汇率变动对劳动生产率影响的研究——基于2005年中国汇率制度改革的证据北大核心CSSCISSCI

汇率作为开放宏观经济中的重要价格,对贸易依存度较高的中国经济有着深远影响。在经济发展模式转型的背景下,本文基于2005年人民币汇率制度改革来分析和研究汇率变动对劳动生产率的影响,并采取倾向性得分匹配和双重差分的方法来识别汇率变动与劳动生产率间的因果关系,尝试从微观层面揭示汇率在中国经济转型和增长驱动模式转变中扮演的重要角色。本文的研究结果表明,人民币实际升值使得劳动生产率有所提升,能够解释2005年至2007年6.5%的劳动生产率的变化。研究还进一步识别了汇率变动影响劳动生产率的机制,人民币实际升值加剧了竞争程度,竞争的加剧能够通过逃离竞争效应促进劳动生产率的提升。     

进出口贸易、FDI对中国通货膨胀的影响

本文运用2001~2014年第一季度数据,基于VAR模型,对进出口贸易、FDI对中国通货膨胀的影响进行了研究。理论分析显示进出口贸易、FDI会通过价格机制、外汇储备、汇率机制、经济增长等渠道影响通货膨胀。实证结果表明：长期中,进口和FDI会抑制通货膨胀,而出口作用相反,基础货币显著影响通货膨胀;短期中,人民币实际有效汇率对通胀的影响大于出口贸易;FDI在长期和短期中对通胀影响的方向相反,整个系统向均衡状态调整的速度较快,长期协整关系束缚力较强。本文在此基础上提出了相应的政策建议。     

基于巴拉萨—萨缪尔森假说的人民币对美元实际汇率研究

本文利用ADF单位根检验以及Johansen协整检验等方法对巴拉萨—萨缪尔森效应的经典原模型——égert模型进行了实证分析,指出在1990--2008年间,中美两国贸易品部门的劳动生产率与贸易品部门的劳动生产率之比与人民币兑美元的双边实际汇率存在长期稳定的联系,也就是说巴拉萨—萨缪尔森效应在中国成立     

基于巴拉萨—萨缪尔森假说的人民币对美元实际汇率研究

本文利用ADF单位根检验以及Johansen协整检验等方法对巴拉萨—萨缪尔森效应的经典原模型——égert模型进行了实证分析,指出在1990--2008年间,中美两国贸易品部门的劳动生产率与贸易品部门的劳动生产率之比与人民币兑美元的双边实际汇率存在长期稳定的联系,也就是说巴拉萨—萨缪尔森效应在中国成立。     

人工智能与实际汇率

本文将人工智能变量以生产任务方式引入Balassa-Samuelson模型（巴萨模型）,理论分析人工智能发展对实际汇率的影响。研究发现：可贸易品部门智能化程度提高将导致实际汇率升值,不可贸易品部门智能化程度提高将导致实际汇率贬值。本文以工业机器人安装存量表示智能化程度,利用国际机器人联盟、Peen World Table 10.0和世界发展指标等数据库构建1993—2019年72个国家和地区的平衡面板数据,实证检验发现：可贸易品部门智能化程度提高导致实际汇率升值,且结论在稳健性检验和内生性处理后依然成立;不可贸易品部门智能化程度提高导致实际汇率贬值的结论在统计上不稳健。拓展分析发现：第一,人工智能发展对实际汇率的影响存在滞后效应;第二,分行业而言,制造业智能化程度提高导致实际汇率升值,建筑业智能化程度提高导致实际汇率贬值;第三,OECD成员国可贸易品部门智能化程度提高导致实际汇率升值,不可贸易品部门智能化程度提高导致实际汇率贬值;而非OECD成员国智能化程度改变对实际汇率影响不显著。     

人民币升值对我国不同贸易部门的影响分析

人民币升值一直是我国理论界研究的热门话题,早期的研究主要集中在对国际收支和贸易流量方面。实际上,汇率变动与贸易发展关系不应仅仅局限于对国际收支和贸易流量的研究上,贸易结构调整的长期效应问题应该引起更大的关注。所以,研究人民币汇率变动对我国贸易结构的调整效应具有更加重要的意义。     

加工贸易经济中的汇率传递:一个DSGE模型分析北大核心CSSCISSCI

本文建立一个具有加工贸易部门的随机动态开放宏观经济多国模型(DSGE模型),研究汇率传递效应。分析发现,进口中间投入品、出口最终消费品的加工贸易部门对于汇率传递和贸易平衡具有重要影响。在价格和工资粘性下,汇率变动对一国国内价格的传递表现出对进出口价格传递快,对生产者价格和消费者价格传递慢的特征。企业"依市场定价"的策略会影响汇率传递特征,尤其影响汇率对进出口价格的传递速度。加工贸易部门的存在对货币升值带来贸易逆差的结论提出了挑战。模拟发现,在加工贸易经济中,企业的定价策略对短期的马歇尔-勒纳条件是否成立具有重要影响。只有当贸易产品更多的采用本币定价,本币升值才会带来贸易逆差或降低顺差。     

谈我国通货膨胀与宏观经济的关系

本文分别分析了通货膨胀的增长对经济增长和货币供应量增长的影响,并对这些变量进行协整检验。在此基础上分别进行了Granger因果关系检验,并建立了向量误差修正模型来分析它们之间的关系,最终得出中国的经济增长和货币供应量对通货膨胀有一定刺激作用的结论,并基于此提出了一些建议。     

谈我国通货膨胀与宏观经济的关系——以GDP和M2为例

本文分别分析了通货膨胀的增长对经济增长和货币供应量增长的影响,并对这些变量进行协整检验。在此基础上分别进行了Granger因果关系检验,并建立了向量误差修正模型来分析它们之间的关系,最终得出中国的经济增长和货币供应量对通货膨胀有一定刺激作用的结论,并基于此提出了一些建议。     

基于VAR模型的山东省通货膨胀与经济增长实证分析

基于通货膨胀与经济增长关系理论,选用1980-2011年山东省经济增长和通货膨胀数据,构建VAR模型,并进行检验.得出结论:山东省经济增长与通货膨胀之间存在格兰杰因果关系,并且经济增长是通货膨胀的格兰杰原因.而且滞后一期的经济增长每增加1％,会引起通货膨胀比率上升0.39％,滞后二期的经济增长每增加1％,通货膨胀比率降低0.02％.     

How much intraregional exchange rate variability could a currency union remove? The case of ASEAN+3

A multilateral currency union removes intraregional exchange rates but not the union rate. The pre-union intraregional exchange rate variability is thus latent; a two-step procedure is developed to measure this. The measured variables are used to model inflation and intraregional trade growth of individual union members. Counterfactual simulations of the union impact are carried out using the resulting models. Application to ASEAN+3 shows that the intraregional variability mainly consists of short-run exchange rate shocks, that the variability significantly affects inflation and intraregional trade of major ASEAN+3 members, and that a union would reduce inflation and promote trade regionwide.     

Inflation and monetary regimes

Correlations of inflation with the growth rate of money increase when data are averaged over longer time periods. Correlations of inflation with the growth of money also are higher when high inflation as well as low-inflation countries are included in the analysis. We show that serial correlation in the underlying inflation rate ties these two observations together and explains them. We present evidence that averaging increases the correlation of inflation and money growth in more when the underlying inflation rate has higher serial correlation.     

Inflation,Output Growth,and Their Uncertainties: Empirical Evidence for a Causal Relationship from European Emerging Economies

In this paper, we analyze the causality among inflation, output growth, and their uncertainties in all European countries with emerging economies. For these countries, high uncertainty regarding economic growth during the current economic and financial crisis that started in 2008 caused their governments to increase their efforts to sustain growth, and to maintain a low level of inflation. Of the twelve possible hypotheses regarding the causal relationships among inflation, output growth, and their uncertainties, we consider five relationships for which we find strong theoretical arguments and empirical evidence in the literature. The empirical evidence strongly supports the Friedman-Ball hypothesis that inflation Granger-causes inflation uncertainty. For the other four tested hypotheses, fewer significant causal relationships are obtained.     

The Gordon-Shapiro Dividend Growth Formula and Inflation

The share valuation model which discounts expected dividends is widely accepted in the finance literature. Beyond some point a constant growth rate in expected ividends is assumed. The accepted specification of this growth rate involves a constant retention rate for earnings, and is valid under no inflation. This paper derives the corresponding nominal formula under inflation using a retention rate defined in terms of inflation accounted earnings, and shows that its real counterpart is the accepted formula. It is also shown under inflation that the nominal formula using a retention rate defined in terms of historic cost earnings is considerably more complicated, and that a major error in share valuation results from mistakenly assuming the accepted formula to be valid in nominal terms with a retention rate defined in terms of inflation accounted earnings.     

Macroeconomic uncertainty and performance in the European Union

We use a very general bivariate GARCH-M model and monthly data on EU countries covering the 1962–2003 period to test for the impact of real (output growth) and nominal (inflation) macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of important conclusions. First, in the majority of countries uncertainty regarding the output growth rate is related to the average growth rate and the effect in several countries is negative. Second, in half of the cases there is no significant relationship between inflation uncertainty and output growth performance. Third, inflation and output uncertainty have a mixed effect on inflation. Nevertheless, considerable evidence for the Cukierman–Meltzer hypothesis is obtained. Our conclusions are based on adopting both a structural and a reduced-form bivariate GARCH model. Finally, we also find statistically significant evidence of regime switching for both inflation and output growth volatility throughout the sample.     

Asset Pricing and Expected Inflation

This paper provides an equilibrium model in which expected real returns on common stocks are negatively related to expected inflation and money growth. It is shown that the fall in real wealth associated with an increase in expected inflation decreases the real rate of interest and the expected real rate of return of the market portfolio. The expected real rate of return of the market portfolio falls less, for a given increase in expected inflation, when the increase in expected inflation is caused by an increase in money growth rather than by a worsening of the investment opportunity set. The model has empirical implications for the effect of a change in expected inflation on the cross-sectional distribution of asset returns and can help to understand why assets whose return covaries positively with expected inflation may have lower expected returns. The model also agrees with explanations advanced by Fama [5] and Geske and Roll [10] for the negative relation between stock returns and inflation.     

Why Money Growth Determines Inflation in the Long Run: Answering the Woodford Critique

Woodford argues that it is not appropriate to regard inflation in the steady state of New Keynesian models as determined by steady‐state money growth. Woodford instead argues that the intercept term in the monetary authority's interest rate policy rule determines steady‐state inflation. In this paper, I offer an alternative interpretation of steady‐state behavior, according to which it is appropriate to regard steady‐state inflation as determined by steady‐state money growth. The argument relies on traditional interpretations of the central bank's power in the long run and appeals to model properties that are common to textbook and New Keynesian analysis. According to this argument, the only way the central bank can control interest rates in the long run is via affecting inflation, and its only means available for determining inflation is by determining the money growth rate.     

Inflation–growth nexus: some bivariate EGARCH evidence for Bangladesh

This study examines the inflation–growth nexus for Bangladesh over the period 1976–2009 in a bivariate exponential generalized autoregressive conditional heteroscedasticity in mean (EGARCH-M) model. This work finds that both growth and inflation adversely affect each other in a lagged fashion in Bangladesh. Inflation uncertainty appears to be conducive to growth for the country, contradicting the Friedman hypothesis. Growth uncertainty, which is also thought to be inimical to growth, affects the average growth rate positively. Thus, the Central Bank should shift its target from controlling inflation uncertainty to reducing a rise in inflation to ensure faster growth in Bangladesh.     

我国货币增长与通货膨胀关系研究——基于VAR模型的脉冲响应和方差分解分析

基于VAR模型,文章运用脉冲响应函数方法和方差分解技术,对我国1996年第一季度至2011年第二季度共62个季度的货币增长与通货膨胀观测值进行了经验研究。研究结果表明：我国货币增长不仅是通货膨胀的格兰杰原因,而且对通货膨胀的影响具有滞后性和衰退性;我国民众对通货膨胀具有后顾预期性。     

Inflation and stagflation

This paper reports on the author's theoretical and empirical research which has supported the following propositions. First, the change in the rate of inflation from one year to the next depends upon the growth of the money supply less the current rate of inflation. The current unemployment rate does not significantly affect whether the rate of inflation will rise or fall. If the monetary authorities raise the rate of monetary expansion above the current rate of inflation, the latter will rise regardless of the slack in the economy. Second, the change in the unemployment rate from one year to the next depends upon: (a) the deviation of the current unemployment rate from its equilibrium value and (b) the growth of the money supply less the current rate of inflation. The first effect concerns wage flexibility and the second effect concerns the shift of the aggregate demand (C+I+G) curve.