我国通货膨胀预期的测度及其管理研究

中央银行的货币政策目标就是保持物价稳定。大量的实证分析和长期的实践经验表明,通货膨胀预期对通货膨胀具有重要的推动作用。因此要提高货币政策的科学性、有效性和前瞻性就必须管理好公众的通货膨胀预期。但是到目前为止,国内对通胀预期的研究仍较为匮乏,实践中对通胀预期的监测也是非常的薄弱。本文独创性地改进了Carlson-Parkin概率法,以此计算我国的通胀预期值,并进一步地利用计算得到的通胀预期值,对通胀预期的影响因素进行实证分析。     

我国央行沟通与通胀预期管理研究

本文基于中国人民银行城镇储户问卷调查数据分析了居民通胀预期对央行沟通信息的反应,并与常规货币政策操作引导通胀预期的效果进行了对比。结果表明:央行的书面沟通与口头沟通均对我国通胀预期具有显著的影响,且书面沟通对通胀预期的管理更有效,而传统的三大货币政策工具对通胀预期的影响并不显著,未能较好地发挥管理预期的作用。因此,今后我国央行应更多地采用央行沟通等非常规货币政策对通胀预期进行管理与引导。     

稳健货币政策下通货膨胀预期研究

通货膨胀预期是真实通货膨胀形成的重要决定因素,对货币政策目标和实施效果有重要影响。本文在总结1978年以后四次通货膨胀周期下通胀预期形成的基础上,对稳健货币政策下通胀预期的形成机理和影响因素进行理论分析,预期货币供给和资产价格尤其是房地产价格对通胀预期的影响最大,并对理论分析的结果进行了实证检验,最后提出加强通货膨胀预期管理的政策建议。     

双轨制利率体系下我国货币政策反应函数的估计与检验

利用广义矩估计法(GMM)考察现行双轨制的利率体系下泰勒规则在我国货币政策中的适用性.结合我国的经济数据及实际情况,构建具有利率平滑特征及前瞻性的货币政策反应函数,对管制利率及市场利率两种体系下的泰勒规则进行检验,结论显示存款利率并未根据通胀及产出的变动加以调整,而市场利率及管制较为放松的贷款利率对产出、通胀以及货币供给均能作出反应,对产出及货币供给的反应显著,但是对通货膨胀反应不足,即依据预期通胀、预期产出及货币供给增长率的变化估计的前瞻性泰勒规则尚不具备稳定性,当前不宜将泰勒规则作为我国货币政策操作的依据.     

通货膨胀预期形成的模型刻画及其与货币政策的关联性北大核心CSSCISSCI

当中央银行信息具有私人信息(private information)的性质时,公众并不能够准确了解货币政策的目标,或者对货币政策的公告不完全相信,此时将难以如巴罗—戈登模型所描述的那样,能够形成稳定的通货膨胀预期均衡。在本质上人们就如同计量经济学家那样,每期观察主要的经济变量,不断估计和更新相应的参数,动态形成对未来的通胀预期。本文的研究重点是通过建立附加前瞻性政策变量的VAR预期模型,利用1995.1季度-2009.4季度中国的实际数据,实证研究1997.1季度-2009.4季度我国公众的通货膨胀预期,并对我国公众通货膨胀预期的特征、我国货币政策的可信度等进行较深入分析。     

中央银行信息披露与通货膨胀预期管理——我国央行信息披露指数的构建与实证检验北大核心CSSCISSCI

本文从中国人民银行各期货币政策执行情况报告中筛选出有关物价判断的措辞,并通过方差分析方法构建了我国央行信息披露指数。随后利用SVAR模型实证检验了产出缺口、传统货币政策工具、央行信息披露行为等变量对公众通胀预期的影响。结果表明:除物价变动、产出缺口、传统货币政策工具以外,央行信息披露行为同样可以对通胀预期产生显著的影响,并且效果要优于传统的价格型以及数量型货币政策工具。央行可以通过加强与市场的沟通,达到管理通货膨胀预期的效果。     

适度提高通胀容忍度有利于引导和管理通胀预期

中央银行应当致力于提高货币政策透明度,设置合适的通胀目标,以此引导和管理通胀预期。现阶段经济主体对通货膨胀的容忍度有所提高,适度提高通胀目标能减少频繁的目标偏离,增强中央银行的公信力,提高货币政策的有效性。实证研究表明,4.5%左右和[2%,6%]可以作为现阶段通胀目标值和目标区间的参考值。     

适度提高通胀容忍度有利于引导和管理通胀预期

中央银行应当致力于提高货币政策透明度,设置合适的通胀目标,以此引导和管理通胀预期。现阶段经济主体对通货膨胀的容忍度有所提高,适度提高通胀目标能减少频繁的目标偏离,增强中央银行的公信力,提高货币政策的有效性。实证研究表明,4.5%左右和[2%,6%]可以作为现阶段通胀目标值和目标区间的参考值。     

货币政策预调微调对通胀预期的影响

<正>一、引言一般来讲,通胀预期指公众对未来物价走势的一种估计或推断。由于通胀预期对微观经济主体的消费投资行为会产生作用,进而影响当前需求和供给变化,并最终影响物价水平,因此管理通胀预期成为宏观调控的重要目标,公众关注度也在不断提高。自2010年以来,我国物价月度最高值达到6.5%,最低值为1.7%。物价的大幅波动不仅对货币政策调控提出了更高的要求,而且使预调微调成为货币政策调控增强前瞻性、针对性和灵活性的重要手段。因此,研究货币政策预调微调与通胀预期的关系,对于提高货币政策执行效果,有效管理通胀预期,保持物价稳定具有十分重要的意义。     

预期、投资推动与中国通货膨胀

本文构建了中国特征的新凯恩斯菲利普斯曲线,考察了我国通货膨胀预期性质及投资对通货膨胀的影响.通过理论分析和实证检验,本文认为:我国通货膨胀特性符合新凯恩斯菲利普斯曲线,兼具前瞻型预期和后顾型预期特征.从通货膨胀表征来看,其中前瞻型的通胀预期和后顾型通胀惯性预期对通胀影响最为显著,投资的影响次之.从我国通胀预期的特征和投资推动的具体影响来看,建立公开透明的信息披露机制和改变政府主导投资模式可以切实有效地抑制通货膨胀.     

公众预期与货币政策有效性

现代货币政策理论特别强调预期在货币政策有效性发挥中的核心作用。在对有关经典预期理论进行探讨之后,借助标准的新凯恩斯模型分析了预期对货币政策操作结果的影响,认为公众预期会对货币政策有效性产生影响,使得政策结果偏离目。标水平,而且在把“Brainard不确定性”纳入分析框架之后,预期对货币政策有效性的影响程度将更大,即政策结果完全由预期决定,同时对预期形成的影响因素进行了有益的探讨。并在对全文总结的基础上,提出了一些建设性的启示。     

异质性通胀预期对通货膨胀形成机制的动态影响-基于混合新凯恩斯菲利普斯曲线的实证分析

通过对异质性通胀预期与实际通货膨胀动态关系的实证研究,证实了不同微观经济主体的预期都会对实际通货膨胀产生影响,并且适应性预期所占比例远远大于理性预期.更进一步,适应性预期与理性预期对实际通货膨胀的影响力不同,理性预期对实际通货膨胀的即期影响力大于适应性预期,但是影响的持久性却小于理性预期.所以央行在调控通货膨胀的时候,应关注微观经济体的通胀预期异质性,适时引导各种异质性预期,从而锚定微观经济体的预期,使得货币政策能够顺利实施.     

Can central banks’ monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?

The original Taylor rule establishes a simple linear relation between the interest rate, inflation and the output gap. An important extension to this rule is the assumption of a forward-looking behaviour of central banks. Now they are assumed to target expected inflation and output gap instead of current values of these variables. Using a forward-looking monetary policy reaction function, this paper analyses whether central banks’ monetary policy can indeed be described by a linear Taylor rule or, instead, by a nonlinear rule. It also analyses whether that rule can be augmented with a financial conditions index containing information from some asset prices and financial variables. The results indicate that the monetary behaviour of the European Central Bank and Bank of England is best described by a nonlinear rule, but the behaviour of the Federal Reserve of the United States can be well described by a linear Taylor rule. Our evidence also suggests that only the European Central Bank is reacting to financial conditions.     

通货膨胀动态与我国货币政策走向

本文首先在理论上分析了通货膨胀在货币政策制定与实施中的地位,然后深入探讨通货膨胀的决定因素与通货膨胀惯性之间的关系,最后在简要总结我国2009年上半年的宏观经济金融形势的基础上对未来一段时期我国的通货膨胀态势与货币政策走向进行预测.     

Rational expectations,changing monetary policy rules,and real exchange rate dynamics

This paper reexamines the explanatory power of Taylor rule fundamentals for real exchange rate determination. We assume the agents know the time-varying parameters in central bank policy rules. The empirical results suggest that a monetary policy rule with regime switching is better able to explain the real Deutschemark/dollar exchange rate from 1976 to 1998 compared with a fixed-regime monetary policy rule. The findings show the importance of accounting for the expectation formation effect in changing policy rules as emphasized by the Lucas critique. Ignoring these effects can undermine the value of the rational expectations models.     

基于金融形势指数对我国货币政策效果非线性的实证研究

本文基于总需求方程缩减式构建包含利率、汇率、资产价格以及货币供给因素具有动态权重的金融形势指数FCI,将其作为信息变量纳入到线性和非线性泰勒规则中进行实证分析,结果表明拓展的前瞻性泰勒规则更能描述我国利率行为,利率能很好的反应金融形势而对产出和通胀反应不足。以通货膨胀率为转换变量对我国货币政策效果进行检验和估计表明泰勒规则是非线性的,存在LSR1模型的非线性形式,利率对通胀的反应是非对称的。对非线性进行拓展性研究表明当通胀达到一定程度时,利率和FCI指数才具有稳定关系。     

A General Theory (and Some Evidence) of Expectation Traps in Monetary Policy

I show that multiple equilibria are a general property of economies under full monetary policy discretion. Three simple conditions are sufficient to rule out, generically, a unique equilibrium in a static economy. The key departure from Barro and Gordon (1983) is to consider bounded welfare costs of inflation. I also show that in a two Markov equilibrium economy the inflation response to certain perturbations is, generically, qualitatively different in each equilibrium. Finally, I discuss some evidence on inflation dynamics that supports the hypothesis that U.S. monetary policy was caught in an expectation trap during the high inflation episode of the 1970s.     

市场预期的货币政策效应与中国的选择

因为市场预期对货币政策操作效应的影响越来越大,所以世界各国中央银行对待市场预期的态度也发生了改变,开始重视市场预期。中央银行除了通过与市场交流了解和识别市场预期之外,更注重引导和利用市场预期来达到货币政策目标。而在引导和利用市场预期方面,目前最主要的趋势是增加货币政策的透明度。中国中央银行也开始在这方面努力,但在识别和利用市场预期方面,未来还有许多工作要做。     

Learnability and monetary policy: A global perspective

The recent literature on monetary policy design has emphasized the importance of equilibrium determinacy and learnability in the choice of policy rules. This paper contains an analysis of the learnability of the equilibrium in a class of simple, micro-founded models in which the policy authority uses a Taylor-type monetary policy rule. Unlike previous analyses, the model economy is not linearized about a steady state—instead, a global perspective is adopted. Globally, the nonlinear model economy can possess rational expectations equilibria other than the steady state consistent with the inflation target of the monetary authorities. These include a second, low inflation ‘liquidity trap’ steady state, periodic equilibria, and sunspot equilibria. The main results in the paper characterize the conditions under which these alternative equilibria maybe stable under adaptive learning, even when the policy rule obeys the Taylor principle. The stability of multiple equilibria is associated with policy rules which are forecast-based. An important finding is that backward-looking Taylor-type policy rules can guarantee that the unique learnable equilibrium is the steady state associated with the inflation target of the monetary authority.     

Monetary Policy Rules in an Open Economy with Heuristics: Which Model Is Best?

The choices of policy targets and the formation of agents’ expectation have been critical issues for reconsidering monetary policy management since 2008. The purpose of this article is to evaluate macroeconomic stability in a New Keynesian open economy in which agents experience cognitive limitations. The (im)perfect credibility of various monetary policies (e.g., a Taylor-type rule, strict domestic inflation targeting, strict CPI inflation targeting, exchange rate peg) may lead agents to react according to their expectation rules, and then create various degrees of booms and busts in output and inflation. Therefore, relaxation of the rational expectation hypothesis has potential consequences for policy designs. Our simulations confirm that the business cycles induced by animal spirits are enhanced by strict inflation targeting. Furthermore, a Taylor-type (CPI or domestic inflation) rule or a credible exchange rate pegging system can improve social welfare and stability in an open economy.