石油价格冲击与宏观经济

本文首先讨论石油价格冲击的传导机制,然后考察石油价格冲击对经济增长和通货膨胀的非对称性影响,并分析石油价格上升的货币政策含义,最后提出了政策建议。     

The impact of oil price changes on selected macroeconomic indicators in Azerbaijan

We examine the relationship between oil price fluctuations and economic activity in Azerbaijan using vector autoregressive models for the period 2002Q1–2018Q4. Our key results are as follows. First, growth in the gross domestic product (GDP) decreases after oil price innovations in the oil and gas sector and in the remainder of the economy. Downturns (upswings) in the oil and gas sector also prompt downturns (upswings) in the non-oil sector as fluctuations in oil revenues affect the government's capacity to subsidize the rest of the economy. Second, oil price innovations also lead to higher inflation in Azerbaijan. In response to the required tightening of monetary policy, the manat appreciates against the US dollar. Finally, GDP effects are primarily seen after oil price increases, whereas the interest rate and the exchange rate mainly react to decreases. Inflation increases after both types of shocks, due to either the accommodative monetary policy stance in the case of oil price decreases or the shock itself in the case of increases.     

International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries

We estimate a global vector autoregression model to examine the effects of euro area and US monetary policy stances, together with the effect of euro area consumer prices, on economic activity and prices in non-euro EU countries using monthly data from 2001-2016. Along with some standard macroeconomic variables, our model contains measures of the shadow monetary policy rate to address the zero lower bound and the implementation of unconventional monetary policy by the European Central Bank and the US Federal Reserve. We find that these monetary shocks have the expected qualitative effects but their magnitude differs across countries, with southeastern EU economies being less affected than their peers in Central Europe. Euro area monetary shocks have a greater effect than those that emanate from the US. We also find certain evidence that the effects of unconventional monetary policy measures are weaker than those of conventional measures. The spillovers of euro area price shocks to non-euro EU countries are limited, suggesting that the law of one price materializes slowly.     

Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy*

This paper adapts Uhlig's [Journal of Monetary Economics (2005) forthcoming] sign restriction identification methodology to investigate the effects of UK monetary policy using a structural vector autoregression (VAR). It shows that shocks which can reasonably be described as monetary policy shocks have played only a small role in the total variation of UK monetary and macroeconomic variables. Most of the variation in UK monetary variables has been due to their systematic reaction to other macroeconomic shocks, namely non‐monetary aggregate demand, aggregate supply, and oil price shocks. We also find, without imposing any long run identifying restrictions, that aggregate supply shocks have permanent effects on output.     

Monetary policy,housing rents,and inflation dynamics

In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response to contractionary monetary policy shocks. We also find that, after a contractionary monetary policy shock, rental vacancies and the homeownership rate decline. This combination of results suggests that monetary policy may affect housing tenure decisions (own versus rent). In addition, we show that, with the exception of the shelter component, all other main components of the consumer price index (CPI) either decline in response to a contractionary monetary policy shock or are not responsive. These findings motivated us to study the statistical properties of alternative measures of inflation that exclude the shelter component. We find that measures of inflation that exclude shelter have most of the statistical properties of the widely used measures of inflation, such as the CPI and the price index for personal consumption expenditures, but have higher standard deviations and react more to monetary policy shocks. Finally, we show that the response of housing rents accounts for a large proportion of the “price puzzle” found in the literature.     

Oil prices,economic activity and inflation: evidence for some Asian countries

In this paper we study the oil prices–macroeconomy relationship by means of studying the impact of oil price shocks on both economic activity and consumer price indexes for six Asian countries over the period 1975Q1–2002Q2. The results suggest that oil prices have a significant effect on both economic activity and price indexes, although the impact is limited to the short run and more significant when oil price shocks are defined in local currencies. Moreover, we find evidence of asymmetries in the oil prices–macroeconomy relationship for some of the Asian countries.     

Monetary policy for rationally inattentive economies with staggered price setting

The paper examines the optimal monetary policy when firms are constrained by information processing capability and infrequent price adjustments. Firms' information processing limit gives rise to imperfect knowledge about macroeconomic aggregates and endogenous information learning contingent on the monetary policy. Staggered price setting introduces the observed price duration and additional policy tradeoffs resulting from the interactions between nominal rigidities and imperfect information processing. The integrated model implies an optimal policy that commits to complete price stabilization in response to natural rate shocks but not in response to markup shocks. In the presence of markup shocks, it is optimal for the central bank to focus on price stabilization in the initial periods following markup shocks and shifts the emphasis to output gap stabilization later. Moreover, larger information capacity, stronger complementarities and more persistent shocks require more aggressive price stabilization in the short-run.     

News shocks and asset price volatility in general equilibrium

We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. We show that introducing news shocks in a canonical dynamic stochastic general equilibrium model may not reduce asset price volatility under plausible parameter assumptions. This is because, in general equilibrium, the asset cash flow itself may be affected by the introduction of news shocks. In addition, we show that neglecting to account for policy news shocks (e.g., policy announcements) can potentially bias empirical estimates of the impact of monetary policy shocks on asset prices.     

A monetary business cycle model with unemployment

To reproduce key features of the post-war U.S. data, most monetary business cycle models must assume there are high price markups and that agents have high labour supply elasticities despite the existence of contradictory microeconomic evidence. This paper eliminates the need for these assumptions by introducing imperfectly observed effort into a limited participation model. The estimated model is better able to capture the sluggish price response to a monetary policy shock than the standard model, and is consistent with evidence regarding the qualitative responses of the U.S. economy to technology shocks, fiscal policy shocks and monetary policy shocks.     

货币政策的数量型工具与价格型工具的调控绩效比较——来自动态随机一般均衡模型的证据

本文基于我国经济发展现实,构建了包含金融加速器、工资调整粘性以及消费惯性的新凯恩斯动态随机一般均衡模型,从货币政策的冲击效应、非政策冲击下宏观经济波动幅度以及中央银行损失函数等三个方面对比了不同货币工具的调控绩效,研究显示,价格型工具的调控绩效优于数量型工具,而稳健性分析也对此提供了进一步证明。因此,中央银行应积极地运用利率工具以更有效控制通货膨胀和实际产出波动,维护宏观经济稳定。     

Monetary policy,exchange rates and labor unions in SEE and the CIS during the financial crisis

The objective of this paper is to assess whether the levels of unionization and the rigidity of exchange rates represent a constraint for the monetary policy in South-Eastern Europe and the Commonwealth of Independent States, with a particular focus on the recent economic crisis. Toward that end, a New Keynesian model with price and wage rigidities is used. The results show that monetary policy responded counter-cyclically during the crisis only in countries with weak trade unions and in countries with flexible exchange rates, which indicates that fixed exchange rates and strong trade unions constrain monetary policy in countries in these regions. Also, the findings show that the main driver of price inflation in these countries is not economic activity, but wages, which are affected to a large extent by trade unions. Therefore, trade unions should be active partners in the decision-making processes in these countries.     

Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile

We analyze the impact of oil price shocks on the macroeconomic fundamentals in emerging economies in three regions that have different resource endowments. The existing literature on emerging economies remains inconclusive on how regional factors and resource characteristics affect the response of macroeconomic variables to oil price shocks. We show that (1) exports in Europe and Central Asia are driven by oil more than East Asia and the Pacific and that (2) policy makers in East Asia and the Pacific should be concerned about real exchange appreciation following a positive oil shock to mitigate losses in the non-oil export market. Analysis by resource endowment further reveals that, in less-resource-intensive economies, an oil price shock causes large variations in consumption and has a negative and persistent impact on the real gross domestic product (GDP). In mineral-exporting economies, real GDP and interest rates are driven largely by oil price shocks. The response of real GDP in mineral-exporting economies is short lived. In oil-exporting economies, only real GDP has a large variation in response to oil price shocks. Our findings highlight the need for customized policy responses to oil price shocks, depending on resource endowments, as we show that a “one size fits all" policy does not exist.     

Understanding Price Stickiness: Firm‐level Evidence on Price Adjustment Lags and Their Asymmetries

We study the speed of price reactions to positive and negative demand and cost shocks. Our findings suggest that price adjustment lags vary in line with the predictions of optimal price setting models. Moreover, we find that the firms' reactions are asymmetric, and that these asymmetries cannot be fully explained by any single theoretical model of asymmetric price adjustment. Overall, these results suggest that the reaction to monetary policy shocks may depend on which firms or sectors are particularly affected by them and, therefore, that richer models are needed to fully understand the effects of monetary policy.     

How should monetary policy respond to changes in the relative price of oil? Considering supply and demand shocks

This paper examines optimal monetary policy in a New Keynesian model where supply and demand shocks affect the price of oil. Optimal policy fully stabilizes core inflation when wages are flexible. The nominal rate rises (falls) in response to the demand (supply) shock. With sticky wages core inflation falls (rises) in response to the demand (supply) shock. Impulse response functions from a VAR estimated with post-1986 U.S. data show minimal movement in core inflation in response to both shocks. The federal funds rate rises (falls) in response to the demand (supply) shock, consistent with the predictions from the theoretical model for policy that stabilizes core inflation.     

Economic uncertainty,oil prices,hedging and U.S. stock returns of the airline industry

This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns of U.S. airlines using both industry and firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline returns including jet fuel price volatility. Empirical results confirm that oil price increase, economic uncertainty and jet fuel price volatility have significantly adverse effect on real stock returns of airlines both at industry and at firm level. In addition, we also find that hedging future fuel purchase has statistically positive impact on the smaller airlines. Our results suggest policy implications for practitioners, managers of airline industry and commodity investors.     

The response of asset prices to monetary policy shocks: Stronger than thought

Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small‐scale vector autoregressions (VARs), however, often find sluggish and insignificant impact effects. Using the same high‐frequency instrument to identify monetary policy shocks, we show that a large‐scale dynamic factor model finds overall stronger and quicker asset price reactions compared to a benchmark VAR, both on euro area and US data. Our results suggest that incorporating a sufficiently large information set is crucial to estimate monetary policy effects.     

Markov Switching Oil Price Uncertainty

We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the Elder and Serletis (2010) bivariate structural GARCH‐in‐Mean VAR to accommodate Markov regime switching in order to account for changing oil price dynamics over the sample period. We find evidence of asymmetries, against those macroeconomic theories that predict symmetries in the relationship between real aggregate economic activity and the real price of oil.     

Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states

This study presents evidence on the effect of domestic and Euro Area monetary policy on stock prices in four new EU member states of Central Europe and the main determinants of stock price volatility, estimating structural vector autoregressive models identified with short-run restrictions. We find that stock prices in the considered new EU member states are more sensitive to changes in the Euro Area interest rate than to the domestic one. Moreover, the bulk of stock price volatility in these countries is due to shocks related to exchange rate and Euro Area monetary policy. Overall, we find that local stock markets are more sensitive to external shocks than to domestic ones.     

OPEC and political considerations when deciding on oil extraction

Two oil price shocks changed the pattern of cheap oil. The first was the Arab embargo on oil exports in 1973. Oil prices rose five fold. In 1978, the second was the fall of Shah Iran. Prices soared to $80–$100 a barrel in today’s prices. In 1960, OPEC was established and since then it has been a considerable political and economic force in the oil market. Two thirds of the world’s oil reserves belong to OPEC members. OPEC is accused of being responsible for most of the price increases due to their production cuts and market power. This paper provides a general framework to examine the role of OPEC in affecting oil prices through the extracted quantities. A mathematical model is developed to explore the objective function of OPEC, which includes economic and political considerations. The idea is that OPEC members consider both the political support of their citizens and profits when determining oil extraction rates. This support is represented by a “harm function” which was added to the objective function of OPEC. The solution of the model lends some support for inclusion of this harm function, through which OPEC benefits from the cuts in production aimed at harming the western countries. For this harm function to be meaningful empirically, OPEC members should have a high harm indicator, α_t. With high harm indicator values, OPEC harms itself financially. The results suggest that OPEC appears to be accepting considerable monetary setbacks to appease its citizens’ taste for harming the West. At different discount rates, the monetary losses range from about 10–20%. Solving the mathematical model required estimation of the residual demand that OPEC faces plus the cost function that applies to OPEC production. This paper reports the results of these estimations.     

Effect of monetary policy shocks on the racial unemployment rates in the US

This study analyzes the effect of monetary policy shocks on the unemployment rate of different racial groups in the US, using data from 1969Q2 to 2015Q4. Employing a narrative approach to identify monetary policy shocks and local projections, we find that although an expansionary monetary shock affects White workers positively and significantly, the effect on Black workers is larger, and for Hispanic workers it is not statistically different from zero. These results are robust when considering unconventional monetary policy measures in the specification, and when exploring the impact of monetary policy on different genders and age groups. We also highlight how recession affects the transmission channel of monetary policy to the labor market for White and Hispanic workers. Finally, further extensions suggest that the Fed’s monetary policy is effective in reducing the racial unemployment gap, particularly between Whites and Blacks, and during economic booms.