omajului. Astfel, depinznd de mrimea normelor, o scdere relativ mic a inflaiei poate fi
acompaniat de o cretere relativ mare a ratei omajului.

54
n prezena normelor, rata curent a omajului va ajunge s fie egal cu rata natural a omajului fr ca
cererea s creasc la nivelul su potenial. n Fig. 15 cererea ajunge de la nivelul sczut
la nivelul
, mai
mic dect nivelul potenial, dar rata curent a omajului (cu norme) scade la nivelul natural
(definit n lipsa
normelor) din cauz c normele au contribuit la scderea ratei omajului.
u* + u
xef
u* u
im
u
nor
u
ZLB
Rata omajului

Cererea
Curbas Phillips neokeynesist
0

Producia
0
Rata
inflaiei

54

Prezena normelor nseamn c firmele opereaz cu personal n exces. n perioada de boom
economic aceste ineficiene nu s-au vzut. Anticipaiile privind creterea economic i a
preurilor activelor le-a fcut invizibile. Criza din anul 2008 a constituit un oc care a
dezvluit firmelor ineficienele care ajunseser s fie considerate normale. Odat ce
economia a sczut spre nivelul de la care normele sunt adoptate, personalul care a prsit
treptat producia a fost cel dat de reducerea cererii i, n plus, de personalul angajat pentru c
normele erau prezente. Astfel, n recesiune, normele au contribuit la accelerarea eliberrii de
personal, fr a exercita presiuni i pentru reducerea inflaiei. Cnd rata omajului a atins
nivelul
, normele au disprut i nu mai exista personal n exces. Din acel punct, eliberarea
n continuare de for de munc a fost exclusiv determinat de reducerea cererii.
6.3.2 Constrngerea ZLB, anticipaiile inflaioniste i normele

n continuare utilizm rata omajului la care se adopt normele i anticipaiile inflaioniste
pentru a arta de ce, cnd constrngerea ZLB este prezent, rata omajului poate rmne la
niveluri relativ nalte pentru perioade prelungite. n procesul care face ca rata omajului s fie
nalt o perioada ndelungat, mrimea ratei omajului
i modul n care aceast mrime

ajunge s determine adoptarea de norme joac un rol important.
n ceea ce privete mrimea ratei
, dou aspecte sunt eseniale. Pe de o parte, cu ct mai

mare este
, cu att mai mari sunt rezervele de eficie (ineficienele), msurate sub forma
, cnd economia ajunge la potenial. Implicit, cu att mai mare va fi diferena dintre
nivelul ratei omajului n perioada de boom i nivelul ei n perioada de criz. Pe de alt parte,
dac
este relativ mic, cu att mai dificil va fi pentru firme s ating nivelul de ocupare
care indic o perioad viitoare de vremuri bune.
n ceea ce privete modul de stabilire a mrimii lui
, ceea ce conteaz este, n primul

rnd, felul n care agenii economici ajung s stabileasc nivelul ratei omajului. Mrimea lui
este stabilit n mod endogen n procesul continuu de alegeri libere ale agenilor
economici. Cnd ajung la concluzia c rata omajului este suficient de sczut, cvasitotalitatea
agenilor economici i schimb percepiile privind valoarea i riscul, precum i atitudinile
fa de risc. La nivelul astfel identificat al ratei omajului, percepia c urmeaz vremuri bune
se generalizeaz printre antreprenori (Croitoru 2013b).
Odat ce consumatorii i productorii i asum riscuri crescute, deciziile lor referitoare la
creterea consumului, a investiiilor i a produciei se nmulesc i creterea economic se
accelereaz. Dup ce rata omajului scade sub nivelul critic
, reducerea ratei omajului se

accelereaz nu numai datorit creterii cererii pentru producie, ci i sub influena normelor
adoptate.
n scenariul prezentat mai sus, esenial este ca dup o prbuire a cererii, scderea ratei
omajului la nivelul de la care se reinstituie optimismul s se realizeze ct mai repede. Din
aceast perspectiv, atingerea unei rate a omajului mai mic dect
trebuie s fie
obiectivul central al politicilor macroeconomice. Odat ce aceast int este atins,
schimbrile privind valoarea i riscul i atitudinile relativ optimiste vor lucra pentru
accelerarea creterii economice. Mai mult, odat ce firmele adopt norme privind ocuparea,
55

ceteris paribus ocul n productivitate se va reflecta n creterea costurilor unitate ale muncii.
n final, costurile mrite vor ajuta creterea inflaiei, pn atunci situat sub nivelurile dorite.
n atingerea unui nivel al ratei omajului mai mic ca
, inflaia anticipat joac un rol

esenial. Pentru a nelege rolul inflaiei s presupunem c cererea se prbuete suficient ct
s mping rata omajului la un nivel mai mare ca
. n acest caz, gap-ul ratei omajului

calculat fa de
este pozitiv. n Fig.15, o astfel de prbuire reduce nivelul cererii i al

produciei la nivelul
, cruia i corespunde rata omajului
. La acest nivel al produciei,

banca central a redus deja rata dobnzii nominale la zero i constrngerea ZLB este prezent.
Odat ce rata dobnzii de politic monetar este egal cu zero, inflaia devine n mare msur
o variabil liber
55
, iar rata real a dobnzii este egal cu minus inflaia anticipat. Legtura
dintre rata real a dobnzii i producie este cea prezentat n Fig. 8. Dac inflaia anticipat
este relativ mic, rata real a dobnzii va fi relativ mare. Astfel, producia nu va atinge un
nivel suficient de nalt pentru ca rata omajului s scad orict de puin sub nivelul
, de la
care se instituie optimismul, contribuind la relansarea economiei. Cel mai credibil mod de a
produce inflaie este creterea deficitelor fiscale (Calvo, 1987 i 1991). Totui, o criz poate
aprea cnd guvernele sunt prea ndatorate, astfel c lrgirea deficitelor fiscale este fie
limitat, fie imposibil. Experiena unor ri din zona euro n perioada 2009-2013 este o
dovad n acest sens.
Ceea ce rmne sunt relaxrile cantitative. Acestea trebuie fcute imediat ce rata dobnzii de
politic monetar atinge virtual valoarea zero, n cantiti suficient de mari i pentru o
perioad suficient de lung. Conform cu efectele pe care adoptarea normelor le au asupra
creterii pasului cu care scade rata omajului, relaxrile cantitative trebuie continuate pn
cnd rata omajului scade orict de puin sub
, care este identificat de firmele

nefinanciare ca indicatorul care garanteaz c urmeaz vremuri bune pentru afaceri. Cu alte
cuvinte, cnd constrngerea ZLB este prezent, politica monetar trebuie s inteasc trecerea
gap-ului
n teritoriu negativ.
Modelul nostru d o baz solid abordrilor Fed-ului i Bncii Angliei pentru deciziile lor de
a continua relaxrile cantitative pn cnd rata omajului va atinge un anumit nivel relativ
sczut, generat exogen de bncile respective (rata int a omajului). Aceast practic are
avantajul c poate accelera procesul de stabilire endogen de ctre agenii economici a
nivelului ratei omajului
. n acelai timp, practica menionat are riscul ca rata omajului

intit de bncile centrale s fie mai mare dect rata
, pe care o stabilesc agenii

economici n mod endogen. n acest ultim caz, rata int este insuficient de mic i
ntreruperea politicilor de relaxare cantitativ de banca central atunci cnd ea este atins va fi
prematur, economia putnd reintra n recesiune.
Dup modelul prezentat n aceast seciune, politica monetar n rile dezvoltate nu a reuit
mutarea relativ rapid a anticipaiilor inflaioniste la niveluri suficient de mari pentru a
stimula creterea mai nalt a economiei. Din aceast cauz, rata omajului de la care se reface
optimismul i se instituie norme privind ocuparea nu a fost atins suficient de repede (sau

55
Inflaia nu este sut la sut liber, dar n principiu afirmaia este adevrat.
56

poate c nu a fost nc atins). Aceasta explic de ce rata omajului a rmas la niveluri nalte
pentru o perioad relativ nalt, dei inflaia s-a stabilizat la niveluri pozitive, chiar dac mai
mici dect nainte de criz.
Normele adoptate de firme privind ocuparea forei de munc auxiliare explic bine de ce
legea lui Okun nu poate ine pentru perioade lungi de timp. Corelaia dintre variaiile n gap-ul
de producie i gap-ul ratei omajului este afectat, printre altele, de norme. La fel se ntmpl
i cu legea lui Okun exprimat ca legtur ntre rata de cretere a produciei i variaiile n rata
omajului. n funcie de faza ciclului economic sau de ocurile care dezvluie firmelor
iraionalitatea privind ocuparea
56
, normele pot fi prezente sau nu, schimbnd legtura dintre
cretere i ocupare.
7. Concluzii

n acest studiu revedem progresele n nelegerea determinanilor inflaiei din ecuaia Phillips
neokeynesist. n linie cu aceste progrese am artat c politicile macroeconomice nu pot
tempera un boom financiar dac inflaia este joas i stabil i producia este la nivelul
potenial. Boom-ul financiar, inflaia joas i stabil i egalitatea dintre producia actual i
cea potenial este posibil s coexiste dac rata de cretere economic este nalt i egal cu
rata potenial de cretere.
Informai de progresele menionate, am analizat politica monetar n Romnia i critica
acesteia civa ani nainte i civa ani dup intrarea economiei n recesiune n 2008. Artm
c, nainte de criz, critica conform creia o cretere mai mare a ratei dobnzii de politic
monetar ar fi dus la o inflaie mai mic nu este corect. Pe de o parte, o cretere a ratei
dobnzii era necesar pentru a tempera anticipaiile inflaioniste. Pe de alt parte, o scdere a
ratei dobnzii era necesar pentru a tempera intrrile de capitaluri. Acestea influenau inflaia
prin creterea gap-ului inflaionist i prin aprecierea leului, care contribuia la reducerea
preurilor de import i, astfel, la reducrea inflaiei. Politica monetar s-a confruntat cu o
dilem. Artm cum a rspuns politica monetar aceastei dileme.
Dup intrarea n recesiune, politica monetar a fost criticat pentru reducerea insuficient a
ratei dobnzii, care, astfel, ar fi accentuat recesiunea. Am artat c, dat fiind gradul nalt de
ndatorare n valut a sectorului privat, o reducere mai mare a ratei dobnzii ar fi rezultat ntr-
o depreciere mai mare a leului. Pe aceast rut, dobnda mai mic ar fi tensionat bilanurile
gospodriilor, firmelor i bncilor, adncind recesiunea. n perioada 2010 T3-2013 T3,
deviaiile inflaiei IPC de la int au fost determninate aproape n ntregime de inflaia care nu
este sub directa influen a politicii monetare. Am artat c i n acest caz, inflaia nu a fost o
variabil liber de politica monetar din cauz c anticipaiile inflaioniste au fost pozitive
i, n unele subperioade, relativ nalte.
n sfrit, oferim o explicaie pentru care n rile dezvoltate, unde rata dobnzii este virtual
egal cu zero, inflaia s-a stabilizat la niveluri pozitive n timp ce rata omajului a crescut la

56
Definiia unui astfel de oc este prezentat n Croitoru (2011). n model, odat ce au fost eliminate din cauza
ocului, normele nu pot fi reinstituite dect dup ce rata omajului reatinge nivelul de la care firmele adopt
norme.
57

niveluri nalte i persistente. Am artat c dac firmele identific o anumit rat a omajului -
s spunem
- mai mare dect rata natural a omajului, care odat atins nate percepia
generalizat c urmeaz vremuri bune, atunci creterea economic se accelereaz. Mai mult,
dac firmele au norme privind angajarea personalului auxiliar pe care le adopt odat ce rata
curent a omajului scade sub nivelul
, scderea ratei omajului se accelereaz.

Astfel, dac n urma unei crize, rata omajului este substanial mai mare ca
i rata
dobnzii a fost redus la zero, este logic pentru politica monetar s inteasc atingerea ratei
omajului
. Modelul nostru d baz teoretic politicii Rezervei Federale a SUA i a

Bncii Angliei de a practica relaxrile cantitative pn cnd rata omajului
este atins.
Sunt subliniate riscurile care apar dac rata omajului aleas ca int nu este egal cu
.

58

Anexa 1: Contribuiile inflaiei non-core-3 i ale inflaiei core-3 la deviaia inflaiei anuale
IPC de la int i rata dobnzii reale de politic monetar
Perioada Deviaia
inflaiei
anuale
IPC (pp)
Contribui
a inflaiei
non-core-
3 (pp)
Contribui
a inflaiei
core-3
(pp)
Rata real
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
a dobnzii
de politic
monetar
(%)
Gap-ul
ratei reale
efective a
dobnzii
de politic
monetar
(%)
(1) (2) (3) (4) (5) (6) (7)
2003T1-2004 T2 -1,40
(0,78)
0,85
(0,93)
-2,25
(-0,15)
6,08
(19,71)
3,38 3,38
2004 T3-2005 T3 0,70
(1,06)
1,76
(2,55)
-1,06
(-1,49)
3,36
(13,00)
1,37

1,15

2005 T4-2006 T3 0,78
(0,38)
2,33
(1,76)
-1,54
(-1,38)
0,54
(8,22)
-1,71 -2,61
2006 T4-2007 T3 -0,28
(0,86)
0,83
(1,41)
-1,10
(-0,55)
3,01
(7,71)
0,58 0,12
2007 T4-2008 T3 3,95
(4,45)
2,39
(2,22)
1,56
(2,23)
3,20
(8,96)
0,69 0,42
2008 T3 4,34
(0,82)
2,17
(1,12)
2,17
(-0,30)
4,12
(10,17)
1,66 1,15
Sursa: Direcia de Modelare i Prognoze Macroeconomice, Modelul trimestrial de prognoz al BNR i clacule
(anualizat). n coloana (5) n paranteze sunt prezentate mediile ratei nominale a dobnzii de politic monetar.

n perioada 2003 T1-2004 T2, deviaia negativ a inflaiei anuale IPC de la int s-a redus
relativ rapid. Politica monetar a rspuns printr-o cretere moderat a ratei dobnzii de la 18,3
la sut n 2003 T1 la 21,1 la sut n 2004 T2. Totui, scderea anticipaiilor inflaioniste n
aceast perioad de la 15,3 la sut la 11,96 la sut a fcut ca rata real a dobnzii s creasc
abrupt de la 3 la sut n 2003 T1 la 9,11 la sut n 2004 T2. n Anexa 2 se vede ns c pe
baze trimestriale inflaia a avut o deviaie pozitiv medie de 0,78 pp, la care anticipaiile
inflaioniste au contribuit n medie cu 0,75 pp, gap-ul produciei i inflaia importat
contribuind negativ. n concluzie, decizia de politic monetar a fost corect.

59

Anexa 2: Contribuiile anticipaiilor inflaioniste, ale gap-ului de producie i ale inflaiei
importate la deviaia inflaiei anuale IPC de la int nainte de intrarea economiei romneti n
recesiune
Perioada Deviaia
inflaiei anuale
IPC (pp)
Contribuia
anticipaiilor
inflaioniste
(pp)
Contribuia
gap-ului de
producie (pp)
Contribuia
inflaiei
importate (pp)
(1) (2) (3) (4) (5)
2003-T1-2004 T2 -1,40
(0,78)
0,03
(0,75)
-0,59
(-0,45)
-1,13
(-0,75)
2004 T3-2005 T3 0,70
(1,06)
0,62
(0,60)
0,13
(0,23)
-0,93
(-0,99)
2005 T4-2006 T3 0,78
(0,38)
0,66
(0,87)
0,43
(0,69)
-0,37
(-0,34)
2006 T4-2007 T3 -0,28
(0,86)
0,47
(0,24)
1,03
(1,16)
-0,61
(-0,60)
2007 T4-2008 T3 3,95
(4,45)
0,56
(0,82)
1,37
(1,56)
0,50
(0,84)
2008 T3 4,34
(0,82)
0,79
(0,92)
1,56
(1,62)
0,83
(-0,29)
ale autorului. Not: n coloanele (2)-(5), n parantez sunt prezentate datele medii pentru inflaia IPC trimestrial
(anualizat)

60

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The Eurozone: An Inconvenient Truth
Romanian Journal of Economic Forecasting 2/2013
193

THE EUROZONE: AN INCONVENIENT
TRUTH
1

Lucian CROITORU
2

Abstract
In this study, we show that the main problem facing the Eurozone economy is the
relatively low competitiveness of the PIIGS economies compared with other
economies in the region. Findings show that the defining trait of PIIGS countries is
neither budget deficits, nor public debt, but rather the current account deficits
(http://ideas.repec.org/a/oen/econom/y2012i03id332.html). The politicians initial
assumption that joining the Eurozone would lead to the convergence of productivity
trends failed to materialize. We argue that, while tightening fiscal discipline within the
Eurozone is a must, it does not solve the problem of lack of competitiveness. Adopting
rules on capping structural deficits at around 0.5 percent of GDP might prove
premature, given the private sector deleveraging process. We reveal the solutions that
help exit the crisis without deepening the recession. Among them, a weaker euro
would buy time for countries facing a competitiveness deficit to implement far-reaching
structural reforms conducive to higher labor productivity. The European Central Banks
quantitative easing is compatible with this solution.
Keywords: competitiveness, productivity, current account deficit, crisis, recession,
quantitative easing, Eurozone
JEL Classification: E58; E32; E44

I would like to thank my NBR colleagues, Rzvan Stanca and Elena Iorga, for their
valuable insight and support in preparing this paper.
1. Foreword
The current plan to deal with the euro area crisis focuses on the adoption of a fiscal
accord to limit the ratios of structural budget deficit and public debt to GDP by way of
constitutional provisions or the like. Introducing such a rule (hereinafter referred to as
the D/D rule) into the constitution is expected to contribute to restoring confidence in
the short run, as well as to strengthening the economic and financial stability in the
long run. This rule, albeit necessary, will prove ineffective in producing the desired

1
The opinions expressed herein are those of the author and do not, in any way, reflect the
official position or policies of the National Bank of Romania. This study was first published in
Romanian in January 2012 (http://www.bnro.ro/Puncte-de-vedere-4011.aspx) and then
included in the 2012 authors book Monetary Policy: Unconventional Approaches.
2
National Bank of Romania.

Institute for Economic Forecasting

194

effects if implemented too early and in the absence of an additional rule to change the
financial entities expectations of the government conduct during times of crisis.
In the near future, the D/D rule is not an adequate response to the euro area crisis
since it does not target the root cause of the crisis. In the long run, the rule does not
hinder government bailouts of private entities, allowing the private sector to assume
imbalances wider than those considered prudent in the absence of possible
government bailouts. As a result, relatively small public deficits and debts may co-exist
with huge private sector imbalances, which can be as harmful as the public sector
ones. Large imbalances in the private sector may be at any time a trigger of a crisis.
2. Causes of the Eurozone crisis
While they may create problems in the future, neither budget imbalances nor public
debt levels have been the causes of the crisis hitting the PIIGS
3
economies. In the
pre-crisis period (1999-2007), only Greece and Portugal out of the PIIGS group, along
with Malta and Slovakia, posted average budget deficits larger than 3 percent of GDP
(Figure 1).
With regard to public debt, only Italy and Greece of the PIIGS group exceeded the
60 percent debt-to-GDP ratio, the same as Belgium, France, Cyprus, Malta, Austria
and Germany in the Eurozone as a whole (Figure 2).

Source: Authors calculations based on AMECO data. Source: Authors calculations based on
AMECO data.
In fact, external imbalances are the problem of the euro area. The relatively high
current account deficits are a common feature of the PIIGS countries, except Italy
(Figure 3). The current account deficits of the PIIGS economies widened in 1999-2007
as compared with 1990-1998 (Figure 4).

3
Portugal, Italy, Ireland, Greece, Spain.
195

Source: Authors calculations based on AMECO data.
By contrast, in the same period, their fiscal deficits narrowed or even turned into a
surplus in the case of Ireland and Spain (Figure 5). This is clear evidence that, in the
PIIGS countries, except Italy, current account imbalances of the private sector
(Figure 6) have been the real problem lying at the root of the crisis that broke out in
2007. Greece was an outlier, with its average budget deficit exceeding 5.5 percent of
GDP.

AMECO data.

196

The euro adoption caused the external imbalances of the private sector in these
countries to widen, thus increasing their dependence on unit labour costs, namely the
ratio of nominal wage to labour productivity. The assumption on the convergence of
productivity trends in euro area countries failed to materialise, so that the divergent
growth rates of nominal wages (in Annex 2 we present indexes of nominal
compensations per employee) led to larger trade imbalances.
In 1999-2007, the nominal unit labour costs grew at a faster pace in Ireland, Spain,
Portugal, Italy and Greece (in this order) than in the other Eurozone-12 countries
4

(Figure 7). The PIIGS countries recorded the highest and the lowest growth rates of
labour productivity, as well as the fastest rates of increase in compensation per
employee in the Eurozone-12 countries.
Out of the Eurozone-12 countries, Greece and Ireland posted the highest labour
productivity increases, which were, nonetheless, eroded by the swiftest rises in
compensation per employee. In Portugal, labour productivity also rose at a faster pace
than in Germany and France, yet the growth of compensation per employee was
much higher than in any Northern European country of the Eurozone-12 group. In
contrast, Spain and Italy reported the lowest labour productivity increases in
the Eurozone-12 countries (Annex 1 and Figure 14 in Annex 3), but not the smallest
rises in compensation per employee, which grew more rapidly than in Germany,
Austria, France and Belgium.

Source: Authors calculations based on AMECO data Source: Authors calculations based on
AMECO data

4
Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the
Netherlands, Portugal, Spain.
197

Should the national currencies of the countries where unit labour costs rose relatively
fast still have been used, they would have depreciated in order to counterbalance the
overly rapid increase in wages and the rather slow growth of labour productivity.
Currency depreciation would have fostered exports and slowed imports, and thus
would have narrowed the private sector external deficits in Portugal, Spain, Ireland
and Greece, while also reducing the trade surpluses of Germany, the Netherlands,
etc. However, given the single currency, deficits were further dependent solely on the
growth rates of wages and productivity.
The appreciation of the single European currency amplified the competitiveness
losses arising from the rather rapid increase in nominal unit labour costs in Italy,
Greece, Portugal, Spain, and Ireland. In the Eurozone as a whole, the stronger euro
eroded average competitiveness and put upward pressure on the current account
deficit vis--vis the non-euro area markets. Moreover, in the Southern euro area
countries, the euro appreciation overlapped the lack of real convergence, causing the
worsening of competitiveness to lie at the root of the Eurozone crisis.
In the case of a single currency, price competitiveness differentials basically depend
on the inflation differential. This can be analysed by writing unit labour costs as a
product between GDP deflator (GDP DEF), the employment-to-employees ratio
(EMPT/EMPS) and the share of nominal compensation of employees in GDP
(NC/GDP). Annex 4 shows the developments in these indicators by country. The
evolution of GDP deflator obviously explains the unit labour costs dynamics, while
neither the share of compensation of employees in GDP, nor the ratio of employment
and employees underwent significant changes. Data validate the assumption that, in a
single currency area, countries with relatively high inflation rates incur competitiveness
losses.
The developments in the competitiveness of the PIIGS countries after their joining the
euro area show an inconvenient truth, namely the countries that entered the monetary
union while having low competitiveness could not sustainably converge for reasons
that need to be thoroughly assessed to the productivity levels of Northern euro area
countries. The crisis revealed that the adoption of the single currency alone is not
sufficient for productivity trends to converge. Due to their massive indebtedness in
euro, these countries cannot leave the Eurozone in order to become competitive
enough without incurring huge costs. This implies rising costs for all euro area
countries.
This is a lesson that euro area candidate countries need to learn: once the assumption
of productivity convergence within the euro area was not confirmed, the entry into the
monetary union should be postponed until labour productivity levels near those in
Northern euro area countries, no matter how long it would take. Nevertheless, keeping
in place a relatively close date for joining the Eurozone is beneficial, as it can lead to
the step-up in the reforms necessary for narrowing productivity gaps.
In addition, the Eurozone entry needs to be prepared by creating the mechanisms
(sources) to ensure the sustainable increase in labour productivity after adopting the
euro as well, for the purpose of avoiding the emergence of disparities between labour
productivity trends in new euro area member states and in highly productive countries.

198

Insufficient preparations would translate into a crisis, as it was the case of the PIIGS
countries.
3. Changes the Crisis Have Brought About
The economic crisis stemmed from the external imbalances between the more
competitive countries in Northern Europe and the less competitive ones in Southern
Europe. Prior to the crisis, private fund surpluses in some of the Northern countries
were used to finance private deficits in other euro area countries. Once the crisis set
in, these foreign private funds were slashed and private deficits collapsed.
The crisis brought about two major changes that, however, neither led to the
elimination of the current account deficits, nor significantly altered the deficit
distribution by country. The first change resides in the emergence of current account
surpluses in the private sectors and, as a result, all the countries, except Cyprus,
posted, on average, private sector external surpluses in 2009-2010 (Figure 6).
The emergence of private sector external surpluses in the PIIGS countries reflects
(apart from Greece and Italy) substantial decelerations of the average ULC growth
rates to levels below the Eurozone average (Figure 8 and Figure 9), including through
domestic devaluations, namely through cuts in relative wages. Compared to the
individual average growth rates reported during 1999-2007, the average ULC growth
rates during 2009-2010 slowed down in the PIIGS countries, except Greece, and rose
in Germany, Slovenia, Finland, Luxembourg, Austria, France, Belgium and Cyprus
(Figure 10). The build-up of surpluses generates recession, but what stands behind
this is a very strong reason, i.e. the private entities need to cut back on their external
debts following the decline in asset value.

AMECO data.
199

The second major change was attributed to economic policies. The private funds in
the Northern countries were replaced by public funds. Therefore, during 2008-2010,
budget deficits in all euro area countries exceeded by far the average levels recorded
in 1999-2007, nearing those seen in 1990-1998. Thus, current account deficits as a
share of GDP remained relatively unchanged at pre-crisis levels. The Northern
countries further recorded current account surpluses, while the Southern countries
displayed current account deficits.
4. Possible Short-Term Solutions
As long as imbalances remain large, the risk of new crises is high. There are several
ways to reduce imbalances. Some are recessionary, while others are not. Capping
structural general government deficits at 0.5 percent of GDP is one of the solutions
that do not support short-term growth. Since the distribution of external imbalances by
country remained relatively similar to that recorded prior to the crisis, it appeared
logical that public sectors should continue to make efforts to reduce current account
deficits via cutting budget deficits and creating rules against their subsequent build-up.
But the D/D solution does not necessarily solve the issue of competitiveness and
generates recession as well.
Other solutions to reduce imbalances among those that do not stimulate short-term
economic growth can also be explored. The first solution consists in continuing
domestic devaluations (relative wage reduction), which will cause even higher external
surpluses of the private sectors in the PIIGS countries. However, competitiveness
gains would be outweighed by severe recessionary consequences.
The second solution resides in the fast reduction of the budget deficits in the countries
posting current account deficits. This solution, just like the first one, would push the
PIIGS countries deeper into recession, which, in turn, would make them even more
vulnerable. The reduction of current account deficits by this approach would not
necessarily entail the narrowing of competitiveness gaps.

200

The reduction of current account surpluses in Germany and other Northern countries
ranks among the solutions aimed at adjusting external imbalances that would also
boost economic growth. In practice, for these countries, this would translate into more
credit, larger wages and higher inflation. The benefit for the Southern area would be
the rise in exports. It is obvious however that Germany would have difficulties in
accepting the inflationary increase of domestic demand as this might lead to
competitiveness losses and less bright long-term growth prospects.
Finally, the fourth solution may be to further increase competitiveness via euro
depreciation (Feldstein, 2011), which would reverse, at least partly, the appreciation
trend initiated many years earlier. Along with the competitiveness gains already
recorded following the crisis by the Southern euro area countries, this depreciation
might help the EU in its entirety to reduce the existing imbalances by boosting exports
and depressing imports. The effect will be more manifest in the countries where the
shares of exports to and imports from the countries outside the Eurozone are larger.
The depreciation cannot be seen as a permanent solution since the real problem is
the lack of non-price competitiveness of the PIIGS countries relative to Germany and
other Northern countries. The depreciation of the euro versus not only the US dollar,
but also the Asian currencies, would however allow the Southern countries to record
higher productivity gains before the relatively sound fundamentals lead to euro
appreciation once again. The solution is compatible with the resumption of economic
growth and it would entail higher external competitiveness in the entire euro area
compared with other countries.
For lack of sufficiently large funds in the Financial Stability Mechanism to restore
confidence, an actually expansionary policy of the ECB cannot be averted in the
future. This could lead to euro depreciation. Obviously, a significant depreciation will
translate into higher inflation in the Eurozone. Considering the containment of the
structural budget deficit to 0.5 percent of GDP and the depreciation, the problem sticks
to choosing between short-term deflation and long-term inflation.
The containment of structural general government deficits to 0.5 percent of GDP in all
the Eurozone countries is equivalent to increased austerity and implicitly to the option for
short-term deflation. This option is a constraint for an expansionary policy in the
Northern countries, which might prove useful, including for absorbing the possibly higher
exports of the PIIGS countries. The containment of deficits by way of constitutional
provisions should become effective only after the danger of recession is removed.
5. Conclusions
The problems associated with the competitiveness shortfall-induced imbalances would
be dampened if the monetary union were reinforced by a fiscal union. The latter, in
order to be democratic, should derive from the political union of the Member States.
The issue of external financing that the less competitive countries of the monetary
union are facing, as is currently the case, no longer emerges, by definition, in a fiscal
union.
But the fiscal union does not guarantee sustainable economic growth and financial
stability. It can only reduce the magnitude of the business cycle stages if it relies on
201

rules that ensure sound fiscal behaviour. Such a construction is necessary for the EU
and all the more so for the Eurozone.
The D/D rule is a necessary, though not sufficient, step in this direction. It is necessary
to prevent pro-cyclical fiscal behaviour that can overheat the economies or, on the
contrary, can push them deeper into recession. The rule is insufficient from two
perspectives. First, without a fiscal union, the issue of external funding for the
countries recording competitiveness losses stays open even if general government
deficits narrow. The second perspective reaches even further: the D/D rule cannot
guarantee sound fiscal behaviour as its scope is limited. It does not limit state
intervention only to entities rightfully considered too big to fail.
For this reason, governments will be stuck in the expectations trap (see the article
titled Statul, criza i capcana anticipaiilor The government, the crisis and the
expectations trap, Croitoru, 2012), where they have stayed for more than seven
decades. The expectations trap is a frail balance under which, due to the prevalence
of statist conceptions, governments tend to: (i) maximise bailouts (instead of confining
these bailouts to the entities considered too big to fail) during episodes of
crisis/recession and (ii) pay insufficient attention to regulation in times of economic
boom.
Because of the expectation trap and the moral hazard induced by statist interventions,
the general public came to regard government interventions in the economy as an
option: governments must have a say in episodes of crisis, but refrain from doing so
during booms (Croitoru, 2012). This imbalance in government interventions, combined
with the regulators trailing behind innovative markets, makes financial regulations
unable to prevent sober expectations from turning euphoric or to mitigate the ensuing
microeconomic behaviours.
The poor fiscal behaviour induced by the expectations trap not only contributed to the
over-indebtedness of the governments, but also had an adverse impact on the
behaviour of the financial sector. During economic booms, financial entities
maintained the capital stock at relatively low levels compared with those they would
have built if they had known there was no possibility for governments to bail them out.
For this reason, even during the periods when governments capped their deficit and
indebtedness levels, private sector imbalances increased noticeably. In my opinion,
this is why, in recent history, countries that managed to implement prudent fiscal
policies (the UK in the late 1980s, Asia in the mid-1990s) ended up in financial crises.
In the absence of rules meant to limit the bailouts by the governments of the too big to
fail entities, the expectations trap will continue to exist and the behaviour of the
financial sector will not change. At best, the D/D rules could confine the maximisation
of bailouts, but will not eliminate this process.
The financial sector will anticipate however that the D/D rules will most likely be bent,
should a new crisis erupt. That is the reason why fiscal discipline defined as maintaining
public deficits and debt at relatively low levels does not guarantee economic and
financial stability. The already known business cycle model, with overheating episodes
followed by relatively deep recessions, will continue to exist. In order to contain the
magnitude of the business cycle phases it is necessary that, along with D/D rules, other
rules should be put in place regarding the limitation of government bailouts of private
entities only to those rightfully labelled as too big to fail.

202

Annex 1
Unit Labour Costs in Eurozone-12 Countries in 1989-2010 (1989=100)

Note: In Figure 13, the base year of the fixed-base index is 1989 for all countries except
Germany, in which case it is 1991.
203

Annex 2
Unit Labour Costs and the Influence Factors in Eurozone-12 Countries in
1998-2010 (2000=100)
Legend: NCE = cumulative index of nominal compensation per employee
LP = cumulative index of labour productivity
nominal ULC = cumulative index of nominal unit labour costs
nominal ULC = NCE/LP


204

205


206

Annex 3
Average Growth Rates of Labour Productivity and Compensation per
Employee in Eurozone-17, in 1999-2010

207

Annex 4
Redistribution of Unit Labour Costs (2000=100)
Legend:
GDP DEF = cumulative deflator of gross domestic product;
EMPT/EMPS index = cumulative index of employment to the number of employees
economy-wide;
NC/GDP = share of total nominal compensation and gross domestic product;
Nominal ULC = cumulative index of nominal unit labour costs.
Nominal ULC = (EMPT/EMPS) x (NC/GDP) x (GDP DEF)
Notes:
1. GDP DEF, EMPT/EMPS and nominal ULC are shown on the left-hand axis.
NC/GDP is shown on the right-hand axis.
2. For Greece, 2000=100. Indicators GDP DEF, EMPT/EMPS and NC/GDP are
calculated starting 2000, while for nominal ULC the base year is 2001.


208

209


210

References
Croitoru, Lucian, 2012. n aprarea pieelor. Bucharest: Curtea Veche Publishing.

Feldstein, Martin, 2011. A Weak Euro is the Way Forward. Financial Times, 19
December.

Romanian Journal of Economic Forecasting XVI(3) 2013
5
WHAT GOOD IS HIGHER INFLATION?
TO AVOID OR ESCAPE THE LIQUIDITY TRAP
1

Lucian CROITORU
2

Abstract
When governments are over-indebted, it is mainly the role of monetary policy to focus
on reflating the economy in order to release it from the liquidity trap. We show that the
following problems may arise in this context: linking inflation expectations to base
money developments; increased uncertainty on the possible reversal of quantitative
easing by central banks in close correlation with banks lower liquidity preference after
escaping the liquidity trap; higher inflation when central banks fail to reverse the
quantitative easing at an adequate pace for a long period; losses reported by central
banks once economies exit the liquidity trap and yields go up. Given the recurrence of
the instability cycle and the higher probability of the economy to avoid falling into the
liquidity trap if inflation is relatively high when a bubble bursts, then such inflation is
preferable to a relatively low one. This paper proposes an enhancement of the
monetary policy objective by shifting from explicit or implicit targeting of low and stable
inflation to targeting moderate and stable inflation.

Keywords: macroeconomics, Liquidity Trap, monetary policy, inflation
JEL Classification: E52, E58
Introduction
Several years have already passed since monetary policy rates have neared zero in
many advanced countries, namely since these economies fell into the liquidity trap. In
order to help them exit this trap, central banks have increased the base money several
times since the crisis outbreak, without however solving the problem. This rekindles
the practical and academic interest in two important issues. The first one refers to the
relation between money and inflation, as well as between money and asset prices.
The second one concerns monetary policy effectiveness when the policy rate equals
zero.

1
The opinions expressed herein are those of the author and do not, in any way, reflect the
official position or policies of the National Bank of Romania. The reproduction of this paper
without the author's consent is forbidden. Data may be used only by indicating the source.
2
The author would like to thank his NBR colleagues, Elena Iorga, Florian Neagu and Adriana
Aloman, for their support in preparing this paper. Additional thanks for their valuable insight go
to the participants in the symposium on Broad Money and Inflation. Theory and Practice
hosted by the National Bank of Romania on 6 March 2012.
1.

6

In the past, there was a strong positive correlation between the average long-term
growth of base money and inflation. This correlation, along with the liquidity trap,
poses difficult questions for both the public and central banks in advanced countries
as well as in some emerging economies that depend on the former in various ways,
including in Romania.
On the one hand, the delay in the economys firm response to the quantitative easing
laid down in theory raises the question whether monetary policy can actually generate,
within a predictable time frame, the inflation necessary for the economies to exit the
liquidity trap.
On the other hand, the strong relation between money and inflation raises the
question whether monetary easing has not already gone too far in practice and could
lead, in time, to hard-to-control inflation levels, which could also affect other countries,
not only those where base money has increased dramatically.
Finally, should the central bank not counter the surges in asset prices given that they
may lead to financial crises so severe that they can push the economy into the liquidity
trap, thus putting high pressure on monetary policy to act ex post? Or, perhaps, would
it be better to target moderate and stable inflation rather than low and stable inflation?
Some clarifications
All schools of thought agree that, when the short-term interest rate is equal or close to
zero, central banks cannot further fully accommodate large deflationary shocks by
reducing their policy interest rates. In contrast, the effects of money growth on output
and inflation depend on aggregate demand factors taken into account by different
approaches.
Where aggregate demand depends solely on current interest rate and incomes, as the
Keynesian thought, the growth of money in circulation has no effect on output and
inflation whatsoever. When prices go down, money injections in commercial banks
cannot push the nominal rate below zero, and the real interest rate goes up. For this
reason, monetary policy cannot foster economic growth.
The neo-classicists, such as Pigou, Patinkin and Metzler, argued that real money
supply rises if prices fall (the Pigou effect), which would entail the rise in consumption
and aggregate demand, thus helping the economy exit the liquidity trap. However, in
the case of Japan, the drop in prices concurrently with the flat consumption indicates
that the Pigou effect lacks impetus
3
. On the contrary, the decline in prices pushes real

3
Another reason why the real balance effect (also known as the Pigou effect) would lack
impetus is the Ricardo-Barro equivalence. When the government allows budget deficit to
widen, the aggregate demand remains unchanged if the private sector responds by increasing
its level of savings. The dispute over the effects of the Ricardian equivalence is still ongoing
and produces mixed results. One of the recent approaches to this equivalence and its related
effects on the liquidity trap is that of Eggertsson and Krugman (2011). They derived a
theoretical conclusion based on their New-Keynesian model involving debtors and creditors
stating that the Ricardian equivalence breaks down because some agents are debt-
constrained, and that Keynesian-type multipliers, in which current consumption depends on
current income, re-emerge.
What good is higher inflation?
7

debt higher, as Fisher (1932, 1933) suggested, which becomes the root of all the
evils (Fisher, 1933, p. 39), causing the economy to plunge even more deeply into
recession.
Nowadays it is widely acknowledged that aggregate demand depends not only on the
current interest rate set by the central bank, but also on the anticipated paths of
inflation and interest rates, as implied by dynamic stochastic general equilibrium
(DSGE) models. Thus, aggregate demand depends, in the end, on long-term interest
rates too. Given this dependence (causal linking), money supply growth could be
effective in helping the economy exit the liquidity trap.
In DSGE models, where the utility function is assumed separable
4
, real money is
absent both on the demand and on the supply side of the economy. Monetary policy
affects the economy via the real interest rate. The central bank controls the real
interest rate by controlling the short-term nominal interest rate. Hence, the central
bank can affect real output. In these models, the interest rate is the primary channel
whereby output is affected through both investment and consumption.
However, if utility is not separable, the real quantity of money affects demand and
supply alike. In this case, changes in the real quantity of money alter the marginal
utility of consumption, so that the absence of money constitutes a special case of New
Keynesian general equilibrium models (Walsh, 2003, p. 250). Separable utility models
are easier to construct and hence more frequently employed. The conclusions based
on these models remain however valid since, as McCallum and Nelson (1999) and
Woodford (2001) pointed out, the effects that arise from assuming separability do not
differ much from the effects obtained with non-separability loss. In addition, in the
New-Keynesian models with separable utility, the quantity of money appears in the
intra-temporal optimality condition
5
. This means that even in these models there is a
clear relation between money and the interest rate, if the latter is seen as a proxy for
the opportunity cost of holding money.
Thus, based on DSGE models with separable utility, it is equally possible for the
central bank to set the nominal interest rate and derive the nominal quantity of money
or, the other way round, to start by setting the nominal quantity of money and to derive
the nominal rate of interest, output gap and obviously inflation. Consequently, when
the economy is in a liquidity trap, monetary policy will foster aggregate demand if it
succeeds in altering the anticipations on the path of future short-term interest rates or
on future money supply.
In his cash-in-advance model, Krugman (1998) chose to underline directly the role of
money supply in formulating the necessary condition for inflation expectations to
emerge when the economy is in a liquidity trap. The condition is that the central bank
should convincingly commit itself to increasing money supply in the future so as to
enable a production boom and accommodate moderate inflation once the deflationary
shock has faded away. In Krugmans words (1998, p. 139), monetary policy will in

4
See Chapter 5 in Walsh (2003) for a more in-depth approach to the standard framework of
dynamic stochastic general equilibrium models.
5
This condition requires that the marginal rate of substitution between money and consumption
be equal to the opportunity cost of holding money (Walsh, p. 234).

8

fact be effective if the central bank can credibly promise to be irresponsible, to seek a
higher future price level.
Eggertsson and Woodford (2003) chose to highlight directly the interest rate role and
came to a similar conclusion: policy success depends on the central banks credible
commitment to maintain the nominal interest rates at low levels (zero) for a certain
period after the deflationary shock has faded away, irrespective of the future price
level. To a similar conclusion came Werning (2012). Using a continuous-time version
of the New-Keynesian model, he concluded that, surprisingly, both deflation and
recession are exacerbated with greater price flexibility.
When an economy falls into a liquidity trap, a central bank commitment seems to have
two stages. In the first one, the central bank has to be credible with respect to its
commitment to transforming deflationary expectations in inflationary expectations. This
will cause the drop in real rates even though nominal interest rates can no longer
decrease. Then, following the dissipation of deflationary pressures, the commitment to
cut nominal interest rates translates into lower real interest rates, which foster
demand. The clearer is a central bank in communicating this to the general public, the
more efficient are its actions towards the end of reflating the economy.
While the theoretical solution of reflating the economy by shifting from deflation to
inflation expectations is elegant, its putting into practice may prove difficult. Factors
like the frequency of deflationary shocks, past practices of central banks, and the lack
of incentives for keeping promises could possibly render inflationary commitments
problematic (Eggertsson, 2008). Regarding the first factor, it is clear that the frequency
of deflationary shocks decreased over time. For instance, in the US, the period from
1921 to 1955, i.e. spanning 35 years, saw 13 years when prices dropped or remained
unchanged. By contrast, during 1956-2011, in 56 years time, prices fell only once,
namely in 2009. The credibility of reflationary commitments is hard to build as
deflationary shocks are seldom manifested.
Second, even the practice of central banks in developed countries to observe a Taylor
rule in normal times might be a problem, making the quantitative easing ineffective
(Eggertsson and Woodford, 2003). The problem emerges when, after a period of a
successful reflating policy, the general public anticipates an interest rate rise, that is
as soon as inflationary pressures in excess of an implicit inflation target emerge
(Eggertsson, 2008). The same ineffectiveness emerges if the public expects money
supply to stabilise at a quasi-constant level as soon as deflationary pressures
dissipate (Krugman, 1998).
Third, it is widely known that the most credible reflating policies rely on incentives. For
instance, issuing public debt is such a policy, as it creates incentives for governments
to increase inflation (Calvo, 1991). In Calvos words, a larger nominal debt requires,
other things being equal, raising more distorting taxes. This gives the future
government greater incentives to use inflation instead of distorting taxes, which
explains the ex post positive association between nominal public debt and inflation.
The incentive argument works both for indebtedness in national currency and in
foreign currency (Eggertsson, 2008). Where public debt is issued in the national
currency, failure to reflate the economy calls for higher taxes (which may prove costly
in both political and public terms) in order to cover the additional real debt generated
9

by deflation. Moreover, incentives emerge if, as Jeanne and Svensson (2004) pointed
out, the government accumulates nominal debt (or the central bank prints money) to
purchase foreign currency. In this case, if the inflation objective is missed, the
currency appreciation in real terms will lead to balance sheet losses.
Monetary policy has remained the only hope
The advanced economies currently facing the deflation spectrum have resorted to
both quantitative easing and public debt rise. In order to resume economic growth, the
government strategy has two major objectives: (i) the alleviation of the effects
generated by lower private cash flows via public deficit widening and (ii) the
substitution of public credit for private deleveraging until the stabilisation of the credit
system. Japan has embarked upon this process more than a decade and a half ago
and has not completed it yet.
The question is: will the US, the UK and the euro area be more successful after
increasing the base money several times since the financial crisis outbreak? Certain
advanced countries under the threat of deflation have little or no room for increasing
public debt. Moreover, some countries decided to reduce their debts. As a result, the
ongoing deleveraging gains new meanings.
In its traditional meaning, the paradox of deleveraging is the following: a prudent
stance of households and companies, which is essential for the economy to recover,
amplifies the overall economic stress. Hence, both governments and central banks
can intervene in order to diminish overall stress. At present, however, not only the
private sector, but also governments resort to deleveraging (even in concert in
Europe), so that lowering overall stress is more and more becoming a responsibility of
central banks.
It is uncertain whether the quantitative easing implemented until recently is sufficient
to generate the inflation necessary for the economies to exit the liquidity trap.
Nevertheless, the paradox of combined deleveraging of households, companies and
governments could call for additional liquidity injections to levels that could hardly be
imagined two or three years ago. Paradoxically, only monetary policy can really help
advanced economies escape the liquidity trap. This was inconceivable before 1998.
Quantitative easing and delayed inflation
A central bank pursues quantitative easing by purchasing financial assets from both
the government and the private sector, whereby it aims to increase available funds in
banks current accounts beyond the level required for bringing the overnight rate to
zero (Isrescu, 2012)
6
.

6
There are two major differences as regards normal monetary policy operations. One is that the
central bank purchases not only government bonds, but also other financial assets from banks
and other private entities. The other difference pertains to the maturity of purchased assets. In
conventional operations, the central bank buys securities at the shorter end of the maturity
spectrum in order to influence short-term interest rates. In quantitative easing operations, the

10

Repeated under the commitment to increase money supply (in the sense described by
Bernanke and Reinhart, 2004), these asset swaps could exert inflationary pressures
via three channels. The first one is the expected tax reduction resulting from the
decline in the anticipated value of public debt costs following the steady rise in money
supply. This cut in anticipated taxes would foster aggregate demand (Auerbach and
Obstfeld, 2003). The second channel consists in investors shift towards certain
financial assets, whose value would rise, thus stimulating aggregate demand
(Goodfriend, 2000). In other words, lowering yields following the purchase of bonds
should lead to a pick-up in the aggregate demand of the economy. Finally, some
analysts might expect banks to resort to additional liquidity temporarily placed with the
central bank in order to extend loans to households and companies. Lending would
entail the rise in broad money and, thus, foster economic growth.
So far, none of the three channels has delivered the expected results. Many countries
are over-indebted, which is unlikely to generate expectations of a tax cut in the
foreseeable future, the decline in sovereign bond yields due to quantitative easing
notwithstanding. Lower long-term interest rates fostered demand, yet output despite
muted growth remained well below potential and was thus unable to generate
enough inflation. The flattening of the yield curve at extremely low levels fails to
provide sufficient room for yields to go down in the future and to create opportunities
for investors to obtain capital gains. Hence, the incentives granted to financiers for
lending over the medium and long term have almost vanished, while longer maturities
have become riskier, putting a damper on investment.
Finally, lending has either increased marginally or not at all due not only to banks
indifference between loans and cash, but also to expectations on increased regulatory
capital requirements and increased capital levels requested by markets. For both
reasons, banks preferred to hold additional liquidity with the central bank. As for
central banks, their holdings of public or private financial assets saw a substantial rise.
Therefore, most advanced economies reported surges in base money, along with slow
rises in broad money, without any pick-up in inflation. The Figures below show the
base money and M2 developments in Japan, the UK, the US and the euro area.
These are not unexpected results. In the case of a liquidity trap, the rise in base
money triggers small increases in M2, as the general public is encouraged to hold
more cash (base money component) in the context of short-term interest rates close to
zero. Bank deposits (M2 component) are seen to decline or, at best, grow at a very
slow pace, as cash is almost a substitute for deposits. Banks increase their reserves
(base money component) due to their increased liquidity preference.

monetary authority buys securities with longer maturities. The purchase of assets sends their
price higher and their interest lower. The central banks purchases of long-term financial
assets mark an attempt at lowering long-term interest rates so as to foster investment, which
is an unconventional approach.
11

100
120
140
160
180
200
220
240
260
280
300
2
0
0
0
2
0
0
1
2
0
0
2
2
0
0
3
2
0
0
4
2
0
0
5
2
0
0
6
2
0
0
7
2
0
0
8
2
0
0
9
2
0
1
0
2
0
1
1
M2
base money
index, 2000=100
100
120
140
160
180
200
220
240
260
280
300
2
0
0
7
2
0
0
8
2
0
0
9
2
0
1
0
2
0
1
1
M2
base money
index, 2007=100
Figure 2. Eurozone (ECB) Figure 1. Japan
Source: Authors calculations based on the data provided by Reuters.

In theory, the exit from the liquidity trap is to occur sooner or later, once the
commitment to increasing the money supply has gained credibility. However, there is
no precedent to confirm the theory. Given the short-term interest rates close to zero,
the low yields and the negative output gap, it is safe to assume that Japan is probably
still mired in the liquidity trap
7
after almost 18-20 years.
100
120
140
160
180
200
220
240
260
280
300
2007 2008 2009 2010 2011
M2
base money
index, 2007=100
100
120
140
160
180
200
220
240
260
280
300
2007 2008 2009 2010 2011
M2
base money
index, 2007=100
Figure 4. US Figure 3. United Kingdom

7
An economy can be caught in the liquidity trap even without falling prices. Werning (2012)
showed that the optimal interest rate is set to zero past the liquidity trap and jumps discretely
up upon exit. Inflation may be positive throughout, so the absence of deflation is not evidence
against a liquidity trap. Output, on the other hand, always starts below its efficient level and
rises above it.

12

The US and the advanced countries in Europe (the Euro Zone) appear to fall deeper
and deeper into the liquidity trap. Short-term interest rates are very low, yields are very
small, and the economic growth is below potential, while prices have changed
marginally despite the two to three time increases in base money in several years.
The negative impact of these developments would be aggravated and protracted if the
public anticipated the situation to last for an indefinite time period. This would render
more difficult the central banks mission to build the credibility necessary for
generating a high-enough inflation to help the economy escape the liquidity trap. The
persistence of such a situation would also affect other economies that are not caught
in the liquidity trap, Romania included.
Data confirm the relation between money and
inflation
Upon the economies exiting the liquidity trap, base money will record a significantly
higher level than before the crisis outbreak. One of the underlying principles of
monetary policy postulates that, in the long run, money is neutral to real variables.
This implies that the rise in money supply translates into price hikes in the long run,
which raises concerns with respect to longer-term inflation and the ways of keeping it
at bay.
This statement could seem contradictory to that according to which the relation
between money and inflation was discontinued due to technology and financial
innovations. However, this is not a contradiction, but one of the frequent confusions
that fuel public debates.
In defining his approach to the liquidity trap, Krugman referred to three such
confusions. One of them concerns the definition of money. The statement that the
increase in money is proportionally reflected by price hikes refers to base money,
namely to outside money. The relation between money and inflation is actually the
relation between base money and inflation. For this reason, during a certain period in
the past, the central banks strategy on inflation control used to rely on base money
control.
A second clarification refers to the relation between short run and long run. The
standard reasoning for money neutrality with respect to real variables is formulated for
the long term: a rise in base money in the current period and in the periods ahead will
entail proportional price hikes. In fact, Krugman (1998, p. 142) took precisely this latter
observation as a starting point to make the connection between monetary policy
credibility and the liquidity trap.
Hence, the implication on the monetary policy regime is that base money can no
longer be controlled in the short run once capital and the exchange rate move freely.
For this reason, certain targeted levels of inflation cannot be guaranteed in the future.
The rise in base money does not necessarily entail an increase in inflation in the short
run. As a result, the targeting of base money (which could no longer be kept under
control) was abandoned and the explicit or implicit inflation targeting was adopted. But
it generates inflation in the long run.
13

Finally, the third clarification concerns the relation between money, inflation and
financial intermediation. Krugman (1998) showed that the structural features of the
financial system cannot affect the long-term relation between base money and
inflation. Base money neutrality is not conditional on the soundness of banks balance
sheets, financial system competitiveness or corporate indebtedness. Base money is
simply neutral in the long run.
The relation between base money and inflation in the 19 countries for which data were
available over the long term, i.e. 20 years, is very strong (Figure 5). The long-term
correlation between base money and broad money (M2) is also very good (Figure 6).
In retrospect, it is safe to assume that the latter correlation remaining strong is an
indication that the economy did not fall into the liquidity trap.

y = 0.7199x - 3.2999
R
2
= 0.7481
0
5
10
15
20
0 10 20 30
y = 0.9505x + 0.4024
R = 0.6747
0
5
10
15
20
25
30
0 10 20 30
M
2
Figure 6. Correlation between base money
and M2 in 19 countries in 1991-2010
average annual growth rates, % average annual growth rates, %
Figure 5. Correlation between base money
and inflation in 19 countries in 1991-2010

I
n
f
l
a
t
i
o
n
Base money Base money

As long as economies have not been caught in the liquidity trap, the good correlation
between base money and M2 allows us to assume that the relation between M2 and
inflation also reflects well the relation between base money and inflation. Indeed, the
relation between broad money and inflation is very good in the case of 117 countries
for 20 years (Figure 7).


14

y = 1.1618x - 8.764
R = 0.6804
0
10
20
30
40
50
60
70
0 10 20 30 40 50 60 70
average annual growth rates, %
Figure 7. Correlation between M2 and
inflation in 117 countries in 1991-2010

I
n
f
l
a
t
i
o
n
M2

Inflation after escaping the liquidity trap
Should we, therefore, worry about future inflation given the quantitative easing rounds
required for taking economies out of the liquidity trap? Could massive quantitative
easing lead to a persistent link between inflation expectations and base money? It
depends.
Those who still believe that money supply can be adequately measured via a
monetary aggregate, such as M2, as suggested by Friedman and Schwartz should be
worried. Once economies escape the liquidity trap, i.e. when nominal interest rates
return to relevant positive levels, money supply (broad money) will witness a
fast-paced increase.
By contrast, most central bankers are confident that liquidity injections performed over
the recent years can be reversed before causing any trouble. However, such a
wide-scale unwinding has yet to be tested. Several issues may arise in connection to
it, the most important being the actual timing and the pace of the reversal.
The timing of the reversal is a matter of risk management policy, as Greenspan
(2003) called it, and it can have far-reaching consequences. In order to highlight the
magnitude of the risk materialising, I will give two examples, one from the run-up to
the financial crisis that started to wreak havoc in 2007 and the other dating back to the
aftermath of the 1929-1933 crisis.
Yellen (2009), Vice Chair of the Board of Governors of the Fed starting 2010, showed
that the Fed took a calculated risk from 2002 to 2004, resorting to quantitative easing
as an insurance policy against a potentially devastating deflationary episode. The
policy rate was held below the level that would otherwise have been chosen to
promote a return to full employment. Yellen added that the cost of that insurance
15

was an increased possibility of overheating the economy. The risk materialised and
the policy actions eventually contributed to the house price bubble.
The other example is among the few, if not the only one, clearly pinpointing the
potential effects of a premature unwinding of liquidity injections after the abatement of
deflationary pressures. A W-shaped recession may emerge if quantitative easing
measures are reversed too early. And here is the example: output in the United States
expanded by 39 percent in 1933-37, ignited by Franklin Delano Roosevelts
announcement of a plan to reflate the economy (Eggertsson and Pugsley, 2006, p.
152 and p. 172). The FDR administration prematurely claimed its victory over the
depression in 1937 and abandoned the inflation policies. Industrial output shed
30 percent in 1938, and the recovery started once the authorities had resumed the
inflationary policies (Eggertsson, 2008).
But the reverse can be equally hazardous. If quantitative easing schemes are kept in
place for too long, a strong relation between inflation expectations and base money
cannot be ruled out. There exists a premise for this relation to emerge, since base
money growth via quantitative easing is largely the monetization of very large budget
deficits, which will translate into swelling debt and eventually inflation. In this latter
case, the strong association between money and inflation in the past could turn the
expectations on price developments into an enemy of inflation for some time after
escaping the liquidity trap.
The other issue related to the unwinding of quantitative easing schemes, i.e. the pace
of the reversal, could prove even thornier than that of timing. Assuming that, as many
suggested, inflation expectations were already linked to base money upon escaping
the liquidity trap, a rapid decline in banks preference for liquidity from the peaks seen
these days would call for a relatively fast-paced reversal of quantitative easing
measures. Otherwise, inflation expectations linked to the base money level could
entail higher wages, higher budget deficits, a weaker domestic currency or spikes in
asset prices. All of these would feed-back inflation expectations and so on and so
forth.
Finally, once economies escape the liquidity trap, yields are expected to embark on an
upward path towards historically normal levels, meaning that central banks could incur
very high capital losses. Along with other factors, this explains the opposition voiced
by Germany, the largest contributor to the ECB capital, with regard to the European
Central Bank engaging in quantitative easing.
In order to trim down the base money, central banks will have to sell quite fast the
huge volumes of bonds and other financial assets purchased from the private sector,
which would entail much lower prices of these securities and hence major capital
losses. At the end of the day, large capital losses turn into inflation if they end up
eroding central banks credibility. Such erosion would occur if over-indebted
governments were short on cash to recapitalise the respective central banks.
The correlations between base money and inflation and between the former and broad
money respectively might witness some changes for the period spanning the years
spent in the liquidity trap and for several years following the escape. In the case of
advanced economies facing a liquidity trap, the correlations will probably no longer be

16

depicted as in Figures 5 and 6 respectively, but rather as a more or less horizontal
line.
However, the link between broad money and inflation will continue to resemble the
depiction in Figure 7. Many will interpret these developments during the liquidity trap
as validating their credo that a broader monetary aggregate, such as M2, is the
adequate measure of money supply and the variable that inflation is best linked to.
They will also derive satisfaction from the exit from the liquidity trap, once the strength
of the correlation between base money and broad money has been restored, with both
aggregates linking well with inflation over the long term.
Low inflation has fostered the fall into the liquidity
trap
Many advanced economies have fallen into the liquidity trap as a consequence of
bursting house and bond price bubbles, thus validating the financial meltdown
mechanism described by Minsky
8
. His theory conceals an important lesson which, to
my knowledge, has yet to be brought to the fore. And I would phrase this lesson as
follows: it is better to have relatively high inflation when a credit-fuelled bubble bursts.
Minskys theory essentially claims that advanced capitalist economies with well-
developed financial institutions are fundamentally unstable and prone to depressions
once the economic entities pile up debt in order to finance, based on euphoric
expectations of future cash flows, the purchase of assets whose prices are on the
rise
9
.
More precisely, in Minskys view (1993), over periods of prolonged prosperity,
euphoric expectations shift the economy from financial relations that make for a
stable system to financial relations that make for an unstable system. Specifically, the
economy moves from a financial structure dominated by hedge borrowers
10
to a

8
Other instances that substantiate Minskys theory, but have seldom been recalled as validation
examples, include the Latin American inflation and debt crisis of the 1970s, the Wall Street
crash of 1987, as well as the dotcom boom.
9
His theory rests on three pillars of Keynesian origin, elegantly described by Keen (1995):
(i) while consumer prices are determined by adding up a margin to primary costs, asset prices
are not formed based on their cost, but rather on the expected net present value of the
relevant cash flow; (ii) the latter depends on the overall condition of expectations, which take
shape on a volatile basis: they lag behind prices during times of downturn and lead prices
during a recovery or boom; (iii) finally, money supply is essentially endogenously determined
by the financial system, and regulatory controls are unable to render it strictly exogenous (i.e.
supplied by the central bank). See Minsky (1993) for a distinction between the Keynesian
vision of money and the quantity theory of money (the third pillar).
10
Borrowers that are hedged against risks thanks to their cash flows (Minsky, 1993).
17

structure in which there are large shares of speculative borrowers
11
or Ponzi
borrowers
12
. This journey leads to skyrocketing asset prices.
Rising interest rates and large debts gradually hurt the viability of many activities and,
at a certain point in time, the reverse journey starts, with sales of now illiquid assets,
whose prices dive, turning euphoria into panic and leaving behind a major discrepancy
between the accumulated debt and the cash flow generated by it
13
.
In Minskys view, the economy returns to the stability of the hedged segment and from
there it expands again relatively fast. This occurs because the state increases its
expenditures
14
in order to make up, at least in part, for the drop in private cash flows,
while the central bank contains or even reverses the credit slump via swift
liquidity-providing operations.
The ongoing crisis, which Minsky foreshadowed when referring to the journey from
stability to instability and backwards, made his theory regain its well-deserved
recognition and exposure. Hence, Minskys theory has been extensively used these
past few years to outline and better fathom the stages conducive to the current crisis
(McCulley, 2009), while also serving as a basis for a higher degree of regulation
15
and
intervention on the part of governments and central banks.
In theory, Minskys vision fostered models that are explicit about the distinction
between debtors and creditors (Eggertsson and Krugman, 2008), as opposed to one
representative agent models in which everyone is alike, meaning that the preference
for liquidity rises or declines equally for everybody. The model in which impatient
agents borrow from patient agents provides a better understanding of why more debt
is a solution to the debt-induced economic downturn.
But Minskys theory (1986) also incorporates another element, seldom brought to the
fore, which helps the economy avoid the fall into depression or at least shorten the
unavoidable downturn in the aftermath of a bubble burst. It is the level of inflation at

11
Borrowers only able to cover the interest due, but having to roll over the principal (Minsky,
1993).
12
Borrowers who believe that the appreciation of the value of their assets will suffice to
refinance their debt, but cannot fully cover interest payments or principal repayments with the
cash flows from investments (Minsky, 1993).
13
In a recent paper I have shown the implications of euphoria on companies employment policy
and the possible consequences on the wage-setting mechanism. I have pointed out that,
during good times, companies tend to establish laxer norms regarding the employment of
auxiliary staff, leading to relatively marked declines in unemployment. These norms are
eliminated during recessions, entailing somewhat more visible rises in unemployment in times
of economic downturn. This mechanism partly explains why the unemployment rate stays high
for some time after economic growth is back on track (Croitoru, 2011).
14
[...] the much greater participation of national governments in assuring that finance does not
degenerate as in the 1929-1933 period means that the downside vulnerability of aggregate
profit flows has been much diminished (Minsky, 1993). This shows Minsky did not imagine
that the secular debt-swelling trend would apply to governments as well, rendering it
impossible (as was the case with the crisis that broke out in 2007) for the latter to intervene.
15
Too few have noticed that Minsky dwelt on the idea that money remains essentially
endogenous to the economy, even when controls related to banking system regulation are
tightened.

18

the time the bubble bursts. Cash flows depend both on investments and on inflation.
Investments dwindle during a crisis, leaving the balance between debt and the cash
flow generated by it dependant solely on asset price drop (debt deflation) and on
inflation.
The mechanism whereby inflation acts in Minskys theory is synthetically described by
Keen (1995). High inflation at the outbreak of the crisis helps cash flows go up in order
to pay off the debt accumulated in times of exuberance, even without requiring larger
government spending to support the rebound in investment. This is a self-correcting
mechanism, which helps the economy recover by going through stagflation, i.e.
starting from initially low growth and relatively high inflation, but avoiding a prolonged
slump. The self-correcting mechanism, whose consequences over the relatively short
term are reinstating the conditions for repeating the cycle and avoiding serious falls,
is likely to lead to a secular decrease in liquidity preference (Keen, p. 613).
By contrast, low inflation at the outbreak of the crisis is of no help to cash flows. Given
the debt level, caeteris paribus, the lower the inflation rate, the larger the debt-cash
flow imbalance. The larger this imbalance, the more companies whose interest
payments exceed corporate cash flows will have to sell assets, accept lower margins
than those of their competitors or else go bankrupt. These decisions will tend to
reduce inflation, worsening the initial imbalance, which will call for a new set of similar
decisions. Thus, unlike relatively high inflation, relatively low inflation at the time of the
bubble burst cannot prevent asset price deflation (which is not self-correcting, but
rather self-reinforcing), pushing the economy deeper into depression (Keen, p. 613).
To make a long story short, when very large bubbles burst, the economy either falls
into the liquidity trap and dives into a prolonged recession or it avoids the liquidity trap
and emerges relatively fast from the unavoidable doldrums of such a burst. It is as if
the economy was at a crossroads and it depends on the magnitude of inflation
whether economic growth or protracted recession will follow. The only thing is that
inflation at the time of the bubble burst is the result of past decisions. Our conclusion
is that the path the economy will follow after the burst is largely predetermined by the
path it followed up to the bubble burst from the point of view of inflation.
This means the economy faced an inflation bifurcation at a given point in the past as
well, after the end of a crisis, when it chose between relatively high and relatively low
inflation. There is increased likelihood of highly persistent inflation
16
if relatively high
inflation had already been recorded for a sufficiently long period at the time the bubble
burst. The economy will avoid the liquidity trap and depression because inflation,
albeit on the wane, will stick to somewhat high readings and will bolster cash flows,
thus shunning severe asset price deflation. On the other hand, if the bubble burst was
preceded by a sufficiently long period of low and stable inflation, deep recession can
no longer be avoided. Inflation will drop to readings from which inflation expectations
can quickly turn into deflation expectations and hence the economy might fall into the
liquidity trap due to the self-reinforcing mechanism of asset price deflation, as Minsky
predicted.

16
Meaning that at least some inflation expectations are backward-looking.
19

Bond and house price bubbles, which burst in July 2007, emerged amid relatively low
inflation, fuelled by euphoric expectations or irrational exuberance. As Yellen (2009)
put it, the incaution that reigned by the middle of this decade had been fed by roughly
twenty years of the so-called great moderation, when most industrialised economies
experienced steady growth and low and stable inflation. When the bubble burst,
inflation expectations switched to deflation expectations in no time. Low inflation must
have played an instrumental role in this conversion, to which added the delays in
credibly promoting genuine reflationary policies.
Our conclusion is that, taken together, the over-indebted governments crippled ability
to increase public spending to adequate levels, along with the low inflation prevailing
at the bursting of the house price bubble in 2007 explain the fall of advanced
economies into the liquidity trap. Had governments recorded a lower degree of
indebtedness, they could have contributed more to the rise in cash flows in the
economy by fostering investment. Higher inflation would have made a similar
contribution.
Since the instability cycle is recurrent in nature, capping the share of public debt in
GDP at relatively low levels is a prerequisite for avoiding any future fall into the
liquidity trap or prolonged slumps. This conclusion has already been captured as an
underlying principle guiding from now on both fiscal and public debt policies.
Monetary policy, inflation level and asset prices
What conclusion could be drawn concerning the use of the monetary policy in the
future? Should it be employed directly to moderate asset price bubbles, particularly
credit-fuelled bubbles, before they swell too much and eventually push the economy
into a liquidity trap? Or should we revisit the theory saying that inflation ought to be
low and stable?
It is obvious that falling into the liquidity trap comes at a big price. It diminishes the
appetite for taking risks, while modern capitalism depends exactly on risk-taking. The
severity of financial and economic problems associated with the liquidity trap called for
massive intervention by governments and the central bank. This seems to warrant the
attempts to deflate asset price bubbles, without, however, striking a new balance
between the pros and the cons.
This balance points to the conventional view that inflation and output are the
appropriate objectives of monetary policy. Many authors agree that under the implicit
or explicit inflation targeting regime, monetary policy should respond to an asset price
change only to the extent that the latter affects the future path of inflation and output.
Whenever they may want to use monetary policy to deflate bubbles, policymakers
will face the difficulty of identifying bubbles, dealing as well with uncertainties in the
relationship between monetary policy and financial stability (Yellen, 2009).
Minsky stated that [] if an economy with a sizeable body of speculative financial
units is in an inflationary state, and the authorities attempt to exorcise inflation by
monetary constraint, then speculative units will become Ponzi units and the net worth

20

of previously Ponzi units will quickly evaporate
17
. Nevertheless, it is important to
emphasise that the same effect emerges in an economy with a considerable number
of speculative financial units that records low and stable inflation. Such was the case
when the Fed started to raise the interest rate in the US as of 2005.
Monetary policy cannot be used directly to moderate a bubble, which sheds special
light on the level of inflation at the moment a credit-fuelled bubble bursts. In the
previous section we have shown how, based on Minskys analysis, one can infer that,
given a states possibility to raise expenditures, higher inflation is preferable when a
bubble bursts. Therefore, both theory and practice must focus on identifying the
desirable level of inflation and the ways the central bank may reach it so that the
benefits should exceed the related costs at the time of the bubble burst.
Some might think that easing monetary policy during a bubble could bring about
higher inflation when the bubble bursts. However, such a policy is surrounded by the
same uncertainties as the strengthening of monetary policy aimed at deflating the
bubble. Moreover, it would speed up the increase in asset prices, which could lead to
the bubble burst before generating higher inflation. Looking back, this happened in the
US during 2002-2004, when monetary policy easing inflated the real-estate and bond
bubbles further without pushing inflation up.
Monetary policy should thus consider the option of an increase in the desirable level of
inflation, either explicitly or implicitly targeted. This means a profound change in the
conventional philosophy stating that monetary policy should target low and stable
inflation. Debating over a change in this philosophy and the desirable level of inflation
is reasonable, given that the advanced economies depending on large financial
institutions inevitably come to face a bubble burst.
Actually, nowadays, the developed economies deal with an inflation bifurcation. The
monetary policy strategy could be improved by shifting from targeting low and stable
inflation to targeting moderate and stable inflation. The moderate level of inflation
should be checked from the standpoint of costs and benefits accompanying such a
change. The new higher inflation target should come together with a series of
reforms
18
in order to counter at least partly the negative effects that might arise.

17
When expectations are exuberant, raising the policy rate could not deflate bubbles. We
reached this conclusion following the logic of Minskys theory. In this logic, three trends
emerge during a period of euphoric expectations: (i) financial institutions accept to finance
riskier projects, which would have been rejected in times of sober expectations;
(ii) companies debt-to-capital ratio gradually goes up; these two trends jointly lead to higher
interest rates on the credit market; the higher rates should cool down the boom, but this does
not happen because, given the euphoria, (iii) the expected yields on speculative investments
constantly outpace the increased interest rates. This means that, in euphoric times, the higher
credit-related costs imposed by the market cannot deflate a credit-fuelled bubble. Similarly, in
my opinion, neither could a rise in the policy rate.
18
Some of these reforms are referred to in the paper by Blanchard, DellAriccia and Mauro
(2010). The theoretical support of this proposal originates in the incorporation of the labour
market into the standard New-Keynesian model, which features real wage rigidities
(Blanchard and Gali, 2008). They discussed the possibility of increasing the desirable level of
inflation in view of the need to provide the monetary policy with larger room for manoeuvre
during deflationary recessions, a theory which differs from the cash flow perspective we
21

Finally, the inflation target must ensure that those costs which could not be
compensated through reforms will be lower than the benefits arising from preventing
the economies from falling into the liquidity trap.
Figure 8
Inflation developments in the USA in 1913-2011
-16
-12
-8
-4
0
4
8
12
16
20
1
9
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0
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0
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7
2
0
1
0
average annual inflation rate 1918-1928 period average
1929-1939 period average 1940-2007 period average
1997-2007 period average 2008-2011 period average
percent

Source: Authors calculations based on the data provided by US Bureau of Labor Statistics.

Central banks maintaining a moderate inflation level together with an adequate
regulatory process would fully create the favourable ex ante conditions for minimising
the impact of a credit-fuelled bubble burst, whereas wider public deficits
19
and
quantitative easing will act ex post in the same direction.
The case of the US is taken in order to show how average inflation prior to a major
financial crisis correlated with average inflation during the crisis and shortly after it.
Figure 8 shows inflation developments in the US over 1913-2011. During this period
spanning 99 years, average annual inflation stood at 3.24 percent, reflecting the
influence of the Great Depression and the crisis of 2008-2011. If we leave aside these
periods, focusing instead on a relatively normal period of time, such as the 1940-2007
period, average inflation came in at 4.1 percent.

discussed above. From the cash flow perspective, the monetary policys room for manoeuvre
would be larger not because of the interest rate falling from a higher level, thus dampening the
decline in output and the deterioration of the fiscal position, as suggested by Blanchard,
DellAriccia, and Mauro, but because higher inflation would support cash flows, thereby
contributing to the matching of cash flows with the companies debt service. The discrepancy
between cash flows and the debt service consists actually in the imbalance caused by the
credit-fuelled bubble burst. Obviously, the two mechanisms can work simultaneously.
19
This does not necessarily imply an increase in public spending. Demand stimulating policies
become less effective in a liquidity trap than in normal circumstances. The key reason is that
demand stimulus leads agents to believe that things are even worse than they thought. In
contrast, supply side policies, such as cuts in labor income taxes, lead to relative optimism
and become more powerful (Mertens and Ravn, 2010).

22

By taking out the WW2 period as well, average inflation was 3.95 percent during
1946-2007. This inflation rate ranging between 3.95-4.1 percent is more relevant than
the 99-year average, as it reflects relatively normal conditions, with no liquidity trap
threatening the economy. This is probably the level that the Fed should implicitly
target in order to maximise the benefits of inflation upon a bubble burst.
In the US, average annual inflation stood close to the mentioned level during
1983-1992, i.e. at 3.9 percent. However, during 1997-2007, in the decade before the
burst of the real-estate and bond bubbles, average annual inflation was as low as 2.43
percent (2.62 percent during 1993-2007). In the early 90s, the American economy
faced an inflation bifurcation and chose to keep in place a low and relatively stable
inflation.
The low and relatively stable inflation (2.43 percent) reported in the decade preceding
the bubble burst contributed to the emergence of the euphoric expectations underlying
the two bubbles. Its level was high enough to prevent, alongside the macroeconomic
policies implemented during the crisis, a broad-based decline in prices, with average
annual inflation during 2008-2011 falling to merely 1.47 percent. However, this
inflation level was not high enough to preclude the US economy from falling into the
liquidity trap ever since 2009.
In comparative terms, during 1918-1928 (roughly one decade prior to the 1929-1933
crisis), inflation stood at 1.3 percent only. This low inflation level and the
macroeconomic policies of the time could not prevent prices from falling by 2.07
percent, on average, per year during 1929-1939. On the one hand, inflation was much
too low to avert the emergence of deflationary expectations. On the other hand,
inflation policies were implemented with a time lag, starting with 1933, when Roosevelt
came to power.
Conclusions
The present crisis has confirmed Minskys theory on the economic journey from
stability to instability, but has also unexpectedly brought about the liquidity trap.
However, Minskys vision that the economy can revert relatively quickly to stability is
still to be proven right.
The economies which are now caught in the liquidity trap may head towards stability,
but not the kind of stability seen in the two to three decades preceding the crisis that
allows operating in an environment featuring moderate inflation and full employment,
normal yield curves and interest rates hovering around normal historical levels. A new
type of normalcy may emerge for advanced economies, in which stability might be for
a long period of time similar to that seen in Japan over the last almost two decades, as
suggested by many analysts. It is hard to say whether this kind of stability will continue
to be characteristic of advanced economies only or it will extend to emerging
economies as well.
As the states indebtedness is already too high and regulatory adjustments have
already been implemented, at present, the solution for countries to exit the liquidity
trap lies with the central banks. Many economists agree that central banks should
23

produce more inflation. Yet, in order to do that, central banks need to credibly assume
this task, which is obviously not an easy one.
The moderation of asset price bubbles cannot be included among the monetary policy
objectives owing to the uncertainties surrounding the identification of bubbles and the
relation between monetary policy and financial stability. However, we have argued that
switching the monetary policy objective from targeting low and stable inflation to
targeting moderate and stable inflation could help prevent the economies from
entering depression or falling into the liquidity trap when credit-fuelled bubbles burst.
The exit from the liquidity trap will be accompanied by an increase in the yields on
sovereign bonds purchased by central banks and by the relatively fast decline in
banks preference for liquidity. This will call for a relatively hasty sale of the bonds held
by central banks.
On the one hand, a sluggish sale of bonds could spark inflation if a connection has
been established between inflation expectations and the money base while in the
expectations trap. On the other hand, selling bonds relatively rapidly might generate
significant losses for the central banks. If the states are not prepared to cover potential
losses incurred by central banks, the latters credibility will decrease and losses might
turn into inflation.
Part of the excess liquidity in advanced countries, which is temporarily parked with
central banks, might go to the emerging economies when the preference for liquidity
diminishes. This could lead to a widening of current account deficits in emerging
countries, including in Romania. Both benefits and risks may arise. Benefits may come
from faster economic expansion, while risks refer to currency appreciation and the
accumulation of external imbalances, such as those underlying the crisis in 2007.
The experience with conducting macroeconomic policies, together with improved
regulations, could help alleviate the adverse effects, without however fully countering
them.
References
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Trap. Federal Reserve Bank of San Francisco (March).
Bernanke, B.S. Reinhart, V.R., 2004. Conducting Monetary Policy at Very Low Short-
Term Interest Rates. American Economic Review, 94(2).
Blanchard, Olivier; DellAriccia, Giovanni; Mauro, Paolo, 2010. Rethinking
Macroeconomic Policy. IMF Staff Position Note 10/03.
Blanchard, O. andGali, J., 2008. Labour Markets and Monetary Policy: A New-
Keynesian Model with Unemployment. Working Paper 13897, National
Bureau of Economic Research, Cambridge (March).
Calvo, A.G., 1991. The Perils of Sterilization. IMF Staff Papers, 38(4), pp.921-926.
Croitoru, L. 2011. Three Unemployment Rates Relevant to Monetary Policy,
Romanian Journal of Economic Forecasting, 14(3), pp.213-238.

24

Eggertsson, B.G. and Pugsley, B., 2006. The Mistake of 1937: A General Equilibrium
Analysis. Monetary and Economic Studies, (December).
Eggertsson, B.G, and Woodford, M., 2003. The Zero Bound on Interest Rates and
Optimal Monetary Policy. Brookings Papers on Economic Activity, (1),
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Eggertsson, B.G., 2008. Liquidity trap. In Steven N. Durlauf and Lawrence E. Blume
(Eds.) The New Palgrave Dictionary of Economics. Second Edition.
Palgrave Macmillan, 2008. The New Palgrave Dictionary of
Economics Online. Palgrave Macmillan. Available at:
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Eggertsson, B.G. and Krugman, P., 2010. Debt, Deleveraging, and the Liquidity Trap:
A Fisher-Minsky-Koo Approach. Princeton, (November).
Eggertsson, B.G, and Krugman, P. 2011. Debt, Deleveraging, and the Liquidity Trap:
A Fisher-Minsky-Koo Approach.
http://www.economicdynamics.org/meetpapers/2011/paper_1166.pdf
Fisher, I., 1932. Booms and Depressions Some First Principles. New York: Adelphy
Company Publisher.
Fisher, I., 1933. The Debt-deflation theory of Great Depressions. Econometrica, 1(4),
pp.337-357.
Goodfriend, M., 2000. Overcoming the Zero Bound on Interest Rate Policy. Journal of
Money, Credit and Banking, 32.
Greenspan, A., 2003. Monetary Policy under Uncertainty. Remarks at a symposium of
the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming,
August 29.
Isarescu, M., 2012. Politica monetar postcriz: Reconfigurarea obiectivelor i a
instrumentelor. Dissertation delivered on the occasion of being
awarded the degree of Doctor Honoris Causa by the Andrei aguna
University (May).
Jeanne, O. Svensson, E.O. Lars. 2004. Credible Commitment to Optimal Escape from
a Liquidity Trap: The Role of the Balance Sheet of an Independent
Central Bank, Working Paper 10679, National Bureau of Economic
Research, Cambridge (August).
Keen, S., 1995. Finance and Economic Breakdown: Modelling Minskys Financial
Instability Hypothesis. Journal of Post Keynesian Economics, 17(4).
Krugman, P., 1998. Its Baaack! Japans Slump and the Return of the Liquidity Trap.
Brookings Papers on Economic Activity, (2), pp.137-187.
McCallum, T.B. Nelson, E., 1999. An Optimizing IS-LM Specification for Monetary
Policy and Business Cycle Analysis. Journal of Money, Credit and
Banking, 31(3), pp.296-316.
McCulley, P., 2009. The Shadow Banking System and Hyman Minskys Economic
Journey. CFA Institute: Research Foundation Publications, 5.
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Mertens, K. and Ravn, O.M., 2010. Fiscal Policy in an Expectations Driven Liquidity
Trap. Paper delivered at the European Summer Symposium in
International Macroeconomics (ESSIM) 2010, Banco de Espaa,
Tarragona, Spain, May 25-28.
Minsky, P.H., 1986. Stabilizing an Unstable Economy. New Haven: Yale University
Press.
Minsky, P.H., 1993. The Financial Instability Hypothesis, Working Paper No. 74, May
1992. In Philip Arestis and Malcolm Sawyer, Edward Elgar, eds.
Handbook of Radical Political Economy.
Walsh, E.C., 2003. Monetary Theory and Policy. MIT Press, pp.230-237.
Werning, I., 2012. Managing a Liquidity Trap: Monetary and Fiscal Policy. MIT (this
version: January 2012).
Woodford, M., 2001. Inflation Stabilization and Welfare. NBER Working Paper,
no.8071.
Yellen, L.J., 2009. A Minsky Meltdown: Lessons for Central Bankers. The 18th Annual
Hyman P. Minsky Conference on the State of the U.S. and World
Economies Meeting the Challenges of the Financial Crisis, New
York.
NBER WORKING PAPER SERIES
WILL MONETARY POLICY BECOME MORE OF A SCIENCE?
Frederic S. Mishkin
Working Paper 13566
http://www.nber.org/papers/w13566
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
October 2007
Prepared for the Deutsche Bundesbank conference "Monetary Policy Over Fifty Years," held in Frankfurt
am Main, Germany, September 21, 2007. The views expressed here are my own and are not necessarily
those of the Board of Governors or the Federal Reserve System. I thank Michael Kiley, Andrew Levin,
and Robert Tetlow for their helpful comments and assistance. The views expressed herein are those
of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.
2007 by Frederic S. Mishkin. All rights reserved. Short sections of text, not to exceed two paragraphs,
may be quoted without explicit permission provided that full credit, including notice, is given to
the source.
Will Monetary Policy Become More of a Science?
Frederic S. Mishkin
NBER Working Paper No. 13566
October 2007
JEL No. E2,E44,E52,E58
ABSTRACT
This paper reviews the progress that the science of monetary policy has made over recent decades.
This progress has significantly expanded the degree to which the practice of monetary policy reflects
the application of a core set of "scientific principles". However, there remains, and will likely always
remain, elements of art in the conduct of monetary policy: in other words, substantial judgment will
always be needed to achieve desirable outcomes on both the inflation and employment fronts. However,
as case studies discussed here suggest, even through art will always be a key element in the conduct
of monetary policy, the more it is informed by good science, the more successful monetary policy
will be.

Governor Frederic S. Mishkin
Board of Governors of the Federal Reserve System
20th Street and Constitution Ave., N.W.
Room B-2052
Stop 47
Washington, DC 20551
and NBER
frederic.mishkin@frb.gov

- 1 -

Over the past three decades, we have seen a remarkable change in the performance of
monetary policy. By the end of the 1970s, inflation had risen to very high levels, with many
countries in the Organisation for Economic Co-operation and Development (OECD)
experiencing double-digit inflation rates (figure 1). Most OECD countries today have
inflation rates around the 2 percent level, which is consistent with what most economists see as
price stability, and the volatility of inflation has also fallen dramatically (figure 2). One
concern might be that the low and stable levels of inflation might have been achieved at the
expense of higher volatility in output, but that is not what has occurred. Output volatility has
also declined in most OECD countries (figure 3). The improved performance of monetary
policy has been associated with advances in the science of monetary policy, that is, a set of
principles that have been developed from rigorous theory and empirical work that have come
to guide the thinking of monetary policy practitioners.
In this paper, I will review the progress that the science of monetary policy has made
over recent decades. In my view, this progress has significantly expanded the degree to which
the practice of monetary policy reflects the application of a core set of scientific principles.
Does this progress mean that, as Keynes put it, monetary policy will become as boring as
dentistry--i.e., that policy will be reduced to the routine application of core principles, much
like filling cavities?
1
I will argue that there remains, and will likely always remain, elements of
art in the conduct of monetary policy; in other words, substantial judgment will always be
needed to achieve desirable outcomes on both the inflation and employment fronts.

1
Given that my wife was a dentist, I have to say that Keynes may have been unfair to dentists. I am sure that
many of them find their work very exciting.

- 2 -

I.
Advances in the Science of Monetary Policy in Recent Decades

Over the last five decades, monetary economists have developed a set of basic scientific
principles, derived from theory and empirical evidence that now guide thinking at almost all
central banks and explain much of the success in the conduct of monetary policy. I will outline
my views on the key principles and how they were developed over the last fifty or so years.
The principles are: 1) inflation is always and everywhere a monetary phenomenon; 2) price
stability has important benefits; 3) there is no long-run tradeoff between unemployment and
inflation; 4) expectations play a crucial role in the determination of inflation and in the
transmission of monetary policy to the macroeconomy; 5) real interest rates need to rise with
higher inflation, i.e., the Taylor Principle; 6) monetary policy is subject to the time-
inconsistency problem; 7) central bank independence helps improve the efficiency of monetary
policy; 8) commitment to a strong nominal anchor is central to producing good monetary
policy outcomes; and 9) financial frictions play an important role in business cycles. I will
examine each principle in turn.

1. Inflation is Always and Everywhere a Monetary Phenomenon
By the 1950s and 1960s, the majority of macroeconomists had converged on a
consensus view of macroeconomic fluctuations that downplayed the role of monetary factors.
Much of this consensus reflected the aftermath of the Great Depression and Keynes seminal

- 3 -

The General Theory of Employment, Interest, and Prices, which emphasized shortfalls in
aggregate demand as the source of the Great Depression and the role of fiscal factors as
possible remedies. In contrast, research by Milton Friedman and others in what became
known as the monetarist tradition (Friedman and Meiselman, 1963; Friedman and Schwartz,
1963a,b) attributed much of the economic malaise of the Depression to poor monetary policy
decisions and more generally argued that the growth in the money supply was a key
determinant of aggregate economic activity and, particularly, inflation. Over time, this
research, as well as Friedmans predictions that expansionary monetary policy in the 1960s
would lead to high inflation and high interest rates (Friedman, 1968), had a major impact on
the economics profession, with almost all economists eventually coming to agree with the
Friedmans famous adage, Inflation is always and everywhere a monetary phenomenon
(Friedman 1963, p. 17), as long as inflation is referring to a sustained increase in the price
level (e.g., Mishkin, 2007a).
General agreement with Friedmans adage did not mean that all economists subscribed
to the view that the money growth was the most informative piece of information about
inflation, but rather that the ultimate source of inflation was overly expansionary monetary
policy. In particular, an important imprint of this line of thought was that central bankers
came to recognize that keeping inflation under control was their responsibility.
2

2
Furthermore, monetarist research led Keynesian economists--for example Franco Modigliani--to search for
transmission mechanisms linking monetary policy to output and inflation (Mishkin, 2007a, chapter 23).

- 4 -

2. The Benefits of Price Stability
With the rise of inflation in the 1960s and 1970s, economists, and also the public and
politicians, began to discuss the high costs of inflation (for example, see the surveys in
Fischer, 1993; and Anderson and Gruen, 1995). High inflation undermines the role of money
as a medium of exchange by acting as a tax on cash holdings. On top of this, a high-inflation
environment leads to overinvestment in the financial sector, which expands to help individuals
and businesses escape some of the costs of inflation (English, 1996). Inflation leads to
uncertainty about relative prices and the future price level, making it harder for firms and
individuals to make appropriate decisions, thereby decreasing economic efficiency (Lucas,
1972; Briault, 1995). The interaction of the tax system and inflation also increases distortions
that adversely affect economic activity (Feldstein, 1997). Unanticipated inflation causes
redistributions of wealth, and, to the extent that high inflation tends to be associated with
volatile inflation, these distortions may boost the costs of borrowing. Finally, some
households undoubtedly do not fully understand the implications of a general trend in
prices--that is, they may suffer from nominal illusion--making financial planning more
difficult.
3
The total effect of these distortions became more fully appreciated over the course
of the 1970s, and the recognition

3
Of course, economic theory implies that inflation can be either too high or too low. The discussion has
emphasized costs associated with high inflation. But there are also potentially important costs associated with
rates of inflation that are very low. For example, Akerlof, Dickens, and Perry (1996) suggest that downward
nominal wage rigidity could result in severe difficulties for economic performance at some times when inflation is
too low. Other research has shown that the zero lower bound on nominal interest rates can lower economic
efficiency if inflation is too low (e.g., Reifschneider and Williams, 2000). Eggertsson and Woodford (2003)
discuss strategies to address the zero-lower-bound problem.

- 5 -

of the high costs of inflation led to the view that low and stable inflation can increase the level
of resources productively employed in the economy.
4, 5

3. No Long-Run Tradeoff Between Unemployment and Inflation
A paper published in 1960 by Paul Samuelson and Robert Solow argued that work by
A.W. Phillips (1958), which became known as the Phillips curve, suggested that there was a
long-run tradeoff between unemployment and inflation and that this tradeoff should be
exploited. Under this view, the policymaker would have to choose between two competing
goals--inflation and unemployment--and decide how high an inflation rate he or she would be
willing to accept to attain a lower unemployment rate. Indeed, Samuelson and Solow even
mentioned that a nonperfectionist goal of a 3 percent unemployment rate could be achieved at
what they considered to be a not-too-high inflation rate of 4 percent to 5 percent per year.
This thinking was influential, and probably contributed to monetary and fiscal policy activism
aimed at bringing the economy to levels of employment that, with hindsight, were not
sustainable. Indeed, the economic record from the late 1960s through the 1970s was not a
happy one: Inflation accelerated, with the inflation rate in the United States and other

4
A further possibility is that low inflation may even help increase the rate of economic growth. While time-series
studies of individual countries and cross-national comparisons of growth rates were not in total agreement
(Anderson and Gruen, 1995), the consensus grew that inflation is detrimental to economic growth, particularly
when inflation rates are high.
5
The deleterious effects of inflation on economic efficiency implies that the level of sustainable employment is
probably lower at higher rates of inflation. Thus, the goals of price stability and high employment are likely to be
complementary, rather than competing, and so there is no policy tradeoff between the goals of price stability and
maximum sustainable employment, the so-called dual mandate that the Federal Reserve has been given by
Congress (Mishkin, 2007b).

- 6 -

industrialized countries eventually climbing above 10 percent in the 1970s, leading to what has
been dubbed The Great Inflation.
The tradeoff suggested by Samuelson and Solow was hotly contested by Milton
Friedman (1968) and Edmund Phelps (1968), who independently argued that there was no
long-run tradeoff between unemployment and the inflation rate: Rather, the economy would
gravitate to some natural rate of unemployment in the long run no matter what the rate of
inflation was. In other words, the long-run Phillips curve would be vertical, and attempts to
lower unemployment below the natural rate would result only in higher inflation. The
Friedman-Phelps natural rate hypothesis was immediately influential and fairly quickly began
to be incorporated in formal econometric models.
Given the probable role that the attempt to exploit a long-run Phillips curve tradeoff had
in the Great Inflation, central bankers have been well served by adopting the natural rate, or
no-long-run-tradeoff, view. Of course, the earlier discussion of the benefits of price stability
suggests a long-run tradeoff--but not of the Phillips curve type. Rather, low inflation likely
contributes to improved efficiency and hence higher employment in the long run.

4. The Crucial Role of Expectations
A key aspect of the Friedman-Phelps natural rate hypothesis was that sustained inflation
may initially confuse firms and households, but in the long run sustained inflation would not
boost employment because expectations of inflation would adjust to any sustained rate of
increase in prices. Starting in the early 1970s, the rational expectations revolution, launched in
a series of papers by Robert Lucas (1972, 1973, and 1976), took this reasoning a step further

- 7 -

and demonstrated that the public and the markets expectations of policy actions have important
effects on almost every sector of the economy.
6
The theory of rational expectations emphasized
that economic agents should be driven by optimizing behavior, and therefore their expectations
of future variables should be optimal forecasts (the best guess of the future) using all available
information. Because the optimizing behavior posited by rational expectations indicates that
expectations should respond immediately to new information, rational expectations suggests
that the long run might be quite short, so that attempting to lower unemployment below the
natural rate could lead to higher inflation very quickly.
A fundamental insight of the rational expectations revolution is that expectations about
future monetary policy have an important impact on the evolution of economic activity. As a
result, the systematic component of policymakers actions--i.e., the component that can be
anticipated--plays a crucial role in the conduct of monetary policy. Indeed, the management of
expectations about future policy has become a central element of monetary theory, as
emphasized in the recent synthesis of Michael Woodford (2003).
7
And this insight has
far-reaching implications, for example, with regard to the types of systematic behavior by
policymakers that are likely to be conducive to macroeconomic stability and growth.
8

6
The 1976 Lucas paper was already very influential in 1973, when it was first presented at the Carnegie-
Rochester Conference. Note that although Muth (1961) introduced the idea of rational expectations more than ten
years earlier, his work went largely unnoticed until resurrected by Lucas.
7
Indeed, one implication of rational expectations in a world of flexible wages and prices was the policy
ineffectiveness proposition, which indicated that if monetary policy was anticipated, it would have no real effect
on output; only unanticipated monetary policy could have a significant impact. Although evidence for the policy
ineffectiveness proposition turned out to be weak (Barro, 1977; Mishkin, 1982a,b, 1983), the rational expectation
revolutions point that monetary policys impact on the economy is substantially influenced by whether it is
anticipated or not has become widely accepted.
8
Of course, the recognition that management of expectations is a central element in monetary policymaking raises
to the forefront the credibility of monetary policy authorities to do what they say they will do. It does not
diminish, however, the importance of actions by the monetary authorities because actions speak louder than
words: Monetary authorities will be believed only if they take the actions consistent with how they want
expectations to be managed.

- 8 -

5. The Taylor Principle
The recognition that economic outcomes depend on expectations of monetary policy
suggests that policy evaluation requires the comparison of economic performance under
different monetary policy rules.
9
One type of rule that has received enormous attention in the
literature is the Taylor rule (Taylor, 1993a), which describes monetary policy as setting an
overnight bank rate (federal funds rate in the United States) in response to the deviation of
inflation from its desired level or target (the inflation gap) and the deviation of output from its
natural rate level (the output gap).
10
Taylor (1993a) emphasized that a rule of this type had
desirable properties and in particular would stabilize inflation only if the coefficient on the
inflation gap exceeded unity. This conclusion came to be known as the Taylor principle
(Woodford, 2001) and can be described most simply by saying that stabilizing monetary policy
must raise the nominal interest rate by more than the rise in inflation. In other words, inflation
will remain under control only if real interest rates rise in response to a rise in inflation.
Although, the Taylor principle now seems pretty obvious, estimates of Taylor rules, such as
those by Clarida, Gali, and Gertler (1998), indicate that during the late 1960s and 1970s many
central banks, including the Federal Reserve, violated the Taylor principle, resulting in the

9
Although Lucas (1976) was a critique of the then-current practice of using econometric models to evaluate
specific policy actions, it leads to the conclusion that monetary policy analysis should involve the comparison of
economic performance arising from different rules.
10
Variants of the Taylor rule also allow for interest rate smoothing, as in Taylor (1999).

- 9 -

Great Inflation that so many countries experienced during this period.
11
Indeed, as inflation
rose in the United States, real interest rates fell.
12

6. The Time-Inconsistency Problem
Another important development in the science of monetary policy that emanated from the
rational expectations revolutions was the discovery of the importance of the time-inconsistency
problem in papers by Kydland and Prescott (1977), Calvo (1978), and Barro and Gordon (1983).
The time-inconsistency problem can arise if monetary policy conducted on a discretionary, day-
by-day basis leads to worse long-run outcomes than could be achieved by committing to a policy
rule. In particular, policymakers may find it tempting to exploit a short-run Phillips curve
tradeoff between inflation and employment; but private agents, cognizant of this temptation, will
adjust expectations to anticipate the expansionary policy, so that it will result only in higher
inflation with no short-run increase in employment In other words, without a commitment
mechanism, monetary policy makers may find themselves unable to consistently follow an
optimal plan over time; the optimal plan can be time-inconsistent and so will soon be
abandoned. The notion of time-inconsistency has led to a number of important insights
regarding central bank behavior--such as the importance of reputation (formalized in the
concept of reputational equilibria) and institutional design.

11
In contrast, Orphanides (2003) argues that the Federal Reserve did abide by the Taylor principle but pursued
overly expansionary policies during this period because of large and persistent misperceptions of the level of
potential output and the natural unemployment rate.
12
E.g., the estimates in Mishkin (1981, 1992).

- 10 -

7. Central Bank Independence
Indeed, the potential problem of time-inconsistency has led to a great deal of research
that examines the importance of institutional features that can give central bankers the
commitment mechanisms they need to pursue low inflation. Perhaps the most significant has
been research showing that central bank independence, at least along some dimensions, is
likely very important to maintaining low inflation. Allowing central banks to be instrument
independent, i.e., to control the setting of monetary policy instruments, can help insulate them
from short-run pressures to exploit the Phillips-curve tradeoff between employment and
inflation and thus avoid the time-inconsistency problem.
13

Evidence supports the conjecture that macroeconomic performance is improved when
central banks are more independent. When central banks in industrialized countries are ranked
from least legally independent to most legally independent, the inflation performance is found
to be the best for countries with the most independent central banks (Alesina and Summers,
1993; Cukierman, 1993; Fischer, 1994; and the surveys in Forder, 2000, and Cukierman,
2006).
A particularly interesting example occurred with the granting of instrument
independence to the Bank of England in May of 1997 (Mishkin and Posen, 1997; Bernanke and
others, 1999); before that date, the Chancellor of the Exchequer (the finance minister) set the

13
For an example of how the time-inconsistency problem can be modeled as resulting from political pressure, see
Mishkin and Westelius (forthcoming). Instrument independence also insulates the central bank from the myopia
that can be a feature of the political process. Instrument independence thus makes it more likely that the central
bank will be forward looking and adequately allow for the long lags from monetary policy actions to inflation in
setting their policy instruments.

- 11 -

monetary policy instrument, not the Bank of England. As figure 4 illustrates, during 1995-96
the U.K. retail inflation rate (RPIX) was fairly close to 3 percent, but the spread between
nominal and indexed bond yields--referred to as 10-year breakeven inflation--was substantially
higher, in the range of 4 percent to 5 percent, reflecting investors inflation expectations as
well as compensation for perceived inflation risk at a 10-year horizon. Notably, breakeven
inflation declined markedly on the day that the government announced the Bank of Englands
independence and has remained substantially lower ever since. This case study provides a
striking example of the benefits of instrument independence.
Although there is a strong case for instrument independence, the same is not true for
goal independence, the ability of the central bank to set its own goals for monetary policy.
14

In a democracy, the public exercises control over government actions, and policymakers are
accountable, which requires that the goals of monetary policy be set by the elected
government. Although basic democratic principles argue for the government setting the goals
of monetary policy, the question of whether it should set goals for the short-run or
intermediate-run is more controversial. For example, an arrangement in which the government
set a short-run inflation or exchange rate target that was changed every month or every quarter
could easily lead to a serious time-inconsistency problem in which short-run objectives would
dominate. In practice, however, this problem does not appear to be severe because, for
example, in many countries in which the government sets the annual inflation target, the target
is rarely changed once price stability is achieved. Even though, in theory, governments could

14
The distinction between goal and instrument independence was first made by Debelle and Fischer (1994) and
Fischer (1994).

- 12 -

manipulate monetary policy goals to pursue short-run objectives, they usually do not if the
goal-setting process is highly transparent.
However, the length of the lags from monetary policy to inflation is a technical issue that
the central bank is well placed to determine. Thus, for example, deciding how long it should take
for inflation to return to a long-run goal necessarily requires judgment and expertise regarding the
nature of the inflation process and its interaction with real activity. That need for judgment and
expertise argues for having the central bank set medium-term goals because the speed with which
it can achieve them depends on the lags of monetary policy. Whether the central bank or the
government should set medium-term inflation targets is therefore an open question.

8. Commitment to a Nominal Anchor
The inability of monetary policy to boost employment in the long run, the importance of
expectations, the benefits of price stability, and the time-inconsistency problem are the reasons
that commitment to a nominal anchor--i.e., stabilization of a nominal variable such as the
inflation rate, the money supply, or an exchange rate--is crucial to successful monetary policy
outcomes.
An institutional commitment to price stability via establishing a nominal anchor provides
a counterbalance to the time-inconsistency problem because it makes it clear that the central
bank must focus on the long-run and thus resist the temptation to pursue short-run expansionary
policies that are inconsistent with the nominal anchor. Commitment to a nominal anchor can
also encourage the government to be more fiscally responsible, which also supports price
stability. For example, persistent fiscal imbalances have, in the absence of a strong nominal
anchor, led some governments, particularly in less-developed economies, to resort to the so-

- 13 -

called inflation tax--the issuing/printing of money to pay for goods and services that leads to
more inflation and is thus inconsistent with price stability.
Commitment to a nominal anchor also leads to policy actions that promote price stability,
which helps promote economic efficiency and growth. The commitment to a nominal anchor
helps stabilize inflation expectations, which reduce the likelihood of inflation scares, in which
expected inflation and interest rates shoot up (Goodfriend, 1993). Inflation scares lead to bad
economic outcomes because the rise in inflation expectations leads not only to higher actual
inflation but also to monetary policy tightening to get inflation back under control that often
results in large declines in economic activity. Commitment to a nominal anchor is therefore a
crucial element in the successful management of expectations; and it is a key feature of recent
theory on optimal monetary policy, referred to as the new-neoclassical (or new-Keynesian)
synthesis (Goodfriend and King, 1997; Clarida, Gali, and Gertler, 1999; Woodford, 2003). A
successful commitment to a nominal anchor has been found to produce not only more-stable
inflation but lower volatility of output fluctuations ( Fats, Mihov, and Rose, 2007; Mishkin and
Schmidt-Hebbel, 2002, 2007).

9. Financial Frictions and the Business Cycle
Research that outlined how asymmetric information could impede the efficient
functioning of the financial system (Akerlof, 1970; Myers and Majluf, 1984; and Greenwald,
Stiglitz, and Weiss, 1984) suggests an important link between business cycle fluctuations and
financial frictions. When shocks to the financial system increase information asymmetry so
that financial frictions increase dramatically, financial instability results, and the financial

- 14 -

system is no longer able to channel funds to those with productive investment opportunities,
with the result that the economy can experience a severe economic downturn (Mishkin, 1997).
The rediscovery of Irving Fishers (1933) paper on the Great Depression led to the recognition
that financial instability played a central role in the collapse of economic activity during that
period (Mishkin, 1978; Bernanke, 1983; and the survey in Calomiris, 1993), and it has
spawned a large literature on the role of financial frictions in business cycle fluctuations (e.g.,
Bernanke and Gertler, 1999, 2001; Bernanke, Gertler, and Gilchrist, 1999; Kashyap and Stein,
1994). Indeed, it is now well understood that the most severe business cycle downturns are
always associated with financial instability, not only in advanced countries but also in
emerging-market countries (Mishkin, 1991, 1996). Minimizing output fluctuations thus
requires that monetary policy factors in the impact of financial frictions on economic activity.

II.
Advances in the Applied Science of Monetary Policy

Scientific principles are all well and good, but they have to be applied in a practical
way to produce good policies. The scientific principles from physics or biology provide
important guidance for real-world projects, but it is with the applied fields of engineering and
medicine that we build bridges and cure patients. Within economics, it is also important to
delineate the use of scientific principles in policymaking, as this type of categorization helps us
understand where progress has been made and where further progress is most needed. I will
categorize the applied science of monetary policy as those aspects that involve systematic, or

- 15 -

algorithmic, methods such as the development of econometric models. Other, more
judgmental aspects of policymaking are what I will call the art of policymaking.
So, how have the basic scientific principles outlined above been used algorithmically? I
focus particularly on the U.S. examples because they are the ones I am most familiar with
given my experience as an American central banker, but similar developments have occurred
elsewhere.
Early Keynesian econometric models of the macroeconomy did not give monetary
policy a prominent role (for example, Tinbergen, 1939; Adelman and Adelman, 1959; Klein,
1968). In contrast, the policy-oriented models developed in the 1960s--such as the MIT-Penn-
SSRC (MPS) model, developed by Franco Modigliani and collaborators and used as the
workhorse model for policy analysis at the Federal Reserve until 1996--incorporated a very
important role for monetary policy, broadly similar to the main channels of the monetary
policy transmission mechanism that are embedded in the current generation of models.
15

In this sense, the notion that inflation is a monetary phenomenon has been embedded in formal
models for several decades.
Very early versions of the MPS model did display a long-run tradeoff between
unemployment and inflation, as the principle that there should be no long-run tradeoff took
some time to be accepted (e.g., Gramlich, 2004). By the early 1970s, the principle of no long-
run tradeoff was fully ensconced in the MPS model by the adoption of an accelerationist
Phillips curve (Pierce and Enzler, 1974; Brayton and others, 1997). The recognition in their

15
Brayton and Mauskopf (1985) describe the MPS model. As pointed out by Gramlich (2004), the researchers at
the Federal Reserve were instrumental in the building of this model and it might more accurately be described as
the Fed-MIT model or the Fed-MIT-Penn model.

- 16 -

models that lower unemployment could not be bought by accepting higher inflation was a
factor driving central banks to adopt anti-inflationary policies by the 1980s.
Although accelerationist Phillips curves became standard in macroeconometric models
used at central banks like the MPS model through the 1970s, expectational elements were still
largely missing. The next generation of models emphasized the importance of expectations.
For example, the staff at the Board of Governors of the Federal Reserve System developed
their next-generation model, FRB/US (Brayton and Tinsley, 1995; Reifschneider, Stockton,
and Wilcox, 1997; Reifschneider, Tetlow, and Williams, 1999), to incorporate the importance
of expectations in the determination of real activity and inflation. The FRB/US model, and
similar models developed at other central banks such as the Bank of Canadas QPM model
(Coletti and others, 1996) and the Reserve Bank of New Zealands FPS model (Hunt, Rose,
and Scott, 2000) were an outgrowth of the rational expectations revolution, and they allowed
expectations to be derived under many different assumptions, including rational expectations.
Policy simulations to help guide monetary policy decisions, such as those that are shown to the
Federal Open Market Committee (FOMC), explicitly emphasize assumptions about future
expectations and how they are formed. Policymakers have thus come to recognize that their
decisions about policy involve not only the current policy setting but also how they may be
thinking about future policy settings.
The focus on optimizing economic agents coming out of the rational expectations
revolution has led to modeling efforts at central banks that not only make use of rational
expectations, but that are also grounded on sounder microfoundations. Specifically, these
models build on two recent literatures, real business cycle theory (e.g., Prescott, 1986) and

- 17 -

new-Keynesian theory (e.g., Mankiw and Romer, 1991). In contrast to older Keynesian macro
modeling, new-Keynesian theory provides microfoundations for Keynesian concepts such as
nominal rigidities, the non-neutrality of money, and the inefficiency of business cycle
fluctuations by deriving them from optimizing behavior. The real business cycle approach
makes use of stochastic general equilibrium growth models with representative, optimizing
agents. The resulting new class of models, in which new-Keynesian features such as nominal
rigidities and monopolistic competition are added to the frictionless real business models, have
become known as dynamic stochastic general equilibrium (DSGE) models. Simple versions of
such models have already provided a framework in which to think about key aspects of
monetary policy design--insights perhaps best illustrated in the Woodford (2003) discussion of
policy issues in the now-textbook, three-equation new-Keynesian model. Larger, more
empirically-motivated DSGE models are now in their early stages of development and are
beginning to be used for policy analysis at central banks (e.g., at the European Central Bank,
Smets and Wouters, 2003, and Coenen, McAdam, and Straub, 2007; and at the Federal
Reserve Board, Erceg, Guerrieri, and Gust, 2006, and Edge, Kiley, and Laforte, 2007).
There are two very important implications from policy analysis with DSGE models, as
emphasized by Gali and Gertler (forthcoming): First, monetary transmission depends
critically on private sector expectations of the future path of the central banks policy
instrument. Second, the natural (flexible price equilibrium) values of both output and the
real interest rate provide important reference points for monetary policy--and may fluctuate
considerably. I can attest that both of these propositions indeed are now featured in the
Bluebook (the staffs main document for analyzing policy options for the FOMC) .

- 18 -

The basic logic of the Taylor principle--that is, raising nominal interest rates more than
one-for-one in response to an increase in inflation--was developed in conjunction with the
analysis of Taylors multicountry model and other macroeconometric models (Taylor, 1993a,b;
Bryant, Hooper, and Mann, 1993). However, although the Taylor principle is
a necessary condition for good monetary policy outcomes, it is not sufficient. Central bankers
require knowledge about how much difference the Taylor principle makes to monetary policy
outcomes. They also require an understanding of how much greater than one the response of
nominal interest rates should be to increases in inflation and also need to know how the policy
rate should respond to other variables. Studying the performance of different rules in
macroeconometric models has become a major enterprise at central banks, and the conclusion
is that the Taylor principle is indeed very important. Analysis of policy rules in
macroeconometric models that are not fully based on optimizing agents has been very extensive
(e.g., Bryant, Hooper, and Mann, 1993; Levin, Wieland, and Williams, 1999), and we are
now seeing similar analysis using DSGE models (e.g., Levin and others, 2006; Schmitt-Groh
and Uribe, 2006).
The second principle, and the sixth through the eighth principles -- which emphasize the
benefits of price stability and the importance of the time-inconsistency problem, central bank
independence and a commitment to a nominal anchor -- have important applications to the
design of monetary policy institutions.
The argument that independent central banks perform better and are better able to resist
the pressures for overly expansionary monetary policy arising from the time-inconsistency
problem has led to a remarkable trend toward increasing central bank independence. Before

- 19 -

the 1990s, only a few central banks were highly independent, most notably the Bundesbank,
the Swiss National Bank, and, to a somewhat lesser extent, the Federal Reserve. Now almost
all central banks in advanced countries and many in emerging-market countries have central
banks with a level of independence on par with or exceeding that of the Federal Reserve. In
the 1990s, greater independence was granted to central banks in such diverse countries as
Japan, New Zealand, South Korea, Sweden, the United Kingdom, and those in the euro zone.
The increasing recognition of the time-inconsistency problem and the role of a nominal
anchor in producing better economic outcomes has been an important impetus behind
increasing central banks commitments to nominal anchors. One resulting dramatic
development in recent years has been a new monetary policy strategy, inflation targeting--the
public announcement of medium-term numerical targets for inflation with commitment and
accountability to achieve this target, along with increased transparency of the monetary policy
strategy through communication with the public (Bernanke and Mishkin, 1997). There has
been a remarkable trend toward inflation targeting, which was adopted first by New Zealand in
March 1990, and has since been adopted by an additional 23 countries (Rose, 2006). The
evidence, is in general quite favorable to inflation targeting, although countries that have
adopted inflation targeting have not improved their monetary policy performance beyond that
of nontargeters in industrial countries that have had successful monetary policy (e.g., Bernanke
and others, 1999; Mishkin and Schmidt-Hebbel, 2002, 2007; Rose, 2006). And, in contrast to
other monetary policy regimes, no country with its own currency that has adopted inflation
targeting has been forced to abandon it.
16

16
Spain and Finland gave up inflation targeting when they entered the euro zone.

- 20 -

The scientific principle that financial frictions matter to economic fluctuations has led to
increased attention at central banks to concerns about financial stability. Many central banks
now publish so-called Financial Stability reports, which examine vulnerabilities to the financial
system that could have negative consequences for economic activity in the future. Other
central banks are involved in prudential regulation and supervision of the financial system to
reduce excessive risk-taking that could lead to financial instability. Central banks also have
designed their lending facilities to improve their ability to function as a lender of last resort, so
they can provide liquidity quickly to the financial system in case of financial disruptions.

III.
The Art of Monetary Policy

I have argued that there have been major advances in the science of monetary policy in
recent years, both in terms of basic scientific principles and applications of these principles to
the real world of monetary policymaking. Monetary policy has indeed become more of a
science. There are, however, serious limitations to the science of monetary policy. Thus, as
former vice-chairman of the Federal Reserve Board, Alan Blinder (1998, p.17), has
emphasized, central banking in practice is as much art as science. By art, I mean the use
of judgment--judgment that is informed by economic theory and data but in a manner that is
less explicitly tied to formal models or algorithms.
There are several reasons why judgment will always be an important element in the
conduct of monetary policy. First, models are able to make use of only a small fraction of the

- 21 -

potentially valuable information that tells us about the complexity of the economy. For
example, there are very high frequency data--monthly, weekly, and daily--that are not
incorporated into macroeconometric models, which are usually estimated on quarterly data.
These high-frequency data can often be very informative about the near-term dynamics of the
economy and are used judgmentally by central-bank forecasters (e.g., Reifschneider, Stockton,
and Wilcox, 1997).
Second, information that can be very useful in forecasting the economy or deciding
whether a particular model makes sense is often anecdotal and is thus not easily quantifiable.
The Federal Reserve makes extensive use of anecdotal information in producing its forecasts.
The staff at the Board and the Federal Reserve Banks monitor a huge amount of anecdotal
information, and such information is discussed extensively in the publicly released Beige Book,
which reports information from contacts in the Federal Reserve Districts, and by the
participants in FOMC meetings.
Third, although monetary policy makers make extensive use of models in both
forecasting and evaluating different policies, they are never sure that one model is the correct
one. Active, and sometimes bitter, debates about which modeling approaches are the right
ones are ongoing in macroeconomics, and there often is not a consensus on the best model. As
a result, central banks must express some degree of humility regarding their knowledge of the
structural relationships that determine activity and prices. This humility is readily apparent in
the practice at central banks, which involves looking at many different models--structural,
reduced-form, general equilibrium and partial equilibrium, and continually using judgment to
decide which models are most informative.

- 22 -

Fourth, the economy does not stand still but, rather, changes over time. Economic
relationships are thus unlikely to remain stable, and it is not always clear how these
relationships are changing.
17
Therefore, policymakers must sometimes put less weight on
econometrically estimated equations and instead make informed guesses about how the
economy will evolve.
Fifth, as part of managing expectations, monetary policy makers communicate with
economic agents who are not automatons but instead process information in complex ways.
Subtle changes can make a big difference in the effectiveness of communication strategies--i.e.,
details matter--and judgment is therefore always an important element of good
communication.
18

Although, for the reasons outlined above, judgment will always be a necessary element
of monetary policy, good decisions require that judgment be disciplined--not too ad hoc--and
be well informed by the science of monetary policy. As Blinder (1998, p. 17), has put it,
Nonetheless, while practicing this dark art, I have always found the science quite useful.
Here I will discuss two recent episodes in the United States--the financial-headwinds period in
the early 1990s and the new-economy, productivity burst of the late 1990s--to illustrate how
judgment informed by science was able to produce good economic outcomes.

17
The housing channel is one example in which the monetary transmission mechanism has changed substantially
and is likely to continue to do so over time, e.g., Bernanke (2007) and Mishkin (2007c).
18
Because subtle details matter, there is an important rationale for the use of case studies to research best practice
in central bank communication strategies and this is why I have been drawn to case-study research (Bernanke and
Mishkin, 1992; Bernanke and others, 1999; Mishkin, 1999).

- 23 -

Financial Headwinds in the Early 1990s

The last scientific principle discussed in the papers first section emphasizes the link
between financial frictions and the business cycle, but it is unfortunately quite hard to model
the role of these frictions in a general equilibrium, macroeconometric model. The late 1980s
saw a boom and then a major bust in the commercial real estate market leading to huge loan
losses that caused a substantial fall in capital at depository institutions (banks). At the same
time, regulators were raising bank capital requirements to ensure compliance with the Basel
Accord. The resulting capital shortfalls meant that banks had to either raise new capital or
restrict their asset growth by cutting back on lending. Because of their weak condition, banks
could not raise much new capital, so they chose the latter course. The resulting slowdown in
the growth of credit was unprecedented in the post-World War II era (Reifschneider, Stockton,
and Wilcox, 1997). Because banks have informational advantages in making certain loans
(e.g., Mishkin, 2007a), many bank-dependent borrowers could no longer get access to
financing and thus had to cut back on their spending.
Although the large-scale macromodel then in use at the Federal Reserve Board did not
explicitly have financial frictions in its equations, officials at the Federal Reserve were aware
that these frictions could be very important and were concerned that they might be playing a
critical role at that juncture. In part reflecting this concern, many Fed economists were
actively engaged in research on the impact of bank credit on economic activity. This research,
together with anecdotal reports that businesses were finding themselves credit constrained and
survey information indicating that bank credit standards were being tightened, gave rise to the

- 24 -

view among Federal Reserve policymakers that the capital crunch at banks was noticeably
constraining credit flows and hence spending by households and firms. Indeed, Federal
Reserve Chairman Alan Greenspan (1992) suggested that financial conditions in the early-
1990s was holding back activity like a 50-mile per hour headwind, and in that period the
FOMC reduced the federal funds rate to levels well below that suggested by the Taylor rule
(e.g., Rudebusch, 2006). Indeed, the recovery from the 1990-91 recession was very slow, and
the Fed kept the federal funds rate at 3 percent (which, with an inflation rate of around 3
percent, implied a real rate of zero) until February of 1994--a very accommodative policy
stance. The Feds expansionary policy stance at the time has in hindsight been judged as very
successful, with the economy finally recovering and inflation remaining contained.

The New-Economy, Productivity Burst of the late 1990s

By the beginning of 1997, the unemployment rate had declined to 5.3 percent, and the
Board staff was forecasting that the unemployment rate would fall to 5 percent--an outcome
that followed by midyear. The forecast of a 5 percent unemployment rate was well below
most estimates of the NAIRU (nonaccelerating inflation rate of unemployment). As a result,
the staff forecast was for a rise in inflation (Svensson and Tetlow, 2005). The staff forecast
and the recommendation in the February Bluebook suggested that a period of monetary policy
tightening would be needed to forestall a continuous rise in core inflation (Federal Reserve
Board, 1997, p. 7). Although the FOMC did raise the federal funds rate in March 1997, it
desisted from raising rates further; in fact, the FOMC reduced the federal funds rate in the fall

- 25 -

of 1998 after the episode involving the Long-Term Capital Management hedge fund and the
Russian-bond meltdown. Despite an unemployment rate continually below estimates of the
NAIRU, the outcome was not the acceleration that the Board staffs models predicted
(Svensson and Tetlow, 2005; Tetlow and Ironside, 2006) but instead a decline in the inflation
rate.
Why did the FOMC hold off and not raise rates in the face of economic growth that
was forecasted to be far in excess of potential growth--a decision that, ex post, appears to have
resulted in desirable outcomes for inflation and employment? The answer is that Fed
Chairman Greenspan guessed correctly that something unusual was going on with productivity.
For example, he was hearing from businesspeople that new information technologies were
transforming their businesses, making it easier for them to raise productivity. He was also a
big fan of the historical work by Paul David (1990), which suggested that new technological
innovations often took years to produce accelerations in productivity in the overall economy
(Meyer, 2004). Chairman Greenspan was led to the conclusion that the trend in productivity
growth was accelerating, a conclusion that the Board staffs forecast did not come to fully
accept until late 1999 (Svensson and Tetlow, 2005). Moreover, he appeared to be convinced
that the acceleration in productivity would cap inflationary pressures, implying that inflation
would not accelerate even with rapid economic growth. His view prevailed in the FOMC
(Meyer, 2004).
19

The types of information used to foresee the effects of a productivity acceleration are
inherently difficult to incorporate into formal models. This is obvious with respect to the

19
Chairman Greenspans successful use of judgment during this period is one reason why he was dubbed the
maestro by Woodward (2000).

- 26 -

anecdotes I have mentioned. But even the systematic data available at the time required the use
of judgment. For example, part of the story of the late 1990s reflected the different signals
being sent by real-time measures of gross domestic product and gross domestic income--or at
least the component of the latter produced by nonfinancial corporations, which is perhaps
better measured (Corrado and Slifman, 1999) and provided some advance signal of the
productivity acceleration. Of course, these two measures--GDP and GDI--are the same in our
formal models, and only a judgmental filtering of the information content in each can be useful
in real time.
Good judgment benefits not only from a good feel for the data and the successful
processing of anecdotal information but also from the use of scientific models, and the
late-1990s episode is no exception. At the July 1997 FOMC meeting, the Board staff
presented simulations using the FRB/US model examining what would happen if productivity
were to accelerate (Meyer, 2004; Tetlow and Ironside, 2006). Their simulations produced
several results that were consistent with what seemed to be happening. An acceleration of
productivity would raise profits and the value of equities, which would boost aggregate demand
because higher stock values would stimulate business investment and boost consumer spending
through wealth effects. The acceleration in productivity would also be disinflationary and
could therefore explain why inflation would fall despite a declining unemployment rate. An
unexpected rise in productivity growth would not be immediately reflected in higher wage
rates, so unit labor costs (wages adjusted for productivity growth) would fall, leading to a
decline in inflation. Another way of looking at this is through the NAIRU framework. For a
given rate of unemployment, an unexpected acceleration in productivity would produce an

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inflation rate lower than it otherwise would be, so that the NAIRU at which the unemployment
rate would not lead to an acceleration of inflation would decline. As events unfolded in line
with these simulation results, the FOMC became more convinced that a productivity boom was
under way and that there was less need for a monetary tightening.
The two episodes discussed here illustrate several points about the art of central
banking. First, monetary policy is more likely to produce better outcomes when central
bankers recognize the limitations of their formal models. However, judgment cannot be
undisciplined. The accuracy of judgment is likely to be enhanced when it is informed by the
science of monetary policy, either through use of model simulations or applications of basic
scientific principles.

IV.
Further Advances to Make Monetary Policy More of a Science

Although art will always be a feature of monetary policy, the science of monetary
policy will keep advancing, making monetary policy more of a science. In this section I will
briefly discuss where I think future advances in the science of monetary policy are likely to be
made.
The push to build sound microfoundations into general equilibrium macroeconometric
models is ongoing as the expanding literature on DSGE models indicates (survey in Gali and
Gertler, forthcoming; and the discussions of model enhancements in Erceg, Gust, and
Guerrieri, 2006, and in Edge, Kiley, and Laforte, 2007). However, these DSGE models are
only now starting to be brought to the data and are not nearly as rich in their coverage of

- 28 -

features of the economy as are older, more-Keynesian models such as FRB/US.
20
Models like
FRB/US do have elements that are more ad hoc, but at the current juncture central bankers see
them as more realistic. Building macroeconometric models thoroughly grounded on solid
microfoundations, but with treatment of more sectors of the economy, will be one of the main
challenges for the science of monetary policy in the future.
Nominal rigidities are central to understanding quantitatively the impact of monetary
policy on the economy. The canonical DSGE model makes use of a simple new-Keynesian
Phillips curve framework because it makes the model very tractable.
21
This framework is
highly stylized, however, and does not allow for endogenous changes in how often contracts
are renegotiated. Furthermore, there may be other reasons why prices are not reset too often,
such as rational inattention.
22
Better explanations--and more empirical validation--regarding
the source of nominal rigidities may lead to important advances in the science of monetary
policy.
23

Tractability has led to models based on microfoundations, such as DSGE models, to
rely on representative agents, which is a serious drawback. I have a strong sense that what
drives many macroeconomic phenomena that are particularly interesting is heterogeneity of
economic agents. Building heterogeneous agents into macroeconometric models will by no
means be easy, but it has the potential to make these models much more realistic.
Furthermore, it may allow us to understand the link between aggregate economic fluctuations

20
To be fair, models like FRB/US do have much in common with DSGE models in that many of their equations,
but not all, are built on solid microfoundations.
21
These models often use the Calvo (1983) staggering construct or the quadratic adjustment costs of Rotemberg
(1982); these specifications yield identical Phillips curve specifications.
22
Mankiw and Reis (2002) introduce this type of model; Kiley (2007) compares the ability of this type of model
to improve upon the fit of more familiar sticky-price models.
23
Microeconomic studies have begun to make interesting progress (e.g., Bils and Klenow, 2004; Nakamura and
Steinsson, 2006).

- 29 -

and income distribution, a hot topic in political circles. Heterogeneity of economic agents is
also crucial to understanding labor market frictions. In some DSGE models, all fluctuations in
employment are from variation in hours per worker, and yet in the real world, changes in
unemployment are a more important source of employment fluctuations. Bringing the search
and matching literature more directly into microfounded macroeconometric models will make
them more realistic and also allow better welfare comparisons of different monetary policies.
Although, as discussed above, monetary policy makers understand the importance of
financial frictions to the business cycle, general equilibrium macroeconometric models, for the
most part, ignore financial market imperfections. Research has begun to incorporate financial
market imperfections into quantitative dynamic general equilibrium models (e.g., Bernanke,
Gertler, and Gilchrist, 1999), and some of this research has even begun to estimate these types
of DSGE models (e.g., Christiano, Motto, and Rostagno, 2007). But we need to know a lot
more about the how to scientifically incorporate financial frictions into policy deliberations.
For the time being, the role for art is this area is very important.
The new field of behavioral economics, which makes use of concepts from other social
sciences such as anthropology, sociology, and, particularly, psychology, suggests that
economic agents may not always be the rational, optimizing agents we assume in our models.
Embedding behavioral economics into macro models can make a major difference in the way
these models work (Akerlof, 2007). How important are deviations from rationality to our
views on the monetary transmission mechanism, and what are welfare-enhancing monetary
policies? How can systematic deviations from rationality be modeled in a serious way and

- 30 -

built into macroeconometric models? Answers to these questions may further enhance the
realism of macroeconometric models used for policy purposes.
One of the rationales for the use of judgment (art) in the conduct of monetary policy is
that the economy is not stationary, but rather is changing all the time. This means that
economic agents are continually learning about the state of the economy, so the rational
expectations assumption that depends on stationarity to derive expectations often may not be
valid. Research on the how agents learn and its implications for business cycles is an active
area of research (Bullard and Mitra, 2002; Evans and Honkapohja, 2003) that should have
major payoff in helping us to better understand the impact of monetary policy on the economy.
Another rationale for keeping art in monetary policymaking is that we can never be
sure what is the right model of the economy. As I mentioned earlier, this argues for humility
at central banks. It also argues for advances in scientific techniques to think about which
monetary policies are more robust in producing good economic outcomes. Research in this
area is also very active. One approach examines parametric uncertainties in which methods
are examined to ensure that a prescribed policy works well in an entire class of models (e.g.,
Levin, Wieland, and Williams, 1999). Nonparametric approaches look at designing policies
that protect against model misspecifications that cannot be measured (e.g., Hansen and
Sargent, forthcoming; Tetlow and von zur Muehlen, 2001).
The list of areas here that will advance the science of monetary policy is necessarily
incomplete. Some of the most important advances in economic science are often very hard to
predict.

- 31 -

V.
Concluding Remarks

The science of monetary policy has come a long way over the past fifty years, and I
would argue that its advances are an important reason for the policy successes that so many
countries have been experiencing in recent years. Monetary policy will however never become
as boring as dentistry. Monetary policy will always have elements of art as well as science.
(That is good news because it will keep life interesting for monetary economists like me.)
However, the advances in the science of monetary policy that I have described here suggest
that monetary policy will become more of a science over time. Furthermore, even though art
will always be a key element in the conduct of monetary policy, the more it is informed by
good science, the more successful monetary policy will be.

- 32 -

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1

LICHIDITATEA, ATACUL SPECULATIV DIN OCTOMBRIE 2008

este inflaia la momentul t;

} este inflaia anticipat la momentul t pentru

) este gap-ul produciei;

este logaritmul produciei la

este logaritmul nivelului potenial al produciei; este un factor de discount

este rata dobnzii de politic monetar,

este rata natural a dobnzii n termeni

} este gap-ul anticipat al produciei. Ecuaiile (1) i (2) mpreun cu o

}. Dat fiind aceast pant optim,

) i, implicit, asupra gap-ului produciei; (iii)

n ecuaia (1). n sfrit, exist nivelul produciei efective, al crui

, care este efectiv obinut dat fiind competiia

) cu cererea este dat de

reprezint productivitatea muncii,

reprezint cheltuielile guvernamentale,

( ) i ( ) ( ) ; este rata constant la

are urmtoarele caracteristici: (i) n absena rigiditilor nominale este

(ca i n ecuaia (3)); i (iii) n absena impozitrii distorsionante a

, iar nivelul natural este

( ) , care este o valoare

) i nivelul natural al produciei (

). Acesta este gap-ul relevant pentru

), care este gap-ul produciei din ecuaia (1).

) asigur automat i stabilizarea gap-ului relevant pentru

) (Blanchard i Gal, 2007). Ecuaia (1) este construit pe aceste ipoteze.

). Dac, aa cum este normal, se intete la stabilizarea

sunt salariul curent i respectiv nivelul su de echilibru. Compromisul apare

), fr ca distana dintre nivelul

. Politica monetar nu poate rmne

, fie una care economisete (

au valori n intervalul (0, 1) i

este rata natural a produciei. Ea este o combinaie liniar de cheltuielile

este introdus n mod exogen (fiind un oc de tip cost push) i

reprezint o msur a ineficienei

), precum i ali factori, care nu sunt

} din ecuaia generic (2))

), ci gap-ul anticipat ar trebui s

} , se obine pe baze raionale, n sensul raionalitii de tip Lucas, prezent n

), dar totui semnificativ

), sunt angajai n exces fa de lucrtorii auxiliari cerui de tehnologie.

) din numrul de personal auxiliar (

. Astfel, treptat, cnd producia crete, un numr tot mai mare de

) reprezint rezerve de eficien ale firmelor. Ele

este negativ (Croitoru 2011).

) i a celui pe partea ofertei (

) n jos, reflectnd scderea productivitii

, aa cum, din motive de spaiu apare din grafic.

este deviaia costului marginal real de la trend

este gap-ul ratei

este rata natural

gap-ul ratei omajului cnd

pot fi pozitive sau negative i sunt calculate fa de rata natural a

este tot un gap al ratei omajului, dar, aa cum am artat, este

este egal cu gap-ul

dac nu exist norme. Cnd economia

este negativ i egal cu rezervele de eficien. Cnd economia opereaz

este mai mare ca

vezi Croitoru (2011).

n modul mai mare dect

. Notnd acest gap cu

, relaia dintre gap-uri este: