不同资本账户开放程度下的中国财政货币政策效果分析

研究目标：分析不同资本账户开放程度下的中国财政货币政策效果及福利效应。研究方法：将内生化的政府支出（税收）政策以及包含汇率的价格（数量）型为主的混合货币政策一并纳入一个小型开放的DSGE模型。研究发现：随着资本账户的逐步放开，财政政策方面，减税政策刺激经济增长和促进就业的效果越来越好，政府支出政策刺激经济增长和促进就业的效果越来越差；货币政策方面，国内货币政策的调控效果及利率上升的跨期替代效应减弱。从社会福利损失的角度分析表明：无论是与内生化的政府支出（税收）政策组合还是与财政赤字政策组合，价格型为主的混合货币政策始终优于数量型为主的混合货币政策。研究创新：考察在高、中和低三种资本账户开放背景下中国不同财政货币政策组合的相互作用和经济效应。研究价值：为资本账户放开过程中合理地使用财政货币政策组合提供理论参考。     

Monetary policy with interest on reserves

I analyze monetary policy with interest on reserves and a large balance sheet. I show that conventional theories do not determine inflation in this regime, so I base the analysis on the fiscal theory of the price level. I find that monetary policy can peg the nominal rate, and determine expected inflation. With sticky prices, monetary policy can also affect real interest rates and output, though higher interest rates raise output and then inflation. The conventional sign requires a coordinated fiscal–monetary policy contraction. I show how conventional new-Keynesian models also imply strong monetary–fiscal policy coordination to obtain the usual signs. I address theoretical controversies. A concluding section places our current regime in a broader historical context, and opines on how optimal fiscal and monetary policy will evolve in the new regime.     

Interest rate movements and US consumers’ inflation forecast errors: is there a link?

The Fisher effect maintains that movements in short-term interest rates largely reflect changes in expected inflation. Since expected inflation is subject to error, we ask whether interest rates move in response to over- and under-predictions of inflation. In answering, we measure expected inflation by the consumers’ forecast of inflation derived from the Michigan Surveys of Consumers (MSC). Our findings for 1978–2013 indicate that the MSC inflation forecasts were unbiased, efficient, and directionally accurate. For 1978–2007, (i) interest rates moved downward (upward) in response to MSC over-predictions (under-predictions) of inflation, and (ii) MSC inflation forecast errors had directional predictability for interest rates. However, no link between interest rate movements and MSC inflation forecast errors is detected for 2008–2013 when monetary policy kept short-term interest rates unusually low.     

The monetary policy dilemma: Will interest rates have to rise?

UK interest rates are now at their lowest level for more than two decades, and the government is hoping that interest rates can be kept at a low and sustainable level comparable to the 1960s. Indeed, some commentators are calling for still lower interest rates to offset the risk that the £12bn tax increases and cuts in government spending that will come into effect in the next financial year will lead to stagnant consumer spending and a stalled recovery. Against this must be weighed the risk that the recent very good run of inflation figures will prove temporary. Both headline and underlying inflation will be pushed up by indirect tax increases and there is the possibility that wages will follow too, as employees seek to maintain their living standards in a tightening labour market. That risk would point to a much more cautious monetary policy stance and the possibility that the government may need to raise rates from their present level if it is to achieve its inflation objective. The Chancellor faces a clear dilemma. In this Viewpoint, we assess the evidence available to guide him in his decisions and draw out the implications for the future path of interest rates.     

Money,random matching and endogenous growth: A quantitative analysis

In this study, we develop a search-and-matching monetary growth model to analyze the effects of inflation on economic growth and social welfare by introducing endogenous economic growth via capital externality into a two-sector search-and-matching model. We find that the channel through which inflation affects economic growth in the search-and-matching model is different from the traditional cash-in-advance model. To facilitate the calibration, we obtain an empirical estimate of the effects of inflation on economic growth using panel regressions. In the simulation analysis, we quantitatively evaluate the welfare effect of inflation in the search-and-matching endogenous growth model and compare it to a search-and-matching exogenous growth model. We find that the welfare effect of inflation is nonlinear in the endogenous growth model whereas it is linear in the exogenous growth model. Furthermore, we find that the welfare cost of inflation under endogenous growth is up to four times as large as the welfare cost of inflation under exogenous growth.     

Do enlarged fiscal deficits cause inflation? The historical record

We survey the historical record for two centuries on the connection between expansionary fiscal policy and inflation. The relationship holds in wartime when fiscally stressed governments resorted to the inflation tax. In two peacetime episodes in the early twentieth century, bond‐financed fiscal deficits, unbacked by future taxes, may have contributed to inflation. Fiscal influence on monetary policy was important in the Great Inflation 1965–1983. Expansionary monetary and fiscal policy did not lead to inflation in the Global Financial Crisis of 2007–08 but, by contrast, the fiscal and monetary response to the COVID‐19 pandemic may involve risks of fiscal dominance and future inflation.     

Japan

Monthly indicators suggest that the momentum in exports and industrial production improved in Q1. And we expect a weaker currency and a gradually improving outlook for global trade – led by Chinese demand – to continue to help exports. Business investment is also set to improve, as corporate profits recover, albeit growth is likely to be bumpy given ongoing uncertainty surrounding President Trump's policies. Fiscal and monetary policy will remain supportive. With little evidence that elusive demand‐pull pressures will boost inflation, we expect BoJ to maintain its current monetary policy stance over 2017–18, while government infrastructure spending is set to rise.     

Note on ‘Loss of monetary discretion in a simple dynamic policy game’

Jensen (1994a) finds that loss of monetary discretion leads to lower welfare. However, by extending his model we show that if real base money holdings are relatively low, as is likely to be the case for modern economics, a zero-inflation rule may well be preferable to monetary discretion. If the emphasis on achieving the output and public spending targets falls, a zero-inflation rule is more likely to be preferred. The increased support for binding policy rules thus conforms with a less tolerant attitude towards inflation.     

Optimal monetary policy rules,financial amplification,and uncertain business cycles

This paper studies optimal monetary policy in the presence of ‘uncertainty’, time-variation in cross-sectional dispersion of firms׳ productive performance. Using a model with financial market imperfections, the results suggest that (i) optimal policy is to dampen the strength of financial amplification by responding to uncertainty (at the expense of creating mild degree of fluctuations in inflation). (ii) Higher uncertainty makes the welfare-maximizing planner more willing to relax financial constraints. (iii) Credit spreads are a good proxy for uncertainty. Hence, a non-negligible response to credit spreads – together with a strong anti-inflationary policy stance – achieves the highest aggregate welfare possible.     

Tax-benefit systems and differences in aggregate labour force participation: Comparative evidence from the Czech Republic and Hungary

This paper investigates the extent to which cross-country differences in aggregate participation rates can be explained by differences in tax-benefit systems. We take the example of two countries, the Czech Republic and Hungary, which – despite a lot of similarities – differ markedly in labour force participation rates. Using comparable individual-level labour supply estimates, we simulate how the aggregate participation rate would change in one country if the other country’s tax and social welfare system were adopted. The estimation results for the two countries are quite similar, suggesting that individual preferences are essentially identical in the two countries. The simulation results show that about one-third of the difference in the participation rates of the 15–74 year-old population and more than two-thirds of the participation of the prime-age population can be explained by differences in the tax-benefit systems.     

Forecast Summary

The outlook is conditioned by our assumption that sterling enters the ERM, probably in the autumn, at a central DM parity not very different from the current rate and that this exchange rate is held over the medium term. Fiscal and monetary policy have to be made consistent with a stable pound, which rules out tax cuts and restricts the fall in base rates to 12 per cent. The benefits of the ERM are to be seen in a reduction in the underlying rate of inflation to below 5 per cent by 1992. But ERM participation is not costless. The downside is four years of output growth averaging below 2 per cent and higher unemployment. The ERM offers the possibility of low inflation and steady growth in the second half of the 1990s: it is not a 'quick fix' for the current problems facing the UK economy.     

The time-varying correlation between output and prices in the United States over the period 1800–2014

In this study, we examine the time-varying correlations between output and prices, while controlling for the impact of the monetary policy stance and output and inflation uncertainties over the period 1800–2014. The results of the empirical analysis reveal that the dynamic correlations of output and prices were typically negative, suggesting a countercyclical behaviour of prices, apart from the early 1840s and from the beginning until the middle of the 20th century, when the correlation was positive, indicating a procyclicality of prices. A historical decomposition analysis based on a sign-restricted structural vector autoregressive model is able to relate the procyclical and countercyclical behaviour to the predominance of aggregate supply and aggregate demand and/or monetary policy shocks, respectively. Moreover, inflation uncertainty (monetary policy stance) was found to have a positive (negative) effect on inflation over the last 215 years.     

WORLD OUTLOOK

World output, which was strengthening immediately prior to last October, appears to have barely suffered in the short term from the stock market crash. Apart from an early reaction by US consumers - since reversed - demand is proving robust and in early 1988 OECD industrial production is, we estimate, 6 per cent up on year-earlier levels, with GNP more than 4 per cent higher. Indeed such is the strength of activity that the present balance of risk is not that recession is imminent but that inflation may pick up again. In the United States, where activity rates are at their highest level for eight years and unemployment is at a fourteen-year low, monetary policy has been tightened and interest rates are moving higher. The Bundesbank is keen to follow suit and the BoJ is keeping the situation under review. Nevertheless, with wages in most countries still adjusting to the low inflation rates of the last two years, there is little evidence yet that prices are accelerating.
We expect to see world interest rates edging higher in the second half of the year as recorded inflation picks lip. But we believe that underlying inflation remains low and that, even on the assumption that oil prices return to 18 a barrel, OECD consumer price inflation will peak early next year at a little over 4 per cent. Tighter monetary policy is also expected to hold back demand over the next 12 months. Consequently, we expect some weak- ness in output in the first half of next year but discount the possibility of a severe recession. GNP growth in the OECD area is forecast to decline from the 3 per cent rate of 1987–8 to a little over 2 per cent next year and to a sustainable 2½ per cent p.a. over the medium term.     

The First Unified Budget What Should Mr. Clarke Do?

Mr. Clarke has the distinction of presenting the first Unified Budget, an innovation introduced by his predecessor. He does so against a subdued inflation outlook and a recovery from recession that has been proceeding since the first half of last year. But he is also aware that there are risks to this favourable outlook: European recession may slow growth, and there is the worry that underlying inflation may breach the Government's 4 per cent ceiling. III this Viewpoint, we argue that the Chancellor should go further that his predecessor in curbing public borrowing, aiming for a reduction of sonic £4-5bn; this fiscal contraction could be accompanied by a further 0.5 per cent reduction in interest rates, or more if the recovery shows signs of faltering. A rebalancing of monetary and fiscal policy in this way reduces the risks associated with a high level of public borrowing, can help in reducing the excessive level of consumption (private and public) in the UK economy, and offers the best means of maintaining a competitive exchange rate without inflation. A curious feature of the first Unified Budget is that, having moved tax decisions to the autumn, the Chancellor appears to have ruled out further government spending cuts beyond those agreed by the Cabinet before the summer: with more favourable inflation arid the public sector pay limit, there would seem to be scope for a further reduction in the Control Total. On the revenue side, the Chancellor should seek to raise revenues in such a way that does not adversely affect incentives. Here he has several options: to extend the VAT net; to eliminate income tax allowances or reduce them to the 20p rate of tax; or to introduce new user charges. There is also the opportunity, one year on from the UK's exit from the ERM, to restate the basis for a sustainable macroeconomic framework. This should include a rebalancing of monetary and fiscal policy, and a move to enhance the powers of the Bank of England but with parliamentary accountability.     

Designing monetary policy committees

We integrate monetary policy-making by committee into a New Keynesian model to assess the consequences of the committee׳s institutional characteristics for inflation, output, and welfare. Our analysis delivers the following results. First, we demonstrate that transparency about the committee׳s future composition is typically harmful. Second, we show that short terms for central bankers lead to effective inflation stabilization at the expense of comparably high output variability. Third, larger committees generally allow for more efficient stabilization of inflation but possibly for less efficient output stabilization. Fourth, large committees and short terms are therefore socially desirable if the weight on output stabilization in the social loss function is low. Fifth, we show that a central banker with random preferences may be preferable to a central banker who shares the preferences of society.     

Alternative monetary policies and fiscal regime in new EU members

I investigate the relevance of a fiscal regime for disinflation in new EU member states (NMS). I generalize the framework of [Obstfeld, M., Rogoff, K., 1995. Exchange rate dynamics redux. Journal of Political Economy 103, 624–660] to incorporate the non-Ricardian fiscal regime and two monetary feedback rules: inflation targeting and depreciation targeting. Euro accession requires disinflation and stabilization of the exchange rate and thus restrictive monetary policy. The model illustrates that a sustainable and prudent fiscal policy is a necessary condition for successful stabilization of inflation. Thus, the lack of prudent fiscal policy, through its effects on inflation, may undermine the EMU accession of large NMS even when their fiscal outcomes fall within the Maastricht range.     

The inflation aversion of the Bundesbank: A state space approach

A simple backward-looking Taylor rule is estimated in a time-varying coefficient framework with quarterly German data for the period 1975–1998. The main finding is that the inflation aversion of the Bundesbank was not constant over time and exhibits some sudden and large shifts during the period of monetary targeting. There are phases with low and with high inflation aversion. These findings provide an explanation why the estimated inflation coefficient in backward-looking Taylor rules often does not exceed one and violates the implications of theoretical models. Moreover, the results provide evidence that the Bundesbank followed the so-called ‘opportunistic approach’ to disinflation.     

Endogenous search,price dispersion,and welfare

This paper studies the welfare cost of inflation in a frictional monetary economy with endogenous consumer search. Equilibrium entails price dispersion, where sellers compete for buyers by posting prices. We identify three channels through which inflation affects welfare. The real balance channel is the source of welfare loss. Its interaction with the price posting channel generates a welfare cost larger than Lucas (2000). The search channel reduces the welfare cost by more than one half through general equilibrium effect. The aggregate effect of these three channels on welfare is non-monotonic. Additionally, the welfare cost of inflation fluctuations is negligible.     

Interest rate pass-through in South East Europe: An empirical analysis

This paper investigates the effectiveness of the interest rate channel in three small open economies with rigid exchange rate regimes in South East Europe – Bulgaria, Croatia and Macedonia – during the period 2000–2010. Specifically, we examine the size and speed of adjustment of bank lending rates to the changes in money market rates by employing various cointegration methods. In addition, we assess the stability of interest rate passthrough during the transition period, including the recent economic crisis. The results reveal the existence of a cointegrating relationship among some of the interest rates. We find that the long-run pass-through is far from complete with the exception of Macedonia. The shortrun adjustment of lending rates is also low and sluggish, implying that the domestic monetary policy may have a limited impact on the interest rate channel. Finally, the econometric investigation provides mixed evidence on the stability of the interest rate pass-through. Therefore, the overall findings of the paper support the view that in small open economies with rigid exchange rates the effectiveness of domestic monetary policy through the interest rate channel is quite limited.     

Economic Viewpoint: Does broad money matter?

Last October the Chancellor of the Exchequer suspended the target for the broad money supply (£M3). It was reinstated in this year's Budget with a range of 11 to 15 per cent. Its growth is currently exceeding even that apparently generous target. (On the terms of the original Medium-Term Financial Strategy in 1980, the growth should have been cut to 5 to 9 per cent by 1983–4.) Does this rapid growth of £M3 matter? Does it raise the threat of higher inflation some time in the future, or can the government now readily abandon £M3 completely and concentrate instead on some other measure of the money supply – or indeed abandon monetary targeting altogether? The relevance of £M 3 as an intermediate target depends on whether there is a stable demand for it. We report econometric evidence which suggests that there is a stable demand for £M3, which depends, among other things, on the rate of inflation. We believe that the unexpectedly rapid growth of the money supply since 1981 partly reflects an adjustment of desired money balances to lower inflation. But once this process of adjustment is complete, monetary growth must be brought to far lower levels. We conclude that the government should continue to use £M3 as an intermediate target, supported, as at present, by a narrow measure.