国际油价波动对经济增长的影响——基于中国的实证分析

基于1990年1月至2009年3月的月度数据,本文实证分析了我国经济增长与国际石油价格之间的长期变动关系,其特点在于,采用稳健性较强的T-Y因果检验来分析油价与经济增长的Granger因果关系,同时,运用非对称协整技术以考察油价与经济增长之间的非线性关系。研究发现：①长期中油价是我国经济增长的单向Granger原因;②油价与我国经济增长之间存在非对称协整关系,油价上涨对经济活动的负面影响大于油价下跌的积极影响。基于中国经济运行的实际,本文还分析了实证结果背后的原因,并提出当前国际金融危机背景下,油价呈下跌趋势,需抓住有利时机,动用外汇储备,大力购入石油资源,建立起石油战略储备;在经济复苏、油价上涨时,可以启动石油战略储备来减少石油供应冲击,从而有助于及时保证我国经济平稳快速增长的政策建议。     

我国货币—产出非对称影响关系的实证研究

货币与产出之间的非对称影响关系研究,近年来在宏观经济学领域受到了广泛的关注。本文运用平滑迁移向量误差修正(STVECM)模型,对1989—2007年我国货币与产出之间是否存在非对称影响关系展开实证分析。引入年产出增长率、年货币增长率以及年通货膨胀率的年度变化作为转移变量,线性检验表明我国货币、产出和价格系统存在显著的非线性;通过模型估计识别了我国货币—产出关系的经济和/或政策状态相依性;运用非线性Granger因果关系检验进一步证明了两者之间是一种非对称关系。概括来说,我国货币对产出的影响关系具有明显的非对称性,其依赖于经济周期的高速增长和低速增长阶段、货币供给的高速增长和低速增长阶段以及通货膨胀率的加速和减速阶段。     

Public Expenditure and Revenue in Italy, 1862–1993

This study examines the long‐run equilibrium relationship between government expenditure and revenue in Italy from 1862 to 1993, using cointegration and causality techniques in the long as well as in the short‐run, through integrating the Error Correction Model (ECM) into the traditional Granger causality test. A Granger non‐causality test (due to Toda and Yamamoto) is also performed. Unit root tests have been applied in order to investigate the stationarity properties of the series. Moreover, three more homogeneous sub‐period (1862–1913; 1914–1946; 1947–1993) have been analysed. The nexus between public expenditure and revenue has been discussed also by Forecast Error Variance Decompositions (FEVDs). Empirical findings show that, for each sub‐period, the policy adopted reflects the prevailing paradigm of public finance. In fact, the ‘Tax‐and‐Spend' argument, received empirical support from the liberal period data. In contrast, the interwar years are in line with the ‘Spend‐and‐Tax' hypothesis. Finally, the “Fiscal Synchronization” hypothesis emerges in the republican ages.     

Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test

Using panel data, this article investigates the long-run relationship between real oil prices and real exchange rates for selected ASEAN countries by utilizing quarterly data from 1973:Q1 to 2013:Q4. The modelling implementation starts with the determination of the stationarity condition of the variables which are found to be integrated of order one. Using Maddala and Wu’s (1999) panel cointegration test, the article finds evidence of cointegration among the variables. The fully modified OLS (FMOLS) and dynamic OLS (DOLS) are then used to estimate the long-run relationship between the variables, followed by applying Toda–Yamamoto causality test. The findings exhibit bidirectional causality between real oil prices and real exchange rates in the long run, where it is highly significant.     

The interdependence of global oil price,China's stock price and economic policy uncertainty

This investigation examines the interaction among global oil price (OP), China's stock price (SP) and China's economic policy uncertainty (EPU) during the period of 2005:01 and 2017:12. A rolling window Toda‐Yamamoto causality method shows a complex time‐varying relationship. Bilateral causalities between these variables mostly accompany by sharp fluctuations in global or China's economy. Taking into account the inherent consistency of this time‐varying relation, the causal steps approach shows EPU follows a partial but time‐varying mediator process during crisis periods, which suggests EPU is one of mediator variables in this transmission mechanism. The mediator role of EPU in the transmission mechanism of OP and SP has not been paid enough attention before. Our findings provide a new direction for investors from the perspective of policy changes to deal with risks caused by OP and SP fluctuations especially when the financial market experiencing huge fluctuations.     

Public Debt,Productive Public Spending and Endogenous Growth

We analyse the effects of public debt in a basic endogenous growth model with productive public spending. We demonstrate that a discretionary policy in general violates the intertemporal government budget constraint along a balanced growth path. A balanced government budget gives a unique saddle point stable growth path. With a rule‐based policy, two saddle point stable balanced growth paths can occur, depending on the intertemporal elasticity of substitution of consumption and on the primary surplus policy. Higher debt goes along with smaller long‐run growth and we derive a condition such that a deficit‐financed increase in public spending raises the growth rate.     

Can government's choice of a high inflation policy be rational?

Out of the two inflation tax equilibria—i.e., the two inflation rates which bring the same revenue to the government—the higher one is not infrequently chosen. It is shown that such a choice may not be irrational for a government whose policy includes a financial repression and exchange rate controls and which is trying to maximize public sector expenditures. However, such policy is not sustainable in the long run, whatever its short-term advantages may be. Hence, policy makers should always weight advantages of higher public sector expenditures today against hardships of inevitable stabilization programs in the future.     

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”.     

On the Causality Between Exchange Rates and Stock Prices: A Note

This study uses a new Granger non–causality testing procedure developed by Toda and Yamamoto (1995) to contribute to the debate on exchange rates and stock prices in Sweden. It examines a possible causal relation between these variables in a vector autoregression (VAR) model. The results show that Granger causality is unidirectional running from stock prices to effective exchange rates. The results also reveal that an increase in Swedish stock prices is associated with an appreciation of the Swedish krona. Special attention is given to the estimation methodology and the lag choosing process.     

Macroeconomic Determinants of Crime: Evidence from India

This paper examines the relationship between crime, inflation, unemployment, and real GDP per capita in India. Based on the national-level data, the Johansen cointegration test confirms the presence of cointegration relationship between the variables. The Toda–Yamamoto Granger causality test suggests that macroeconomic indicators, especially unemployment, can significantly affect crime in India. Based on the state-level data, the ordinary least squares results corroborate the effect of inflation on crime even after controlling for governance. However, they fail to verify the relationship between crime, unemployment, and real GDP per capita.

     

Religious and Economic Preferences: An Empirical Analysis of State Tax Rates and Public Spending

In an attempt to examine the role of religion and religious institutions in the formation of economic and political preferences, we empirically test the relationship between religious and economic variables in the context of the 50 US states. Specifically, we test whether changes in the religious composition of states over time influences state tax rates (public revenue), and state spending patterns (public expenditure). We use church membership rates and religious contributions as alternative measures of a state's religiosity level. The results report a weak relationship between state tax rates and the religiosity of the state population over time. However, a negative relationship was observed between religiosity and public welfare spending, and a positive relationship between religiosity and public education spending. Variations arise when Catholics are included in the analysis of public spending.     

Oil windfall,public spending and price stability: modelling inflation in Chad

This article examines the determinants of inflation in Chad using quarterly data from 1983:Q1 to 2009:Q3. The analysis is based on a single-equation model, completed by a Structural Vector Autoregression (SVAR) model to capture inflation persistence. The results show that the main determinants of inflation in Chad are rainfall, foreign prices, exchange rate movements and particularly public spending, which soared following the onset of oil production in 2003. The effects of rainfall shocks and changes in foreign prices on inflation persist during six quarters. Changes in public spending and the nominal exchange rate affect inflation during three and four quarters, respectively.     

Public Spending on Industries,Private Investment and the Timing of International Trade Policy Changes

This paper incorporates public spending on industries (in terms of a durable public intermediate good) into a two-country, two-period, and two-sector, model with international labour mobility. The relationship between international trade policies, private investment, and public spending on industries has been examined. Due to international labour mobility, a policy change in one country also affect the relevant variables in the other country. The timing of the policy change is shown to be ciritical. [H30, F20]     

Post-stabilization inflation dynamics in Slovenia

This paper investigates the inflation process in Slovenia through an examination of some commonly used determinants of inflation in transition economies. Granger causality tests and an analysis of unrestricted VAR models suggest a strong linkage between both growth in broader monetary aggregates and changes in the tolar-deutsche mark exchange rate on retail price inflation. While the growth in wages affects inflation, it appears that both changes in the exchange rate and growth in monetary aggregates provide the initial impulse. A discussion of the present money-exchange rate policy framework and its influence on inflation is also provided.     

Fiscal policy and asset price volatility

This paper investigates the relationship between volatility of different asset prices and the volatility of various indicators of fiscal policy (primary balance, spending and revenue). We find evidence that asset price volatility affects the volatility of fiscal policy stance in a positive and significant way. The effect comes primarily through residential property and equity price volatility on government revenue and spending. Increased volatility in commercial property prices is associated with increased variability of government revenue. Output growth volatility is the dominant determinant of revenue and primary balance variability, whereas bad budgetary conditions and the size of the public sector are the most significant determinants of spending variability. Trade openness leads to greater variability of government spending, revenue and primary balance to GDP ratios.     

Money, Credit and Spending: Drawing Causal Inferences

It is widely accepted that loans cause deposits. Hitherto, though, the empirical evidence has come from bivariate causality tests which we now know can give rise to invalid inference if either of the two variables is causally influenced by some third, omitted, variable. In this paper we have used tests developed by Toda and Yamamoto to investigate the possibility that earlier inferences were incorrect because of the omission of a third relevant variable, total transactions in this particular case. Including the third variable requires us to revise some of the earlier inferences reported here, Howells and Hussein (1998). The most striking result, however, is that while deposits appear to be caused by total transactions (which could have invalidated the fundamental inference that loans cause deposits) our tests show that even in the presence of a third variable, the core of the endogeneity thesis prevails. Loans do cause deposits.     

The U.S. inflation process: Does nominal wage inflation cause price inflation,vice-versa,or neither?

Low unemployment has revived concerns about accelerated inflation. This paper examines the relationship between price and nominal wage inflation. It finds that it varies by business cycle. Prior to the great oil shock of 1973, price and nominal wage inflation were unconnected in a Granger-causal sense. In the 1970s, wage inflation caused price inflation. In the 1980s, the relationship reversed and price inflation caused nominal wage inflation. In the 1990s, the pattern has changed again, and there is some weak evidence of bidirectional causality between wages and PPI inflation. However, wages continue to have no impact on CPI inflation, which is widely viewed as one of the Fed's target variables. This suggests that wage inflation should be de-emphasized as a monetary policy information variable.     

The effects of oil shocks on government expenditures and government revenues nexus (with an application to Iran's sanctions)

The main purpose of this study is to investigate the dynamic relationship between government revenues and government expenditures in Iran as a developing oil export based economy. Moreover, I want to know how oil price (revenue) shocks can affect this relationship. The results of the impulse response functions and variance decomposition analysis indicate that the contribution of oil revenue shocks in explaining the government expenditures is stronger than the contribution of oil price shocks. Moreover the results of the vector autoregression (VAR) and vector error correction (VEC) models show that the strong causality is running from government revenues to government expenditures (both current and capital) in Iranian economy while the evidence for the reverse causality is very weak. Overall the results support the revenue–spending hypothesis for Iran. My results imply that those sanctions aiming to restrict the Iranian government's oil export revenues, potentially can affect the government total expenditures as an important engine for developing the Iranian economy.     

Does money have a role in the inflation process? Evidence from Australia

Inflation, defined as a sustained increase in the price level, is considered a monetary phenomenon, as it can be explained within the framework of money‐demand and money‐supply relationships. In the extant literature, money growth is shown to remain causally related to inflation across countries and over time, irrespective of the exchange rate regime and stability of the money‐demand function. Nevertheless, emerging literature suggests a diminishing role of money in the conduct of monetary policy for price stability, especially under inflation targeting. Monetary policy in Australia under inflation targeting since 1993 is an example of policy that denies a relationship between money growth and inflation. The proposition that money does not matter insofar as inflation is concerned seems odd in both theory and the best‐practice monetary policy for price stability. This paper uses annual data for the period 1970–2017 and quarterly data for the period 1970Q1–2015Q1. It deploys both the Johansen cointegration approach and the autoregressive distributed lag (ARDL) cointegration approach to investigate for Australia whether money, real output, prices and the exchange rate (non‐stationary variables) maintain the long‐run price‐level relationship that the classical monetary theory suggests in the presence of such stationary variables as the domestic and foreign interest rates. As expected, the empirical findings for Australia are consistent with the classical long‐run price‐level relationship between money, real output, prices and the exchange rate. The error‐correction model of inflation confirms the presence of a cointegral relationship among these variables; it also provides strong evidence of a short‐run causal relationship between money supply growth and inflation. On the basis of a priori theoretical predictions and empirical findings, the paper draws the conclusion that the monetary aggregate and its growth rate matter insofar as inflation is concerned, irrespective of the strategy of monetary policy for price stability.     

通货膨胀、汇率波动与货币政策——基于符号约束的贝叶斯VAR模型实证研究

通过构建通货膨胀形成的理论模型,本文运用符号约束的贝叶斯VAR方法探讨通货膨胀和汇率波动对产出增长的影响。结果发现：实际利率对通货膨胀和人民币升值冲击均有较大的响应,且受通货膨胀的影响更大,即稳定价格的货币政策比稳定汇率的政策更加有效;通货膨胀冲击下,实际利率在长期有所上升,但并未达到控制通货膨胀的效果,实际利率偏低阻碍了货币政策效果的发挥;人民币升值对产出增长具有较大的负面影响,对通货膨胀具有负向）中击,但由于油价上涨的原因,人民币升值并没有降低通货膨胀水平。