国际大宗商品价格波动与国内通货膨胀——基于中国数据的实证分析

中国对国际大宗商品的巨大需求决定了其价格波动对国内物价有重要影响。国际大宗商品价格的上涨引起国内通货膨胀的本质是“成本上升型”通货膨胀。国际大宗商品波动在国内传导主要通过直接消费渠道、生产渠道和间接渠道,间接渠道又可细化为预期渠道、联动渠道和扩散渠道。在比较国内外商品价格指数的基础上,本文以中国的数据为基础,建立了进口大宗商品价格指数（缩写为ICPI）。并以CPI、ICPI、产出缺口和货币供应量构建计量模型,得出：货币供应量对我国通货膨胀的影响最大,产出缺口次之,ICPI再次之;但如果考虑到ICPI的波动幅度远大于货币供应量和产出缺口的变化,那么ICPI对CPI的影响可以与产出缺口和货币供应量相提并论。     

产出缺口与中国地区通货膨胀

借鉴开放经济条件下新凯恩斯混合菲利普斯曲线,采用中国省际面板数据,构建一个包含本地区产出缺口、国内其他地区产出缺口和国外产出缺口的三缺口通货膨胀模型,实证分析产出缺口对中国地区通货膨胀的影响,同时分东部和中西部考察区域差异。实证研究结论表明,国内外产出缺口显著影响我国地区通货膨胀。较之中西部地区更多受到国内产出缺口的影响,东部地区则更多受到国外产出缺口的冲击。而且,国内地区间的通货膨胀压力传导在东部地区较中西部更明显。另外,政府的反需求管理措施存在时滞,且政策调控主要降低了本地区产出缺口形成的通货膨胀压力。     

中国贸易开放与通货膨胀持续性关系研究

本文分别利用修正的综合贸易强度公式和卡尔曼滤波方法估计了中国改革开放以来的贸易开放度和时变的通货膨胀持续性,并在此基础上对中国贸易开放与通货膨胀持续性关系进行了实证研究。结果表明:中国贸易开放度的变化表现出明显的阶段性特征;中国的通货膨胀持续性处于不断波动的过程中,从趋势来看,中国的通货膨胀持续性呈现出不断下降的趋势;贸易开放度的提高对中国的通货膨胀持续性具有显著的负向影响。     

P-Star模型与通货膨胀压力测量

估计通货膨胀压力的常用方法是运用实际产出与潜在产出之间的缺口同价格变化率之间的关系来进行的,这种方法在国内已经很好地得到了应用,国内也有学者运用货币流通速度与其趋势值之间的偏移率来测算通货膨胀压力,但20世纪90年代以来在国际上得到较为广泛应用的P-Star模型国内还没有尝试。对中国数据的实证分析表明,运用P-Star方程来估算通货膨胀压力的变化,可以为国家价格总水平的调控提供参考。     

基于产出缺口估计的通货膨胀压力测度研究

笔者利用HP滤波方法估计中国近年的产出缺口状况,并建立描述中国宏观经济中产出缺口与通货膨胀之间关系的菲利普斯曲线方程式,最后采用计量方法进行实证研究发现,持续偏快的经济增长率是中国近年来出现通货膨胀的主要因素.基于此,中国政策当局应当坚持货币政策稳定物价的单一调控目标,并通过控制经济增长速度,来避免宏观经济中出现严重的通货膨胀.     

产出缺口与通胀缺口的动态关联性研究——兼评宏观经济调控执行绩效

本文基于政策损失函数设计了一个新的模型框架,建立了一个不包含预期通货膨胀的反映产出缺口和通胀缺口之间关系的模型,并使用可变参数模型分析产出缺口与通胀缺口的动态关联性,同时评价了1985—2005年问中国宏观经济调控的执行绩效。研究结果表明：（1）通胀缺口对产出缺口的反应系数除了1985、1986两年为负值外,其余年份均为正值,表明通胀缺口的降低有助于抚平产出缺口;（2）通胀缺口对产出缺口的反应系数呈现“凸型”变动模式,并且已经过了波动的顶峰,出现显著下降并逐渐稳定的趋势,这种稳定的趋势有助于同时实现经济增长目标和稳定物价目标;（3）宏观经济调控执行绩效在1996年前较差,在1996年后得到了明显的改善,并在2000年后得到了进一步优化,实际政策损失逐渐向最小政策损失靠拢。     

我国通货膨胀影响因素的实证分析——基于预期和产出缺口菲利普斯曲线模型

基于预期以及产出缺口模型的菲利普斯曲线的实证分析,得出影响通货膨胀的主要因素,并由此得出主要结论,认为菲利普斯曲线在中国还是存在的,只是在一些体制方面与西方国家有差别,不是很明显;产出缺口在统计上显著影响我国的通货膨胀率。针对以上结论,提出了相应的政策建议。     

我国通货膨胀与产出缺口的关系研究

本文利用新凯恩斯宏观经济模型对我国产出缺口进行估计,并基于产出缺口对我国通货膨胀的动态特征进行分析。研究结果表明,产出缺口对通货膨胀具有显著影响,产出缺口变化是通货膨胀率变化的重要原因;负向产出缺口的缩小能引起通货膨胀率的上升,通货膨胀率对产出缺口的反应具有"速度限制"效应;通货膨胀率对正向产出缺口的反应大于负向产出缺口,具有非对称性。因此,应关注产出缺口在调控通货膨胀政策方面的应用价值。     

我国非线性货币政策规则研究

本文由中央银行非对称通货膨胀和产出缺口偏好的福利损失函数最优化推导出潜在非线性的最优货币政策规则,并将中央银行政策行为非对称性的原因归结为中央银行非对称偏好。同时本文实证估计我国货币政策规则,并检验货币政策规则非对称偏好存在性假说,结果表明,我国中央银行存在非对称通货膨胀平方和产出缺口偏好,对应地,货币政策规则呈现非线性特征,利率不仅对通货膨胀和产出缺口产生反应,而且也对通货膨胀平方和产出缺口平方产生反应。     

产出缺口和货币缺口对中国通货膨胀的影响分析

通货膨胀形成的两个重要原因是总需求的过度膨胀和货币供应量的过快增长。利用HP滤波衡量产出缺口和货币缺口,并利用1999—2007年的季度时间数据检验两者对中国通货膨胀的影响。结果表明,产出缺12和货币缺口都是中国通货膨胀的重要原因,且货币缺口对中国通货膨胀的影响远远大于产出缺口影响。     

Fitting survey expectations and uncertainty about trend inflation

Many studies document that the inflation rate is governed by persistent trend shifts and time-varying uncertainty about trend inflation. As both these quantities are unobserved, a forecaster has to learn about changes in trend inflation by a signal extraction procedure. I suggest that the forecaster uses a simple IMA(1, 1) model because it is well suited to forecast inflation and it provides an efficient way to solve the signal extraction problem. I test whether this model provides a good fit for expectations from the Survey of Professional Forecasters. The model appears to be well suited to model observed inflation expectations if we allow for stochastic volatility. When I estimate the implied learning rule, results are supportive for the trend learning hypothesis. Moreover, stochastic volatility seems to influence the way agents learn over time. It appears that survey participants systematically adapt their learning behavior when inflation uncertainty changes.     

Decomposing household,professional and market forecasts on inflation: a dynamic factor model analysis

A dynamic factor model with stochastic volatility is used to investigate the relationships between three alternative measures of inflation expectations. The results show evidence of both a common time-varying trend and a common transitory component between inflation and short-term inflation expectations from households, professionals and markets. While the common time-varying trend has declined in both level and volatility since the early 1980s, it was found that consumer expectations are disproportionately influenced by the visibility of prices of select few goods. Roughly speaking, a 1% point increase in food and energy prices leads to about 1/3% point increase in consumer forecasts of inflation. In terms of policymaking, this finding suggests that stability in highly visible prices can moderate inflation in a meaningful way.     

Trend inflation estimates for Thailand from disaggregated data

This paper constructs a new trend inflation measure for Thailand based on the multivariate unobserved components model with stochastic volatility and outlier adjustments (MUCSVO) of Stock and Watson (2016). Similar to core inflation, the MUCSVO produces an estimate of trend inflation utilizing information in disaggregated data, but also allows for time-varying weights that depend on the volatility, persistence and comovement of the underlying sectoral inflation series. Based on the empirical results, the majority of sectoral weights show significant time-variation in contrast to their relatively stable expenditure shares. Volatile food and energy sectors that are typically excluded from core inflation measures also turn out to help explain approximately 10 percent of MUCSVO trend inflation rate movements. Compared against other benchmark trend inflation measures, we show that the MUCSVO delivers trend estimates that are smoother, more precise, and are able to forecast average inflation over the 1–3 year horizon more accurately both in-sample and out-of-sample, especially since the year 2000.     

The inflation and inflation uncertainty relationship for Turkey: a dynamic framework

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility to inflation is negative but not statistically significant.     

On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?

The Australian economy has experienced various changes in macroeconomic conditions over the past four decades. These changes have been associated with reduced volatility in key macroeconomic variables: CPI inflation, real GDP and the TWI measured real exchange rate. In light of this fact, my objective in this paper is to determine whether this reduction is associated with good policy or good luck. To this end, I estimate a time varying structural VAR model that is identified with theoretically consistent sign restrictions from a small open economy dynamic stochastic general equilibrium model. The primary result is that both non-systematic and systematic monetary policy have changed over the past four decades. In particular, non-systematic responses of inflation, real GDP and the exchange rate have increased since the adoption of a flexible exchange rate in 1983, while systematic responses of the cash rate to inflation have experienced various changes in intensities, exhibiting a trend towards a more passive behaviour since the 2007/08 financial crisis. Taken together, these results suggest that the reduction in macroeconomic volatility is associated with good policy.     

Inflation volatility: A Bayesian approach

The ongoing trend of high inflation across much of the world has reignited interest in inflation volatility with varying foci and methods. In this paper, we employ a Bayesian framework to estimate inflation volatility using a sample of G20 countries. Estimation results suggest persistent heterogeneity in price volatility across time and countries. Furthermore, we use the Bayesian estimates of volatility to conduct several empirical analyses on the implications of interdependence of economies, development status for uncertainty. Further analyses on the determinants of price volatility suggest that trade openness, COVID-19, and the Ukraine crisis have positive impacts on volatility. Additionally, the nature of the political institutions and the share of manufacturing in total national output are also found to affect volatility to some extent.     

The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom

This paper studies the effects of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis suggests a constant mean of the real interest rate that shifts with the monetary policy regime change to inflation targeting in October 1992. The mean-reverting level of the real interest rate has decreased from 5.1% to 2.3% per annum with the change in monetary policy to inflation targeting. In addition, the shift in monetary policy regime to inflation targeting has reduced the volatility of the real interest rate and increased the persistence of real interest rate deviations from the mean. The results suggest that the central bank can affect the stochastic properties of the real interest rate through the choice of monetary policy regime over a long period of time.     

Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?

We study to what extent the financial crisis of 2008 and its aftermath have changed the impact of inflation on inflation uncertainty in the 12 original member states of the European Monetary Union (EMU). We adopt a time‐varying coefficient regression model with stochastic volatility effects, and extract two measures of inflation uncertainty from our data, namely, (1) The conditional volatility of inflation, (2) The conditional volatility of steady‐state inflation. (1)–(2) represent short‐run and steady‐state inflation uncertainty, respectively. The time‐varying impact of inflation on inflation uncertainty is analyzed using Markov‐switching regressions, where switching between the low and high inflation uncertainty regime is determined via an unobserved Markov process. Results suggest that the 2008 financial crisis and its aftermath have changed the impact of inflation on (1) and (2) across the selected EMU member states. However, a uniform pattern cannot be detected. For some member states, we document a strong link, whereas for others, the impact of inflation on inflation uncertainty is relatively weaker.     

Inflation and inflation volatility in Thailand

Quarterly data for Thailand are used in this article for the period 1965q3–2013q4 to investigate both the relationship between inflation and inflation volatility, and the impact of inflation volatility on economic growth. Inflation volatility is estimated by deploying the generalized autoregressive conditional heteroscedastic (GARCH) technique. A Granger causality test is then conducted to examine the causality between inflation and inflation volatility. The empirical results obtained are consistent with a number of theoretical propositions. First, the results are consistent with the Friedman–Ball proposition, which states that a rise in inflation raises inflation volatility. Second, there is evidence supporting the Holland proposition that inflation volatility lowers the rate of inflation. This is consistent with the view that central banks attempt to stabilize inflation with the rise in inflation volatility. Third, empirical results obtained by asymmetric GARCH models suggest that inflation shocks have an asymmetric impact on inflation volatility (i.e. a positive inflation shock has a larger impact on inflation volatility – as measured by the logarithm of the conditional variance of inflation – than a negative inflation shock). Fourth, inflation volatility has an adverse impact on economic growth. Finally, given the fixed/pegged or managed float exchange rate system, US inflation has been found to have a positive impact on inflation and its volatility in Thailand. This article discusses the implications of empirical findings on the design and enactment of monetary policy for price stability in Thailand.     

ADAPTIVE LEARNING AND MONETARY POLICY IN AN OPEN ECONOMY: LESSONS FROM JAPAN

Abstract. Motivated by Japan's economic experiences in recent decades, we incorporate adaptive learning into an open economy dynamic stochastic general equilibrium model to examine the volatility and welfare impact of alternative monetary policies. Comparing four Taylor‐styled policy rules that reflect Japan's monetary policy debates, we first show that imperfect knowledge and the associated learning process induce higher volatility in the economy and that explicit exchange rate stabilization is unwarranted. Moreover, contrary to results under the rational expectation paradigm, we find that while tight inflation controls raise output volatility, they can improve overall welfare under learning by smoothing inflation fluctuations.