美国货币政策对中国实体经济和信贷供给的影响探讨

本文使用向量自回归误差修正模型(VECM)研究了1998年第1季度到2010年第4季度美国货币政策对中国实体经济和信贷供给的溢出效应。研究发现,在整个样本期内美国货币政策对中国实体经济增长具有负向的影响,但在2005年第2季度的汇率改革以前,美国货币政策对中国实体经济增长则具有正向影响。这符合"蒙代尔—弗莱明"模型和新开放条件宏观经济学对于不同汇率条件下货币政策溢出效应的判断。另外,美国货币政策在整个样本期内均对中国信贷供给具有显著的正向影响。     

债权压力下财政政策与货币政策的动态互动效应——一个开放经济的DSGE模型

目前的文献忽视了持有国外债权贬值对中国的影响,也忽视了这一背景下政府财政与货币政策的互动效应.通过构建含“债权压力”的开放经济DSGE模型,本文采用“贝叶斯”估计方法进行了理论研究.研究发现:(1)财政政策对货币政策响应、货币政策对财政政策不响应是符合我国宏观经济事实特征的模式选择.(2)债权压力冲击在短期内会提升社会总产出,但持续期非常短.(3)地方政府公共支出的冲击效应大于中央支出的政策效应.(4)外部产出冲击和地方财政支出冲击对社会总产出的波动贡献较大;外部产出冲击对中国通货膨胀的波动影响也日益增大.     

中国货币政策非对称效应分析

经典的货币政策非对称效应意味着相同程度紧缩性货币政策效果显著强于扩张性货币政策,本文通过构建四类货币供给方程全面测度中国货币政策冲击,藉此验证货币政策非对称效应的存在性及表现形式。研究表明中国货币政策存在显著的非对称效应,当期正向货币冲击对产出的影响力度大于负向货币冲击对产出的影响力度;但滞后两期和四期负向货币冲击对产出的影响力度则分别大于相应滞后期的正向货币冲击的影响力度;考虑货币政策发挥作用的整个时段,紧缩性货币政策比扩张性货币政策更为有效。     

内部供给、外部需求和中国出口的动态变化——基于SVAR模型的实证研究

本文通过构建结构向量自回归模型(SVAR)考察了影响中国出口的供需因素的重要程度以及各种冲击对出口的动态影响.研究结果表明:国内消费、国内投资、国外收入以及人民币实际有效汇率均是中国出口波动的主要影响因素,但各种因素形成的冲击对出口的影响有所差异.其中,投资冲击的影响主要体现为短期的正向效应;消费冲击短期内会促进出口扩张,而长期却会造成出口下滑;国外收入冲击会造成出口的持久增长,但增速会逐渐放缓;汇率冲击会在大部分时间对出口产生负向影响.总体来看,无论短期还是长期,国内供给对出口的影响始终比国外需求更大一些.     

国内外油价差异对中国经济影响的实证分析

随着全球经济一体化不断深化,中国经济发展对原油的需求不断增长,中国国内油价与国际油价的关系对中国经济发展的影响也将越来越大.本文通过实证分析证明了国际油价冲击发生后,国内外油价差异将扩大,国内外油价差异对中国出口总额、生产成本、实际汇率和产出都存在影响.当国际油价达到每桶80美元以上区域,国内外价差拉大,国内外油价差异对中国产出正向影响将更明显.     

美国货币政策调整对中国的溢出效应与传导机制研究

文章基于高频识别和反事实分析方法研究后发现,美国货币政策冲击对我国宏观经济的影响及其传导途径在2008年金融危机前后具有显著的不一致性。在金融危机前,美国的货币政策冲击主要通过汇率渠道对我国通货膨胀与产出产生显著的正向影响;在金融危机后,美国的货币政策冲击主要通过基础货币渠道对我国的宏观产出与物价产生显著的负向影响。这种不一致性是由央行逆周期调节在金融危机前后的差异所导致的:金融危机前,央行为抑制人民币汇率过快升值,被动实行扩张性货币政策,导致我国通货膨胀走高;而金融危机后,央行追随美国紧缩性货币政策,逆向调节美国货币政策冲击对人民币汇率的影响,加剧了我国宏观产出的负向波动。     

外贸冲击对工业行业增长传导效应研究——基于行业用电量的VAR分析

当前,贸易冲击依然是中国宏观经济波动的重要来源。利用全国工业分行业用电量,基于向量自回归模型,分析了进出口贸易冲击对各行业的影响。研究发现,贸易冲击只对一般工业行业产生显著性影响;劳动密集型行业对外贸冲击的响应快于重工业;出口冲击对行业普遍产生正向影响,进口冲击会先产生负向、后出现正向影响;出口冲击的传导效应主要从上游到下游、进口冲击的传导效应主要从下游到上游。     

新凯恩斯经济视角下巨灾风险的经济效应及传导机制研究

采用动态一般均衡方法,通过构建包含巨灾风险因素的新凯恩斯DSGE模型,研究巨灾事件对我国宏观经济的动态影响,并分析其传导机制。结果表明:(1)巨灾事件在不同政策机制下对宏观经济的冲击效应存在较大差异,货币政策在提升宏观经济的整体防御能力方面显著优于财政政策和无政策因素两种情形,特别是在稳定就业方面;(2)价格粘性因素短期内能够有效缓解巨灾事件对产出、消费及就业的冲击,一定程度上降低巨灾情境下的市场利率水平,而中长期内价格粘性因素对宏观经济复苏周期的影响不显著;(3)适度的价格粘性使得货币政策能够有效刺激企业的投资及产出规模,提升货币政策在宏观经济中的持续时间,但对居民消费具有一定的抑制作用。     

二元经济融合对国际收支影响分析

本文根据中国二元经济中劳动力市场的特点,构建开放条件下两部门随机动态一般均衡模型,分析二元经济融合、技术进步、国际收支等宏观经济变量之间的关系。研究结果表明:(1)二元经济融合和农民工进城数量的增加对中国大部分宏观经济变量有正向影响,会引起贸易顺差,提高农民工工资,促进消费和国家总产出水平;(2)城市部门的技术进步不仅对本部门有益,还会引起贸易顺差和提高农民工工资,吸收更多的农民工进城;(3)农村部门的技术进步会提高农民收入水平,吸收农村更多劳动力,但是会引起贸易逆差;(4)二元经济融合对外国的消费和产出有正的溢出效应。     

我国广西地区对越南出口影响因素研究——基于2003-2014年年度数据的实证分析

此课题基于计量经济学理论研究,采用Eviews6.0软件对广西与越南2003年-2014年有关的贸易数据进行实证分析,并建立多元线性回归模型,结果证实越南GDP和人民币对越南盾汇率对广西出口越南总额均有显著的影响,揭示了在长期中人民币对越南盾汇率以及越南国内生产总值的变化均会对广西对越南出口总额产生正向的作用。     

中国经济增长中货币政策与财政政策有效性的比较检验

本文通过一个广义货币供应量、财政支出和国内生产总值三变量向量误差修正模型(VECM)考察中国1978—2005年间货币政策和财政政策对经济增长影响的差异性特征。在应用脉冲响应函数和方差分解方法研究它们之间的动态特性后发现:积极货币政策的经济增长效果无论在短期还是长期内均要强于财政政策,长期内,积极货币政策对经济增长一直有递减的正效应,但是积极财政政策由于挤出效应的影响,长期内对经济增长呈负效应。     

The impact of the yuan‐dollar exchange rate on Mexican manufacturing exports to the US: A cointegration approach

This paper makes use of three econometric methods and three time intervals to evaluate the long‐term effects of several key variables on Mexican manufacturing exports to the US . The evidence across econometric techniques and sample periods systematically indicates that: (i) a real depreciation of the yuan‐dollar exchange rate reduces Mexican manufacturing exports by lowering the price of Chinese goods in the US market; (ii) a depreciation of the peso‐dollar real exchange rate generates a strong supply‐side effect due to the high import content of Mexican manufacturing exports, which ultimately leads to lower (rather than higher) sales in the US ; and (iii) external demand and labour productivity are positively related to manufacturing exports, whereas real wages are negatively related. Therefore, a falling external demand for Mexican manufacturing products or a real depreciation of the Chinese currency could, to some extent, be offset by increasing labour productivity faster than wages. These findings reflect two fundamental problems of the Mexican economy: (i) low investment in high‐quality formal instruction and proper training programs, which gives rise to severe bottleneck points for faster labour productivity growth and (ii) excessive reliance of the export‐oriented manufacturing industry on foreign suppliers of intermediate inputs.     

Is the US Dollar a Suitable Anchor for the Newly Proposed GCC Currency?

Responses of inflation and non‐oil output growth from the Gulf Cooperation Council (GCC) countries to monetary policy shocks from the United States (US) were estimated to determine whether there is evidence to support the US dollar as the anchor for the proposed unified currency. A structural vector autoregression identified with short‐run restrictions was employed for each country with Fed funds rate as the US monetary policy instrument, non‐oil output growth and inflation. The main results suggest that for inflation, the GCC countries show synchronised responses to monetary policy shocks from the US which are similar to inflation in the US, and for non‐oil output growth, there is no clear indication that US monetary policy can be as effective for the GCC countries as it is domestically. Consequently, importing US monetary policy via a dollar peg may guarantee only stable inflation for the GCC countries – not necessarily stable non‐oil output growth. If the non‐oil output response is made conscientiously – and there are concerns over the dollar’s ability to perform its role as a store of value – a basket peg with both the US dollar and the euro may be a sound alternative as confirmed by the variance decomposition analysis of our augmented SVAR with a proxy for the European short‐term interest rate.     

On the Link Between Exchange‐rate Regimes,Capital Controls and Monetary Policy Autonomy in Small European Countries, 1979–2000

We investigate international monetary‐policy transmission under different exchange‐rate and capital‐account regimes in eleven small, open economies during the 1980s and 1990s. We find no systematic link between ex‐post monetary‐policy autonomy and exchange‐rate regimes. Capital controls appear to have provided a degree of temporal insulation from foreign monetary policy shocks, though not strict autonomy. The results are consistent both with short‐term autonomy for small countries even under fixed exchange rates and an open capital account, and with long‐term dependence under flexible exchange rates and an independent stability target. Results also indicate that euro‐area market interest rates are significantly more responsive to the development of the corresponding US rate than were the previous national rates.     

ARE LONG‐RUN PRICE STABILITY AND SHORT‐RUN OUTPUT STABILIZATION ALL THAT MONETARY POLICY CAN AIM FOR?

A central tenet of the so‐called new consensus view in macroeconomics is that there is no long‐run trade‐off between inflation and unemployment. The main policy implication of this principle is that all monetary policy can aim for is (modest) short‐run output stabilization and long‐run price stability, i.e. monetary policy is neutral with respect to output and employment in the long run. However, research on the different sources of path dependency in the economy suggests that persistent but nevertheless transitory changes in aggregate demand may have a permanent effect on output and employment. If this is the case, then, the way monetary policy is run does have long‐run effects on real variables. This paper provides an overview of this research and explores conceptually how monetary policy should be implemented once these long‐run effects are acknowledged.     

Monetary policy and long‐term interest rates: Evidence from the U.S. economy

This paper addresses the ability of central banks to affect the structure of interest rates. We assess the causal relationship between the short‐term Effective Federal Funds Rate (FF) and long‐term interest rates associated with both public and private bonds and specifically, the 10‐Year Treasury Bond (GB10Y) and the Moody's Aaa Corporate Bond (AAA). To do this, we apply Structural Vector Autoregressive models to U.S. monthly data for the 1954–2018 period. Based on results derived from impulse response functions and forecast error variance decomposition, we find: a bidirectional relationship when GB10Y is considered as the long‐term rate and a unidirectional relationship that moves from short‐ to long‐term interest rates when AAA is considered. These conclusions show that monetary policy is able to permanently affect long‐term interest rates and the central bank has a certain degree of freedom in setting the levels of the short‐term policy rate.     

人民币汇率的决定因素及其走势分析

研究人民币汇率的决定因素及其走势对我国在未来的经济发展具有重要意义。人民币汇率的主要决定因素为国内外的物价和利率水平差异、经济增长速度的快慢、国际收支状况及央行货币政策等。在短期内,由于我国经济增长放缓、美国经济逐渐复苏、美联储退出量化宽松、央行引导挤出套利资金以及国际收支的变动等原因的影响,我国人民币汇率的走势仍是双向波动,2014年内可能不会再出现人民币单边升值。预计未来跨境资金流动和人民币汇率仍保持双向波动的局面,且后者的波动幅度将加大。     

Trade,money and employment in intertemporal optimizing models of growth

This paper unites elements of Sidrauski's (1967) monetary model of growth, Ventura's (1997) analysis of the effects of international trade on growth, and some work on the labour market implications of growth by Barro and Sala-i-Martin (1995). It was shown by Ventura that, for a small economy, free international trade leads to an increase of the de facto elasticity of substitution between the domestic factors of production. The first part of the paper analyses how such an increase in the elasticity of substitution influences the steady state and the speed of convergence. From the Sidrauski model we know that money is super-neutral in the long-run but that monetary policy can have real effects along the transition path as long as the intertemporal elasticity of substitution is not equal to one. In the second part of this paper, it is shown how these results also depend on the elasticity of substitution between factors of production. The results give some important insights into possible interactions between monetary and trade policy in the long and short run. The last part of the paper deals with a modified version of the monetary growth model, which includes endogenous labour supply as in Klump (1993) or Barro and Sala-i-Martin (1995). In this context, international trade, by increasing the elasticity of substitution, leads to lower domestic employment in the long run whereas monetary policy may be able to increase employment at least in the short run. Thus, under certain circumstances, trade and monetary policy can be regarded as complementary with respect to their labour market effects.     

加拿大通货膨胀目标制政策效果的实证分析——兼论对我国的政策启示

通货膨胀目标制是20世纪90年代起在全球范围内兴起的一种新的货币政策框架,加拿大是其早期采用国之一。本文在对加拿大通胀目标制的主要内容作一简单介绍后,运用脉冲反应函数对此政策效应进行检验。研究结果表明,它对加拿大宏观经济运行态势的改善具有积极的政策效应:它有利于降低通货膨胀惯性、稳定通胀预期,熨平产出波动。最后,本文在结合推动我国经济发展方式转变的背景下,思考其对我国的政策启示。