货币供给的内生性与货币政策的效率——兼评我国当前货币政策的有效性

货币内生性理论指出公众的货币需求会直接影响中央银行的货币供给。因此 ,公众通过调整货币需求可以对中央银行的货币政策效果产生不确定的影响。本文利用货币内生性理论来分析公众行为对中央银行为稳定物价水平而采取的政策效果的影响 ;并通过实证分析证实我国M2 的供给有较强的内生性 ;我国货币政策在治理通货膨胀和通货紧缩的效果上存在着不对称性 ,以此可重新认识我国当前通货政策的有效性。     

温和通货膨胀下的货币政策选择

2003年以来,我国摆脱了通货紧缩的阴影,进入了一个温和的通货膨胀时期.这一轮温和的通货膨胀主要源于货币信贷的过快增长,而基础货币投放过多主要源于外汇占款的快速增长.实证研究表明,我国通货膨胀率与M0、M1、M2以及贷款增长率之间都存在正相关关系.缓解和释放通货膨胀压力既需要运用数量型货币政策工具,更需要运用价格型货币政策工具.为了缓解通货膨胀压力,中国人民银行应该实行"双升"的货币政策,在调升人民币利率水平的同时调整人民币汇率,既升息又升值,但升息和升值的幅度不宜过大.     

Liquidity risk, economic development, and the effects of monetary policy

Empirical evidence indicates that monetary policy is not super-neutral in many countries. In particular, in high inflation economies, inflation is negatively related to economic activity. By comparison, inflation may be positively correlated with output in low inflation countries. We present a neoclassical growth model with money in which the incidence of liquidity risk is inversely related to aggregate capital formation. Interestingly, there may be multiple monetary steady-states where the effects of monetary policy vary. In poor economies, the financial system is highly distorted and higher rates of money growth are associated with less capital formation. In contrast, in advanced economies, a Tobin effect is observed. Since inflation exacerbates distortions from a coordination failure in the low-capital steady-state, individuals become much more exposed to liquidity risk. Consequently, optimal monetary policy depends on the level of development.     

Endogenous Time Preference, Inflation, and Capital Accumulation

In an infinitely lived, representative agent model with the Becker-Mulligan (1997) endogenous time preference, this paper reexamines the effects of monetary growth. An increase in the inflation rate reduces the resources spent on imagining the future, which increases the rate of time preference and decreases the steady-state value of capital stock. This model relates inflation and consumer patience, and shows that inflation will make people less patient. Finally, Friedman's optimal monetary growth rule is also investigated and found not to hold.     

Expectation Traps and Monetary Policy

Why is inflation persistently high in some periods and low in others? The reason may be the absence of commitment in monetary policy. In a standard model, absence of commitment leads to multiple equilibria, or expectation traps , even without trigger strategies. In these traps, expectations of high or low inflation lead the public to take defensive actions, which then make accommodating those expectations the optimal monetary policy. Under commitment, the equilibrium is unique and the inflation rate is low on average. This analysis suggests that institutions which promote commitment can prevent high inflation episodes from recurring.     

中国GDP增长与CPI:关系、均衡与“十二五”预期目标调控

通货膨胀率和经济增长率之间动态关系的认识是宏观调控的基础,然而,目前在线性和静态的分析框架内未能揭示出通货膨胀和经济增长的复杂动态关系。本文运用1996—2009年GDP增长率、CPI与M2增长率的季度数据建立我国经济增长与通货膨胀的非线性动力系统模型(GDP-CPINLDS),揭示了我国最优的季度GDP增长率和CPI,以及零通货膨胀的季度GDP增长率。总体上,我国经济增长与通货膨胀处在次优化的非均衡运行状态,两者呈现出同向性变动的特点。最优调控实验表明,仅调节M2增长率不能完全实现"十二五"调控目标。文章建议"十二五"期间要以调控GDP增长为导向,以从紧货币政策为基础,配合多种调控手段,形成强有力的联合调控机制,以确保GDP增长率和CPI目标的最优实现。     

货币供应量能预测中国通货膨胀吗?

研究表明,M0,M1,M2均对我国通货膨胀没有影响,且不能预测通货膨胀。因此,在短期内不能单纯采用控制货币供应量的货币政策来治理通货膨胀。但是,即便货币供应量对通货膨胀没有影响,仍不能否认货币供应量作为中介目标的意义,也不意味着可以任意地发行货币。     

Inflation Dynamics in India: Relative Role of Structural and Monetary Factors

This paper examines the relative role of structural and monetary factors in the variation of inflation in India over the period 1996–1997:Q1 to 2013–2014:Q4. The paper finds that both the monetary factors and the output gap has significant role. The role of the output gap in inflation is found more prominent than the monetary factors like broad money growth, interest rate and change in exchange rate. The depreciation of exchange rate and broad money growth stimulates inflation where as the interest rate is identified as an anti-inflationary monetary instrument. In view of a comprehensive policy for price stability, it is imperative to know the role of sectoral output gap in inflation. The paper, therefore, enquires the relative role of the primary, secondary and tertiary sector output gap in inflation. Output gap of each of these three sectors provokes inflation where the contribution of tertiary sector output gap is found to be the maximum followed by the primary sector and the secondary sector output gap. The prominent role of the output gap and comparatively passive role of monetary factors does not necessarily imply a non-effective monetary policy but suggests that controlling inflation only through the monetary management may not be effective.

     

Money as a medium of exchange and monetary growth in an underdevelopment context

This paper constructs a neoclassical monetary growth model applicable to less developed economies, in that (1) the economy is assumed to be labour-surplus (as a result of which its steady-state growth rate is an endogenous variable), and (2) differential savings propensities on the part of profit- and wage-earners are postulated. The model predicts that an increase in the rate of monetary expansion increases the steady-state rate of inflation, increases the capital-labour ratio, reduces the money-labour ratio, and reduces the steady-state growth rate. Because of this last-mentioned fact, an inflationary policy is held to be unfavorable to economic development, despite the fact that it increases the capital-labour ratio. Some implications of the analysis for the well-known ‘choice of techniques’ problem are also discussed.     

政府权力、营利性扩张与通货膨胀

本文从政府权力视角,设立分权制度下中央、地方两级政府的目标函数,分别在大政府范畴的预算约束条件下求解其最优选择和长期稳态路径。本文的结论是,长期稳态价格水平不仅取决于中央、地方两级政府的债务规模、税收与支出,而且还受到国有企业投资的影响;中央政府的投资、债务、利润与货币增长之间相互推进,地方政府为扩大投资竞争融资来源具有强烈的货币增长需求,这倒逼货币供给增加;通货膨胀主要原因之一就是政府权力软约束下的营利性投资扩张。因此,治理通货膨胀的必要条件是,设计一种政府与治理通货膨胀具有共融利益的制度,减少政府营利性的准公共投资,增加事关国计民生的纯公共支出。     

The information content of the divisia monetary aggregates in forecasting inflation in the euro area

The paper investigates the performance of a set of monetary indicators, based on the Divisia money constructed for the euro area, on forecasting euro area inflation. The paper first briefly discusses on the relative information contents of the Divisia aggregates and the simple sum aggregates. The forecasting performance of the former is then examined by means of simulated out-of-sample forecasting. In addition to examining the information contents of the Divisia aggregate constructed for M3 money, the study also examines the performance of the Divisia M1 money to gain evidence on the relative performance between the broad and narrow Divisia monetary aggregates. According to the results, only some of the monetary indicators considered can significantly improve the univariate inflation forecasts. The Divisia M3 money based monetary indicators turned out to perform better than their Divisia M1 based counterparts. The result contradicts some previous evidence on the optimal level on monetary aggregation in the context of broad versus narrow money.      

Is inflation targeting feasible in Poland?

In this paper we analyze whether inflation targeting is feasible in Poland. There are at least three prerequisites for successful inflation targeting: 1) central bank independence, 2) a high degree of central bank accountability, transparency, and communication to the public, and 3) a predictable and stable relationship between inflation and the instruments of monetary policy. While the first two prerequisites are relatively easy to analyze, the third criterion requires formal statistical analysis, which we undertake in this paper. The first two prerequisites for targeting are found to be met in Poland, and the empirical analysis shows some evidence of significant relationships between inflation and monetary instruments in Poland. Hence inflation targeting appears feasible in Poland.     

The effect of monetary and fiscal credibility on public debt: empirical evidence from the Brazilian economy

This study relates to the literature regarding credibility effect on public debt for developing economies under inflation targeting. The novelty is the investigation of effects of both monetary and fiscal credibility on public debt and its management. The main idea is that high credibility might improve public debt management. With this purpose, this paper addresses empirical evidence based on the Brazilian experience. The findings denote that credibility is an important instrument to improve the public debt management under inflation targeting.     

Currency equivalent monetary aggregates as leading indicators of inflation

This study examines whether the Currency Equivalent (CE) Monetary Aggregates proposed by [Hutt, 1963] and [Rotemberg et al., 1995] can perform better in predicting inflation as compared to their simple sum counterparts. The components of four official measures of monetary constructs - M1, M2, M3 and L1 - are used to construct monthly CE monetary aggregates for the period from April 1993 to June 2009. The empirical evidence indicates that the growth rate of CE aggregates has an edge over their sum counterparts in predicting inflation. Moreover, the predictive power of the growth rates of CE aggregates improves as the level of aggregation increases. These evidences suggest that observing the movements in the growth rates of weighted monetary aggregates can be a better option within the “multiple indicator approach” which is being currently practiced by the Reserve Bank of India.     

Private information, money, and growth: Indeterminacy, fluctuations, and the Mundell-Tobin effect

We introduce an informational asymmetry into an otherwise standard monetary growth model and examine its implications for the determinacy of equilibrium, for endogenous economic volatility, and for the relationship between steady-state output and the rate of money growth. Some empirical evidence suggests that, for economies with low initial inflation rates, permanent increases in the money growth rate raise long-run output levels. This relationship is reversed for economies with high initial inflation rates. Our model predicts this pattern. Moreover, in economies with high enough rates of inflation, credit rationing emerges, monetary equilibria become indeterminate, and endogenous economic volatility arises.     

An explanation for the price puzzle: Asymmetric information and expectation dynamics

Using theoretical and empirical analyses, this paper shows that the expectation dynamics induced by information asymmetry between the Central Bank (CB) and the public can cause the price puzzle. The signalling and learning dynamics between the CB and a representative private-sector agent under asymmetric information is investigated. Inflation positively reacts to contractionary monetary policy because the change in the interest rate is perceived as a signal of the CB’s private information about higher future inflation and output by the public. The empirical section of the paper validates this theoretical argument using a VAR specification about the US economy. Besides providing an explanation for the price puzzle, the results of this paper has practical implications about transparency and monetary policy. The theoretical and empirical findings indicate that asymmetric information causes significant frictions in the transmission mechanism of monetary policy. These frictions induce short-run undesired effects like increase in expected inflation and actual inflation as a response to contractionary monetary policy which is identified as “the price puzzle”.     

Public debt indexation and denomination with an independent central bank

This paper examines the interaction between public debt management and the design of monetary institutions. The analysis shows that delegation of monetary policy to an independent central bank is more effective in containing inflationary expectations than the use of foreign currency or inflation-indexed debt. If delegation of monetary policy is viable, the optimal policy is to issue nominal debt. This increases the sensitivity of taxes and output to unexpected inflation, thus minimizing the inflation needed to offset supply shocks. Evidence on central bank independence, debt composition and output variability suggests that the normative argument has some positive content.     

An Endogenous Growth Model of a Financially Repressed Small Open Economy

The paper develops a monetary endogenous growth model of a financially repressed small open economy, characterized by curb markets, capital mobility, transaction costs in domestic and foreign capital markets, and a flexible exchange rate system, to analyze the impact of financial liberalization – interest rate deregulation and lower multiple reserve requirements – on growth and inflation. When the model is calibrated to match world figures, we find that interest rate deregulation enhances growth and reduces inflation in steady-state. For relatively smaller transaction costs in the curb market, the above result is, however, reversed. Under such circumstances, lowering the transaction costs in the foreign capital market tends to restore the growth-enhancing (inflation-reducing) capabilities of interest rate deregulation. Lower reserve requirements, though, always ensures lower (higher) steady-state inflation (growth).     

Asymmetric information, optimal money growth targets, and fed secrecy in a monetary policy game

This paper analyzes the impact on inflation of requiring the monetary authority to announce money supply targets and punishing it for deviations from same. Two regimes are considered. In one, called the ex ante regime, the target is announced prior to the authority's obtaining information concerning relevant economic shocks. In the other, called the ex post regime, the announcement is made after the authority obtains relevant information and thus provides the public with data concerning the authority's private information. It is shown that the ex ante regime may dominate the ex post regime. This follows because an ex post regime may yield a higher mean inflation rate as the monetary authority attempts to exploit the relationship between its announcement and expected inflation.     

Estimation of a German money demand system – a long-run analysis

This study presents a multivariate analysis of the stability of long-run relationships between variables that influence the conduct and transmission process of the German monetary policy. The initial VAR comprises the variables real money M3, real GNP, the inflation rate, a long-term and a weighted short-term interest rate. A multivariate approach has been chosen, as this allows for more than one cointegration relationship and to test restrictions on the cointegration space. In contrast to most other studies on German monetary policy, three stable and economically plausible cointegration relationships are obtained simultaneously within the framework of the Johansen procedure: a money demand relationship, a long-run Fisher effect and a long-run relationship between the short- and the long-term interest rate. It is apparent that the structural break of German reunification can be modelled incorporating dummy variables in the model. First version received: October 1996/final version received: July 1997