基于BEER理论的人民币均衡汇率的实证研究

我国改革开放30年来,汇率政策经历了诸多变化,从高估的人民币汇率逐渐走向了理性的区间.但人民币的汇率是否合理还取决于实际有效汇率是否与均衡汇率相一致,如果二者出现了偏差,必然会影响我国内外经济的均衡从而给社会带来巨大的福利损失,进一步会影响我国的贸易地位以及财政货币政策施行效果.本文选取了1989-2009共20年间的中国经济基本变量的季度观察值,辅以行为均衡汇率模型以及协整理论,测算了20年以来人民币均衡汇率的偏离情况,对相关经济层次的决策者具有一定的参考意义.     

开放条件下我国经济内外均衡关系研究

内外均衡是宏观经济的重要内容之一,一般来说,内外均衡有一定的相互作用关系.本文依据国际收支吸收分析法,实证分析我国经济的内外均衡关系,结果表明,1985-2007年间,我国的经济增长、价格水平和国际收支之间没有必然的正相关或负相关,而是在不同的阶段表现出不同的关系.认清不同阶段内外均衡关系的变化对于判断宏观经济形势,制定经济政策具有重要意义.     

谁决定了中美利差的起伏:内部均衡还是外部均衡?

本文基于2002Q2～2019Q4的季度数据,采用格兰杰因果检验、 方差分解和TVP-VAR模型,分析了我国经济内外均衡状况对中美利差影响的时变特征.研究发现:(1)从影响程度来看,内部均衡对中美利差的影响整体高于外部均衡;(2)从时间序列来看,无论是等间隔脉冲响应函数,还是时点脉冲响应函数,均发现内部均衡和外部均衡对中美利差的影响随时间变化而不断减弱;(3)通过理论分析结合格兰杰因果检验,证实了因果效应,即内部均衡与外部均衡均是中美利差的格兰杰原因.本研究对合理搭配宏观经济政策、推动经济高质量发展具有重要的实践意义.     

当前我国经济内外部均衡矛盾的严重性及调控选择

一、我国宏观经济内外部均衡矛盾进入最严重最复杂时期 实证研究表明，90年代以前我国经济内部均衡与外部均衡总体上是比较协调的，没有出现严重的矛盾，特别是基本方向上的悖逆。但是，90年代以来随着我国经济开放度的提高，这种情况逐步发生变化。到目前为止已经历了三个发展阶段，而且呈不断升级趋势。     

开放经济条件下中国复合式通货膨胀形成机制与政策分析

本文试图分析开放经济条件下我国通货膨胀问题,指出其具有货币性、输入性、结构性、成本推进性、共同预期性通胀等复合式通胀的特点,并对其成因和机制进行独立的理论分析和综合模型分析。同时运用模型分析了我国2011年宏观经济调控新框架即"积极稳健、审慎灵活"的合理性和政策组合作用的路径与可能效果。     

基于VAR模型的我国宏观经济变量相关性研究

利用VAR模型对我国失业率、经济增长和通货膨胀之间的长期均衡和短期波动关系进行统计分析,得到相应的计量分析结果。研究表明,我国的三大宏观经济变量间存在长期稳定的均衡关系,短期内,经济增长与失业率和通货膨胀率均为正相关,失业率和通货膨胀率负相关;经济增长与通货膨胀之间存在双向的Granger因果关系。     

基于空间均衡计量分析模型的实现

本文以朱、前田、川口的3种生产财的国际贸易空间均衡模型作为理论出发点,建立完全竞争市场下的三种财的非线性均衡模型。同时以VB作为开发语言,实现了能够计算N种生产财的国际贸易空间均衡模型的程序。在进行中长期的计量经济分析中,使用该模型能够较全面地保证正确率,同时该模型适用于整个农畜产品领域。     

著名动态均衡与协调理论述评

强调市场经济运行的动态均衡,是好几代诺贝尔经济学奖获得者的思维取向,从哈耶克的“动态进步与协调”理念,到近年宏观经济领域出现的“协调博弈”论,无不从理论上表明了现代市场经济的发展必须步入一种动态均衡的整体格局。本文分别从价格、契约、协调博弈等三个主要范畴入手,评价几位西方经济学大师特别是诺贝尔奖获得者的有关市场经济动态均衡理念。     

汇率对货币政策的影响——局部均衡视角

近十年来,随着中国经济的发展,以及国际环境在不断变化,人民币面临升值的压力不断上升,在宏观经济政策中,货币政策的传导受市场环境的影响很大,汇率调整将改变微观经济主体的行为,影响货币政策的传导,降低货币政策效率。当前,我国一方面要积极改革人民币汇率制度、缓解人民币升值压力,另一方面,又要提高货币效率,改善货币政策作用效果。在这种情况下,充分考虑人民币升值对货币政策可能产生的影响,是提高货币政策效率的关键。本文从局部均衡角度分析了汇率对我国货币政策的影响。     

经济均衡与最优化均衡研究

在经济学中,均衡是广为运用的重要的概念,他最一般意义是指经济事务中有关的变量在一定条件下的相互作用下所达到的一种相对静止的状态。均衡状态包括均衡价格和均衡数量。一种商品的均衡价格是指该种商品的市场需求量和适量供应量相等的价格。在均衡价格水平下的相等的供求数被称为均衡数量;本文借助西方经济学的经典分析模型,从商品的总需求价值和总供给价值出发,给出了商品总需求价值函数和总供给价值函数,通过分析几何图形,提出最优化均衡的一般判断标准。     

对当前价格变动与通货膨胀压力增加的几点认识

近期,我国以肉、蛋为标志的部分消费品价格出现了上涨,但这并不标志着通货膨胀的出现。目前,我国确实存在着潜在的通货膨胀压力,但这有着更深层次的原因。文章以部分商品价格的变动为切入点,深入分析了当前我国宏观经济运行中存在的主要矛盾、问题及其对潜在通货膨胀压力形成的共同作用机理。最后,从理论上提出部分治理和解决当前主要矛盾和问题的思路。     

A monetary approach to measuring long-run inflationary expectations

In this paper, a model of long-term monetary equilibrium is used to construct an empirical model of long-run inflationary expectations. This model is estimated and used to construct out-of-sample estimates of long-run expected inflation. Comparisons of expectations measures from this model with those from commonly-used autoregressive models and with a model drawn from the term structure clearly favors the former.     

The monetary explanation of inflation: The experience of three major OPEC economies

The purpose of this paper is to analyze and to test empirically the monetary explanation of inflation in the case of the moderate inflationary experience of three major OPEC economies over the last two decades. The estimated model takes into account the underlying money demand relationship and pays careful attention to the model's lag specifications. The empirical results show that the monetary model of inflation adequately explains the inflationary process in each of the countries studied. These empirical results, furthermore, are econometrically valid insofar as they are not plagued with significant simultaneous-equation bias. In addition, the estimated equations are also found to exhibit structural stability over time.     

Monetary Dynamics of Inflation in China

This paper investigates both the short‐run and the long‐run relationships between monetary growth and inflation in China between 1980 and 2010. We construct multivariate dynamic models based on Friedman’s quantity theory of money (but permitting money to be endogenous) and Meltzer’s monetarist model. The empirical results provide robust evidence that there is a bilateral causal relationship between monetary growth and inflation as well as between monetary growth and output growth. An indirect and implicit causal relationship between monetary growth and inflation is found through the asset inflation channel. There are also long‐run equilibrium relationships between money stock, price index and other relevant variables. The present paper further provides a historical exploration of the mechanism of the monetary dynamics of inflation in China over the underlying period. We conclude that the monetary growth rule is likely to be the most promising policy orientation for China to manage its inflation.     

Macroeconomic Determinants of Investment under Inflation Targeting: Empirical Evidence from the Brazilian Economy

The use of interest rate as the main tool by which central banks implement inflation targets points to a strong link between private investment decisions and monetary policy. With the objective of contributing to the literature surrounding macroeconomic determinants of investment under inflation targeting, an empirical analysis through Generalized Method of Moments models for the Brazilian case is made. In a general way, the findings underscore the relevance of macroeconomic variables for the determination of investment. In particular, we find that success inflation targeting creates a stable macroeconomic environment that promotes private investment.     

Macroeconomic effect of capital controls as a safeguard against the capital inflow problem

Concerns that a rapid surge in capital inflow leads to loss of autonomy in macroeconomic policy, and that its reversal has significant negative effects on an economy, have motivated capital controls during the 1990s. Under a fixed exchange rate system without capital-account restrictions, a decrease in world nominal interest rates causes in a small open economy a deterioration in the current account, real exchange rate appreciation, and inflationary pressure, as pointed out by Calvo et al. (, ). This paper examines macroeconomic effects of capital-account restrictions as a policy response to the capital inflow problem under fixed exchange rates. Theoretical analysis shows that capital-account restrictions not only stem the capital inflow but also reverse the associated macroeconomic effects. The model implies that capital-account restrictions are effective measures against the capital inflow problem of emerging markets in the 1990s.     

THE DIAMOND OF MACROECONOMIC EQUILIBRIA AND NON‐INFLATIONARY EXPANSION

This paper combines the microeconomic foundations of earlier models of a range of equilibrium rates of employment to generate a model with a diamond of equilibria. Analysis of the diamond model shows that for a depressed economy an expansionary aggregate demand policy can, without violating rational expectations of inflation, generate a central proposition of Keynesian economics—a non‐inflationary expansion (NIE), that is a permanent increase in employment without increasing inflation. The microeconomic foundations of the model draw on ideas of customer markets, reference dependence and loss aversion. It is also shown that the possibility of achieving an NIE is enhanced if a macro price policy, such as incomes policy or inflation targeting, accompanies the expansion in aggregate demand.     

汇率、货币政策变动对我国通货膨胀的影响分析——基于协整和状态空间模型的实证研究

本文通过协整分析构建状态空间模型,结合中国实际情况实证研究了人民币汇率传递和货币政策变动对以消费者价格指数(CPI)为主要衡量指标的通货膨胀的影响.结果显示,汇率、货币政策变动和CPI之间存在长期协整关系,汇率传递在我国是不完全的,汇率变化对通货膨胀的影响为负向且程度较低,货币政策变动对物价的调控也是低效的.     

基于适应性预期的房地产价格驱动因素分析

从需求和供给两个角度出发,通过构建基于适应性预期的供需均衡模型,得出市场均衡时房地产价格决定因素的函数,并以此考察房地产价格波动及其影响因素之间的关系。同时,定性分析货币供应量、原材料价格指数、土地开发面积指数、居民通胀预期指数、人均可支配收入等因素对房地产销售价格的影响机制,通过单位根检验、Granger因果关系检验、VAR模型分析、脉冲响应分析等计量研究方法,对中国房地产价格波动的驱动因素进行实证分析,并针对研究结论提出相应的政策建议。     

Customer Markets,Inflation and Unemployment in a Dynamic Model with a Range of Equilibria

The paper presents a dynamic model incorporating a range of non‐accelerating‐inflation rates of unemployment (NAIRU) obtained according to the theoretical framework proposed by the customer markets literature. The analysis of the dynamic adjustments of unemployment and inflation emphasizes the real effects of demand shocks. Changes in the fiscal and monetary policy can exert permanent effects on output and unemployment, both determining persistence in the unemployment rate and selecting the actual steady‐state equilibrium within the NAIRU range.