我国货币政策对房地产价格的传导机制研究

基于房地产价格的视角,采用我国1998年第一季度至2008年第二季度的相关季度数据,运用协整分析和Granger因果关系检验等计量方法对我国货币政策的资产价格传导机制进行了实证分析。实证结果表明,以房地产价格为代表的资产价格传导渠道已经成为我国货币政策传导的一条重要渠道,货币政策传导到房地产价格后将进一步传导到实体经济。央行应该充分发挥资产价格对货币政策的传导作用,从而增强货币政策的有效性,更好地调控宏观经济。     

货币政策冲击与农产品价格超调——来自澳大利亚的数据

本文研究了澳大利亚对于未预期到的货币冲击,汇率和价格的时间调整路径.将Domsbusch的模型加以扩展,使用Johansen协整检验和VEC模型,判断澳大利亚的农产品价格是否存在超调.实证结果显示,澳大利亚的农产品价格比工业品价格调整的更快.     

基于传导渠道视角的货币政策对房地产业的影响分析

本文通过协整检验、格兰杰因果分析、VAR模型,对我国货币政策对房地产行业的影响及其传导问题进行了实证研究,并得到以下结论:扩张的货币政策会使房地产投资和价格在短期内上升,并促使房地产投资和价格长期在比原来更高的水平上波动;在房地产行业研究中,货币政策传导的信贷渠道、货币渠道都显著存在,其中货币渠道相对于信贷渠道更为重要。     

论汇率传递效应对通货膨胀的影响

本文选取2007年1月至2010年11月的月度数据,运用单位根检验、协整检验和格兰杰因果关系检验实证分析人民币汇率变动对我国通货膨胀的影响,研究结果表明,人民币汇率变动对以CPI衡量的通货膨胀水平传递效应很低,并且存在明显的时滞。本文的研究结果有利于反驳当前国际国内主张通过人民币升值来遏制通货膨胀的呼声,且对我国汇率制度改革有一定的启示意义。     

我国货币政策传导机制的实证分析

本文运用我国2001-2006年的月度数据,借助Granger因果关系检验及Johansen协整检验方法,对我国货币政策传导机制进行研究.结果表明,信贷和利率渠道并不是我国货币政策的主要传递渠道,货币政策主要是通过资产价格渠道传导的.这与我国实行的利率管制、目前银行信贷自身的局限、以及当前经济形势都有关系.     

我国货币政策传导作用实证研究

运用协整检验与误差修正模型,对我国在1999-2008年间的货币政策传导机制进行实证分析,得出了我国货币政策对实际经济总量有一定的影响,货币政策在我国是非中性的,其中信用渠道是我国货币政策的主要传导渠道.     

大连商品交易所期货价格发现功能的实证分析——以大豆和玉米期货为例

本文以在外部经济冲击影响下的大豆和玉米期货价格的长期均衡关系为例,对大连商品交易所期货价格的发现功能进行了实证研究.研究表明:在对价格进行建模时.结构突变是不可忽视的因素;采用允许结构突变的Johansen协整检验,得到了大豆和玉米期货市场的协整关系,从而接受了大连商品交易所期货具备价格发现功能的假设.     

广西信贷和经济发展的实证分析

信贷渠道是重要的货币政策传导途径,国内外学者就信贷对经济发展所起的作用有一定的分歧.文章运用单位根检验、协整检验、误差修正模型、格兰杰因果检验和脉冲响应等技术,对广西从1987～2006年的信贷和经济发展进行了实证分析.分析表明广西信贷扩张对经济发展起着促进作用.     

期货锌价格发现的实证研究

本文利用ADF检验、Johansen协整检验、GS模型对上海期货锌的价格发现功能做一实证研究.我们发现,锌的期货价格和现货价格存在长期的协整关系,并且根据Gs模型得出,在锌的价格发现功能中,期货市场相对现货市场而言明显占主导地位.     

我国货币政策的股票市场传导机制实证分析

本文取2000年1月至2008年2月的历史数据,采用ADF单位根检验、Johansen协整检验以及Granger 检验等实证方法探讨我国股票市场的货币政策传导效率如何.     

Measurement Biases in Consumer Price Indexes

The Consumer Price Index (CPI) measures the cost of purchasing a fixed basket of goods at a fixed sample of outlets over time, and can be thought of as a practical approximation to a "true" cost-of-living index, and a measure of general inflation for the economy. In more recent times, concerns over the possibility that the U.S. CPI overstates the rate of inflation have grown. Annual changes in the CPI are used to adjust social security benefits, and wage contracts are often indexed to CPI changes. To the extent that the CPI overstates the rate of inflation individuals are being compensated for changes in the cost-of-living that have not occurred–with enormous implications for government fiscal budgets. This paper presents an up-to-date survey of the principal sources of measurement error or bias in the CPI. A number of sources of bias are examined, including the commodity substitution bias , the outlet substitution bias , and the elementary index bias . Traditional bilateral index number theory assumes that the number of goods remains constant over the pricing period and furthermore, that the goods are of unchanging quality. Changes in either of these give rise to two further biases: the new goods bias and the quality bias .     

Inflation forecasts and core inflation measures: Where is the information on future inflation?

This paper uses the forecast from a random walk model of inflation as a benchmark to test and compare the forecast performance of several alternatives of future inflation, including the Greenbook forecast by the Fed staff, the Survey of Professional Forecasters median forecast, CPI inflation minus food and energy, CPI weighted median inflation, and CPI trimmed mean inflation. The Greenbook forecast was found in previous literature to be a better forecast than other private sector forecasts. Our results indicate that both the Greenbook and the Survey of Professional Forecasters median forecasts of inflation and core inflation measures may contain better information than forecasts from a random walk model. The Greenbook's superiority appears to have declined against other forecasts and core inflation measures.     

The Impact of the 2008 Crisis on UK Prices: What We Can Learn from the CPI Microdata1

This paper takes the locally collected price quotes used to construct the CPI index in the UK for the period 1996–2013 and explores the impact of the Great Recession (2008-9) on the pricing behaviour of firms. We develop a time series framework which captures the link between macroeconomic variables and the behaviour of prices in terms of the frequency of price change, the dispersion of price levels and the size, dispersion and kurtosis of price-growth. We find strong evidence for inflation having an effect, but not output. The change in the behaviour of prices during the Great Recession is largely explained by the changes in inflation and VAT. Nevertheless, the magnitude of the inflation effect is sufficiently small that it need not influence monetary policy.     

How can big data enhance the timeliness of official statistics?: The case of the U.S. consumer price index

The daily consumer price index (CPI) produced by the Billion Prices Project (BPP CPI) offers a glimpse of the direction taken by consumer price inflation in real time. This is in contrast to the official U.S. CPI, which is compiled monthly and released with an average of a three-week delay following the end of the reference month. A recent body of research contended that the movements of online prices are representative of those of offline retail prices, making the BPP CPI a natural candidate for accurately improving the timeliness of the official CPI. We assess the predictive content of the BPP CPI using a variety of MIDAS models that accommodate data sampled at different frequencies. These models generate estimates that remain robust to the variety of time periods considered and, by the standard of the existing literature, contribute to a significant upgrade in the forecast accuracy of official consumer price inflation figures. The paper then sketches the broad implications of BPP CPI for the consumer price statistics maintained by national statistics offices and discusses how the proposed improvement in the timeliness of the official CPI fits in this perspective.     

The Impact of the 2008 Crisis on UK Prices: What We Can Learn from the CPI Microdata1

This paper takes the locally collected price quotes used to construct the CPI index in the UK for the period 1996–2013 and explores the impact of the Great Recession (2008‐9) on the pricing behaviour of firms. We develop a time series framework which captures the link between macroeconomic variables and the behaviour of prices in terms of the frequency of price change, the dispersion of price levels and the size, dispersion and kurtosis of price‐growth. We find strong evidence for inflation having an effect, but not output. The change in the behaviour of prices during the Great Recession is largely explained by the changes in inflation and VAT. Nevertheless, the magnitude of the inflation effect is sufficiently small that it need not influence monetary policy.     

我国物价总水平波动路径研究

利用时间序列分析方法研究了PPI和CPI的结构突变特征,并通过建立时间序列模型刻画了我国物价水平(CPI)的波动路径。结果表明,CPI序列在2003年7月、2007年5月以及2008年7月三个时间点上存在结构突变现象,从而将CPI的运行过程分为四个阶段。另外,PPI的结构突变时点一般较CPI滞后1-2个月,这说明CPI触发了PPI的上涨,而PPI又会给予CPI以上涨支撑。最后,分别对以上四个子样本区的CPI序列波动性进行了建模研究,结果表明1997年1月至2003年6月间的CPI波动具有条件异方差性,可由GARCH(1,1)模型来描述。而其他阶段的CPI波动均可由AR(1)模型描述。     

What is the globalisation of inflation?

This paper studies the globalisation of CPI inflation by analysing core, energy and food components, testing for structural breaks in the relationships between domestic inflation and a corresponding country-specific foreign inflation series at the monthly frequency for OECD countries. The iterative methodology employed separates coefficient and variance breaks, while also taking account of outliers. We find that the overall pattern of globalisation in aggregate inflation is largely driven by convergence of the mean levels of the core component from the early 1990s, compatible with the introduction of inflation targeting in many countries of our sample. There is less evidence of increased synchronisation of shortrun movements in core than aggregate inflation, but an increased role for shortrun foreign energy inflation often contributes to the globalisation effect.     

Monetary policy trade-offs in an estimated open-economy DSGE model

This paper studies the trade-offs between stabilizing CPI inflation and alternative measures of the output gap in Ramses, the Riksbank׳s estimated dynamic stochastic general equilibrium (DSGE) model of a small open economy. Our main finding is that the trade-off between stabilizing CPI inflation and the output gap strongly depends on which concept of potential output in the output gap between output and potential output is used in the loss function. If potential output is defined as a smooth trend this trade-off is much more pronounced compared to the case when potential output is defined as the output level that would prevail if prices and wages were flexible.     

Forecasting the UK economy with a medium-scale Bayesian VAR

We estimate a Bayesian VAR (BVAR) for the UK economy and assess its performance in forecasting GDP growth and CPI inflation in real time relative to forecasts from COMPASS, the Bank of England’s DSGE model, and other benchmarks. We find that the BVAR outperformed COMPASS when forecasting both GDP and its expenditure components. In contrast, their performances when forecasting CPI were similar. We also find that the BVAR density forecasts outperformed those of COMPASS, despite under-predicting inflation at most forecast horizons. Both models over-predicted GDP growth at all forecast horizons, but the issue was less pronounced in the BVAR. The BVAR’s point and density forecast performances are also comparable to those of a Bank of England in-house statistical suite for both GDP and CPI inflation, as well as to the official Inflation Report projections. Our results are broadly consistent with the findings of similar studies for other advanced economies.     

A SURVEY OF MEASUREMENT BIASES IN PRICE INDEXES

Abstract. This paper reviews the literature on measurement error in the major US price indexes—the Consumer Price Index (CPI), the Producer Price Index (RPI), and the Gross Domestic Product (GDP) deflators. We take as our point of departure Triplett's, 1975, survey and focus on the studies of measurement error that have appeared since then. We review the problems of substitution bias, quality bias, new goods bias, and outlet substitution bias that are generally considered to be the main sources of error in price indexes. The bulk of the paper is devoted to problems in the CPI and PPI, as the GDP deflators tend to be based mainly on the components of these series. We find that there has been surprisingly little work on the problem of overall measurement error in any of these price indexes, and we conclude that there is very little scientific basis for the commonly accepted notion that measured inflation at 2 to 3 percent a year is consistent with price stability.