后危机时代美国货币政策的走势——兼论资产价格与货币政策操作规则

次贷危机使人们认识到,美联储货币政策操作失误难辞其咎。在全球化日益加深和美元为核心的国际货币体系下,美国不断下调利率的扩张性货币政策效应没有像过去那样迅速反映在商品价格上,而是主要表现为资产价格的攀升。由于美联储货币政策操作遵循了"泰勒规则"——把CPI当作最主要的监控对象,致使美联储错过了适时调整货币政策最佳的时机,导致美国信用扩张过度、资产泡沫,特别是房产泡沫不断升级。资产价格的上升最终会通过"财富效应"、"托宾q效应"、"金融加速器效应"等逐渐传导到商品价格上,随着石油等大宗商品价格的持续攀升,美联储开始急速提高利率,最终引发了次贷危机的爆发。后危机时代,美国的资产价格开始了迅速的回升,美联储应该吸取货币政策调整滞后的教训,适时地退出刺激,避免资产价格迅速上升和通货膨胀对经济复苏带来的不利影响。     

美联储货币互换工具的实践及对我国央行的启示

货币互换是指两国央行之间签订的为了解决流动性问题的一种金融管理工具。布雷顿森林体系成立以来,美联储基于不同目的多次与其它央行签订了货币互换协议。我国央行为便利双边贸易和投资于2001年开始使用货币互换工具。通过对比分析,我们认为美联储货币互换的实践对我国央行进一步实施、完善和拓展货币互换工具的使用有借鉴意义。     

Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s

During the past thirty years, central banks often intervened in foreign exchange markets. Sometimes they carried out foreign exchange market interventions on a unilateral basis. However, central banks often coordinated their foreign exchange market interventions. We develop a quantitative reaction function model that renders it possible to study the factors that made central banks switch from unilateral to coordinated interventions. We apply our model to the intervention policies of the Japanese monetary authorities and the U.S. Federal Reserve in the yen/U.S. dollar market during the period 1991–2001. To this end, we use recently released official data on the foreign exchange market interventions of the Japanese monetary authorities. JEL no. F31, F33, G14, G15     

On Monetary Analysis of Derivatives

Financial derivatives are products whose price is linked with that of an underlying asset. The relationship between these two prices has been studied in depth, and the following conclusions have been reached: (1) the volatility of underlying asset's price decreases after the introduction of derivatives, (2) the price discovery effect improves, (3) the liquidity of the underlying asset's market increases, (4) the bid-ask spread decreases together, and (5) the noise component of prices decreases. Those results are microeconomic and are not coherent with a macroeconomic analysis of derivatives. Derivatives tend to change the effectiveness of monetary policy actions by modifying the instruments that can be used. Derivatives have a monetary nature that has not been yet recognized by central banks and international organizations such as the International Monetary Fund and the Bank for International Settlements. This monetary nature can be evident by testing the relationship between derivatives and the interest rate. The consciousness of the monetary nature of derivatives would impose the quantification of transactions at least by the institutions that hold them, such as banks and other financial operators, and consequently by national authorities.     

LIQUIDITY CREATION IN SOUTH AFRICAN BANKS UNDER STRESSED ECONOMIC CONDITIONS

The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidity and had to receive government support or face default. This paper attempts to determine the impact of the financial crisis on liquidity creation within South African banks using a model previously applied to US banks. Four measures of liquidity creation are discussed and applied to data spanning 2004‐2009. Although created, liquidity decreases steeply from 2007, liquidity levels in 2009 remain about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity. The authors are aware that the liquidity measures discussed in this paper may not accurately reflect the manner in which South African banks created liquidity before and during the financial crisis as the period under review was characterised by various other factors. These factors include the concurrent rise in securitisation, considerable changes in the South African Reserve Bank's (SARB) stance on monetary policy, historic low‐interest rates during the period and severe curtailing of local inter‐bank dealing. It remains possible that these factors may have had an impact on the way in which South African banks created and disseminated liquidity. This possibility will be the subject of future research.     

Transatlantic Trade-Offs in the Age of Balanced Budgets and European Monetary Union

We develop a model of monetary and fiscal policies appropriate for considering U.S.-European policy interactions in an era of near-balanced budgets and European monetary union. We study the determinants of policy trade-offs and incentives for central banks and governments across the Atlantic. Smaller, more open economies face more favorable trade-offs, since openness enhances policy effectiveness via the exchange-rate channel. Changes in Europe's monetary arrangements do not affect U.S. trade-offs, although they alter the trade-offs facing European policy-makers. Fiscal trade-offs depend crucially on the extent to which fiscal policy is distortionary. Changes in taxes and spending move both employment and inflation in the desired direction following a worldwide supply shock when spending is financed with distortionary taxes.     

Monetary policy transmission and macroeconomic policy coordination in Pacific island countries

During the global financial crisis, central banks in Pacific island countries eased monetary policy to stimulate economic activity. Judging by the ensuing movements in commercial bank interest rates and private sector credit, monetary policy transmission appears to be weak. This is confirmed by an empirical examination of interest rate pass‐through and credit growth. Weak credit demand and under‐developed financial markets seem to have limited the effectiveness of monetary policy, but the inflexibility of exchange rates and rising real interest rates have also served to frustrate the central banks' efforts despite a supporting fiscal policy. While highlighting the importance of developing domestic financial markets in the long run, this experience also points to the need to coordinate macroeconomic policies and to use all macroeconomic tools available in conducting countercyclical policies, including exchange rate flexibility.     

Optimal Monetary Policy Rules and Inflation Targets: Are Australia,Canada, and New Zealand Different from the U.S.?

Outwardly, the central banks of Australia, Canada, New Zealand, and the U.S. follow somewhat different approaches to controlling inflation. The U.S. does not explicitly target inflation while the other countries do. Canada and New Zealand have target bands for inflation while Australia has a point target. Results in this paper nevertheless find broad similarities in the monetary policies of these countries. Each can be described as having pursued optimal inflation targeting (explicit or implicit), with heavy interest rate smoothing, but perhaps placing little weight on output variability. We argue that interest rate smoothing is used to introduce gradualism into the response of monetary policy to inflation. We show that given heavy interest rate smoothing, a concern for output variability is redundant.     

Monetary policy in the euro area: Was it too tight in the 1990s?

This paper studies the monetary policy in the euro area. An important question concerning the euro area is whether the monetary policy has been too tight in the 1990s and in turn, caused the high unemployment rates, in contrast to the economic prosperity and low unemployment rate of the U.S. Therefore, the authors explore what would have happened to the euro economy if the Central Banks had followed either the fixed or time-varying monetary policy rule of the U.S. The paper does find that the European central banks and then later the ECB overreacted to past inflation pressures.     

Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub‐Saharan Africa

The paper examines the monetary policy actions through which central banks in sub‐Saharan Africa have tried to eliminate the negative impacts of the shocks facing their economies. We compare two different monetary policy regimes: a currency board regime (in the CFA zone) and an inflation targeting policy regime (Ghana and South Africa) when central banks respond to demand, supply, and fiscal shocks. We extend the usual forecasting and policy analysis system models to replicate the economic features of these economies during the period 2002–12 and to evaluate the impact of several policies in response to these shocks. We find that both policies are inappropriate in helping the economies escape from the effects of negative demand shocks, both are essential when negative shocks to primary balance occur, while inflation targeting dominates the currency board regime as a strategy to cope with positive shocks to inflation.     

Exchange Rates,Domestic Prices,and Central Bank Actions: Recent U.S. Experience

Central banks that are primarily concerned with the behavior of prices will use monetary policy to try to insulate prices from exchange rate changes. Prices then appear unresponsive to changes in the exchange rate. The observed relationships between prices and the exchange rate will reflect central bank actions instead of the underlying relationship between exchange rates and prices. This paper explicitly recognizes the role that policy plays in determining the observable relationships between exchange rates and prices, and in so doing, it illustrates how the underlying relationships can be unraveled. Using three different empirical approaches, we examine the recent experience of the United States. We find that the prices of various nondurable goods, and even of some services, respond modestly to the exchange rate, and we find that the responses emerge most clearly when the role of monetary policy is explicitly considered. These findings are consistent with the hypothesis that the Federal Reserve acts to mitigate the effects of exchange rate fluctuations on domestic prices.     

Monetary Hegemony and its Implications for Small,Open Economies

The paper uses historical data on interest rates from 1920 to 2016 to explore whether a world rate of interest exists and whether a monetary hegemon affects it. The first principal component of long-term interest rates accounts for 75% of the variation in a matrix of 17 countries and proxies for the world rate of interest. The U.S. played the role of a hegemon, influencing long-term bond rates. After the introduction of the euro in 1999, interest rates in most European countries followed German interest rates but German rates followed U.S. rates even more than before the introduction of the euro. In two countries on the northern periphery, Denmark and Sweden, interest rates shadow German rates and the low rates have contributed to rising house prices and rising mortgage debt. Independent monetary policy calls for targeted controls on capital flows.

     

The lending channel of monetary policy in Indonesia

This study evaluates the bank lending channel of monetary policy in Indonesia by using quarterly bank-level data over the period of 2005-2016. I find that the lending channel of monetary policy works for all banks, both large and small. The results suggest that higher capital buffers and better liquidity positions moderate the impact of changes in monetary policy on credit growth for large banks, while capital buffers and liquidity positions do not alter the strength of the lending channel for small banks. The findings indicate that the central bank can use prudential instruments affecting capital buffers and liquidity positions for managing the strength of adjustment in the monetary policy interest rate on bank credit growth.     

Interest Rates, Leverage, and Money

The current mainstream approach to monetary policy is based on the New Keynesian model and is expressed in terms of a short-term nominal interest, such as the federal funds rate in the United States. It ignores the role of leverage and also downplays the role of money in basic monetary theory and monetary policy analysis. But as the federal funds rate has reached the zero lower bound and the Federal Reserve is in a liquidity trap, the issue is whether there is a useful role of leverage and monetary aggregates in monetary policy and business cycle analysis. We address these issues and argue that there is a need for financial stability policies to manage the leverage cycle and reduce the procyclicality of the financial system. We also argue that in the aftermath of the global financial crisis and Great Contraction there is a need to get away from the New Keynesian thinking and back toward a quantity theory approach to monetary policy, based on properly measured monetary aggregates, such as the new Center for Financial Stability Divisia monetary aggregates.     

Efficient Monetary Policy Design near Price Stability

Using dynamic programming methods, we study the design of optimal monetary policy in a simple, calibrated open-economy model and evaluate the effect of the liquidity trap generated by the zero bound on nominal interest rates. We show that the optimal policy near price stability is asymmetric. As inflation declines, policy turns expansionary sooner and more aggressively than would be optimal in the absence of the zero bound. This introduces an upward bias in the average level of inflation. We also discuss operational issues associated with the interpretation and implementation of policy at the zero bound in relation to the recent situation in Japan. J. Japan. Int. Econ., December 2000, 14(4), pp. 327–365. Board of Governors of the Federal Reserve System, Washington, D.C. 20551 Copyright 2000 Academic Press.Journal of Economic Literature Classification Numbers: E31, E52, E58, E61.     

美国量化宽松政策对亚太新兴市场国家的影响

量化宽松是美联储在通货紧缩下所采取的一种直接创造货币、扩大央行资产负债表规模的非传统货币政策。量化宽松将给我国等新兴市场国家造成较大的负面效果,建议采取临时性资本管制、针对性量化政策、建立区域货币离岸市场、加快经济结构转型等对策来应对。     

The Monetary Transmission Mechanism, Non-residential Fixed Investment and Housing

We specify a vector autoregression (VAR) model for the U.S. for 1980–2008 to investigate the statistical causal relationships between private non-residential fixed investment, the effective Federal funds rate, personal consumption expenditures, nonfinancial corporate profits, and the nonfinancial corporate credit market debt to test the validity of macroeconomic relationships in a macro model. The VAR utilizes the Toda-Yamamote procedure to test for Granger causality. Our preliminary results show that the transmission mechanism does not work as expected; we find that fixed investment depends on the level of demand in the economy and profits but not on the interest rate. This casts doubt on the usual assumptions about how the monetary transmission mechanism is expected to work. The second part of the paper investigates the effects of the change in the monetary regime towards low and stable interest rates, a policy pursued by the U.S. Fed since the beginning of the 1990s. We find that the new monetary policy regime has the following effects: (1) our VAR model does not support the hypothesis that low interest rates lead to higher fixed nonresidential investment; (2) low interest rates led to a search for higher yields through increasing risk, and (3) they led to an increase in the demand for securitized assets, especially mortgage-backed securities, which eventually resulted in a housing bubble. The overall results therefore raise doubts about the effectiveness of low interest rates as a policy regime designed as a component of a counter-cyclical policy.     

Monetary autonomy in selected Asian economies: The role of international reserves

With the increased financial integration of Asian countries, monetary policy takes on the additional role of maintaining the stability of the financial system along with the traditional objectives of promoting growth and employment with price stability. Given the importance and relevance of monetary policy in Asian countries, we examine monetary autonomy and its interaction with financial integration, currency regimes and international reserves for the past two decades in the following Asian countries: Thailand, Korea, Indonesia, the Philippines, and India. The empirical analysis reveals two significant and interesting findings that have policy implications. First, Thailand, Korea and Indonesia, countries that have moved towards a floating currency regime, experienced simultaneous declines in the sensitivity of their interest rates (thereby increasing monetary autonomy), while India continues to increase the sensitivity of its interest rates with a pegged exchange rate and increased financial integration. Second, in all of the studied economies, the accumulation of international reserves has contributed, to some extent, to the retention of monetary autonomy in terms of preventing the sensitivity of the interest rates from rising. We speculate that the accumulation of reserves plays the role of an anchor for monetary autonomy in emerging market economies facing a “fear of floating”.     

The Evolution of Australian Monetary Policy in the 1950s

The 1950s in Australia was a decade of major change in both central banking and the financial system. The changes fed upon one another: financial innovation responded to monetary policy; the authorities adapted their strategy in response. The private banks resisted the harnessing of their balance sheets to policy, and a protracted process of conflict and compromise unfolded. Meanwhile, the growth of non‐bank financial institutions undermined bank‐centred policy. Official controls on bank interest rates opened a space for the new intermediaries. The central bank's attempt to restrain their growth contributed to a credit squeeze at the turn of the 1960s.     

Post-crisis monetary and exchange rate policies in Indonesia,Malaysia and Thailands

This paper surveys the post-crisis monetary and exchange rate policies of Indonesia, Thailand and Malaysia. Malaysia has pegged the ringgit while Indonesia and Thailand have adopted heavily managed exchange rates. Under their IMF programs, Thailand and Indonesia set base money targets, but Thailand has moved, and Indonesia is now moving, to inflation targeting, using interest rates as the short-term instrument. Malaysia also sets interest rates. The ability of the three central banks to set interest rates and also pursue an exchange rate target with an interest rate target has been bolstered by restrictions on the internationalisation of the domestic currency. The three central banks have also had to sterilise the monetary effects of their foreign exchange interventions. It is argued that inflation targeting is now a good policy choice, but that a more freely floating exchange rate would be better than sterilisation of balance of payments surpluses or deficits.