财政政策、货币政策调控与宏观经济稳定——基于新凯恩斯主义垄断竞争模型的分析

本文基于包含金融加速器的新凯恩斯主义垄断竞争框架,研究了财政政策和货币政策冲击对我国宏观经济的影响。实证结果表明,财政政策能够解释部分就业、消费和资本存量波动;货币政策冲击则能够解释大部分通货膨胀、就业波动,以及部分产出、消费和投资波动。总体上,模型能够较好地刻画中国宏观经济波动特征。本文认为今后一段时期内,应当将财政政策更多转向民生领域和基础设施建设,重视货币政策调控,从而更有效地调控宏观经济运行。     

基于市场利率波动测度的货币政策操作风险研究

在货币政策操作过程中,中央银行对宏观经济形势的认识偏差,货币政策工具及政策调控时机的选择不当,以及政策信息的披露不及时等,都有可能误导公众预期,增加市场不确定性,从而引致货币政策操作风险。文章通过利用中国货币市场上同业拆借和债券回购的利率数据进行实证,结果表明,中央银行政策操作透明度不高以及对宏观经济形势进行判断的前瞻性不足,是引致我国货币政策操作风险的重要原因。     

宏观经济调控执行绩效的一个数量评价:1985～2005年

有效实施宏观经济调控是各国政府的一个中心职能,其目的在于熨平经济周期波动,维持经济总量大体平衡,从而为市场有效配置资源,实现经济的长期增长创造有利条件。客观评价宏观经济调控的执行绩效有助于政策当局反思政策制定过程中的不适当行为,不断改进宏观经济管理水平,从而更好地实现政策目标。在本文中,我们忽略宏观经济调控政策的内部构成,视其为一个整体,基于政策当局的损失函数,设计了一个新的模型框架,对宏观经济调控执行绩效进行数量评价。     

我国间接货币政策工具实施中的问题与对策

货币政策的一般目标是：稳定物价、充分就业、经济增长、国际收支平衡和金融稳定、防范系统性风险,“稳定”是首要取向。中央银行利用货币政策干预经济活动的方式主要有两种：直接调控的货币政策和间接调控的货币政策。中央银行为实现其货币政策目标,必须借助一些有效的货币政策工具。货币政策工具主要划分为直接货币政策工具和问接货币政策工具两类。     

商业银行房地产开发贷款压力测试方法研究

2010年下半年,国家连续出台多项针对房地产行业的紧缩调控措施,意在规范和稳定房地产市场。但是,在国家紧缩调控的背景下,房价和利率等风险因素的变动使商业银行房地产贷款的安全性面临新的挑战。压力测试作为分析尾部风险的前瞻性风险管理工具,有助于商业银行对其房地产开发贷款进行前瞻性风险管理,从而提高我国商业银行抵御极端事件或宏观经济波动冲击的能力,以确保我国金融业乃至整个宏观经济健康稳步的发展。     

媒体信息、预期冲击与经济周期波动——基于中文财经类报刊数据

新闻媒体作为公众信息的主要来源，对公众预期具有不可忽视的作用，进而可能对宏观经济波动产生影响。本文首先使用潜在狄利克雷分配模型，将中文财经类报刊文本数据转化为新闻主题关注度，并依据新闻主题关注度构建新闻指数作为公众预期的测度，然后结合消费、产出等关键宏观经济变量，利用结构VAR模型考察预期冲击和噪声冲击对经济周期波动的影响。研究发现，新闻指数对消费、产出等关键宏观经济变量具有明显的领先关系；从新闻指数中识别的预期冲击会对实际经济变量产生永久性的影响，而噪声冲击的影响会逐渐衰减，最终回到冲击前的水平。本文的研究验证了预期管理在宏观经济调控中的重要性，并为文本数据在宏观经济研究中的应用提供了新视角。     

美联储提高货币政策透明度的启示

本文借鉴美联储经验,提出了构建基于同业拆借利率的调控体系、中央银行加强与市场沟通、改革再贴现工具、完善货币政策委员会制度以及设定明确的通胀率区间等建议。     

美联储提高货币政策透明度的启示

本文借鉴美联储经验,提出了构建基于同业拆借利率的调控体系、中央银行加强与市场沟通、改革再贴现工具、完善货币政策委员会制度以及设定明确的通胀率区间等建议.     

物价波动的行为特征及其影响因素

龙活虎利用全国和各地区的统计数据,分析我国物价水平波动的行为模式,以及货币和投资等调控工具的影响与时滞。实证研究表明:货币供给量的调控对物价水平的短期调整和中长期稳定都具有显著的作用,尽管存在一定的外部时滞;而利率调整的效果则不明显。投资对物价波动既有即时的冲击,又存在2～3年的滞后影响;房地产投资对于物价的波动具有很好的预示功能。     

衍生品交易影响宏观经济稳定的途径与机制

衍生品交易的各种风险可以造成市场混乱、金融体系连锁反应,从而冲击宏观经济运行。透明度降低、逃避监管等市冲击宏观经济稳定的内在机制。同时,衍生品交易也存在对宏观经济波动的抑制机制。     

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.     

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.     

From inflation targeting to the euro-peg: A model of monetary convergence for transition economies

This study proposes a sequence of monetary convergence to the eurozone, based on autonomous monetary policy rather than on an early application of the euro-peg. The gradual adjustment process begins with a relatively strict variant of inflation targeting, followed by flexible inflation targeting, and ends with exchange rate targeting. A model outlining the optimal mode of policy adjustment is presented. The analysis warns against a premature peg to the euro, which may instigate real currency appreciation, large capital inflows and their costly sterilization. The euro-peg can be introduced only when the candidates’ monetary authorities reach a certain degree of “foundational credibility”. The model of monetary convergence is followed by the empirical assessment of inflation targeting in the Czech Republic and Poland.     

Internal and external transmissions of monetary and fiscal policies in the EMU

With the introduction of Economic and Monetary Union (EMU), the sovereignty of national monetary institutions has been replaced by a common monetary institution, the European Central Bank (ECB) and national currencies have been replaced by a common currency, the euro. EMU therefore implies the loss of national monetary policy autonomy and internal exchange rate flexibility inside the EMU area. However, external exchange rate adjustment, i.e. adjustment of the euro exchange rate, remains a feasible adjustment mechanism. This paper analyses how internal and external exchange rate flexibility affect macroeconomic adjustment in EMU and non-EMU countries. To do so, a model is constructed in which three countries interact: two countries that decide to form a monetary union and a third country that does not participate in the monetary union. Numerical simulations of a representative example are used to characterise the adjustment dynamics induced by monetary and fiscal policies before and after the start of the EMU.     

ON THE EFFECTIVENESS OF FISCAL POLICY AS AN INSTRUMENT OF MACROECONOMIC POLICY

This paper demonstrates that fiscal policy is an effective and essential instrument of stabilisation macroeconomic policy. This is particularly so if it is co-ordinated with monetary policy, especially in the current worldwide economic situation.     

The effective of China's monetary policy: Quantity versus price rules

This paper deduces an open economic DSGE model and explores two monetary policy rules for China, the quantity and price rule. The empirical results indicate that (1) monetary policy with money supply as instrument seems increasingly difficult to conduct in China than before, (2) the linkage between money supply and output becomes weaker over time, and (3) the effects of a price rule on the economy seem to have become more significant than those of a quantity rule. The findings seem to favor the government’s intention of liberalizing interest rates and making a more active use of the price instrument as the economy becomes more market-oriented in recent years.     

Monetary policy,bank leverage,and financial stability

This paper shows that with limited liability banks lever up excessively to finance new loans. Lower monetary policy rates can worsen or reduce these incentives depending on the size of the shock when equity financing is ruled out. When this constrained is relaxed but the bank faces costly dividend adjustment, lower monetary policy rates always worsen risk-taking incentives and the effect is persistent. The reason is that costly dividend adjustment lowers the opportunity cost of lending. In this model, capital requirements are closer to the source of the distortion and thus work better than loan-to-value caps in reducing excessive risk taking.     

Optimal interest rate stabilization in a basic sticky-price model

This paper studies optimal monetary policy with the nominal interest rate as the single policy instrument. Firms set prices in a staggered way without indexation and real money balances contribute separately to households’ utility. The optimal deterministic steady state under commitment is the Friedman rule—even if the importance assigned to the utility of money is small relative to consumption and leisure. We approximate the model around the optimal steady state as the long-run policy target. Optimal monetary policy is characterized by stabilization of the nominal interest rate instead of inflation stabilization as the predominant principle.     

Optimal control of linear econometric models with intermittent controls

Dynamic Programming is used to derive the optimal feedback solution to the minimization of a quadratic welfare loss-functional subject to a linear econometric model, when the value of some instrument variables can not be optimized in every model period, but only in single ones. In this way, the relative inertia of fiscal policy-making, as compared to monetary policy-making, can e.g. be taken into account. Analytical expressions are derived for the optimal feedback rules and for the minimum expected losses, and iterative schemes are proposed for their numerical computation. It is suggested that a numerical analysis of the economic gain to be realized by making more frequent adjustment of fiscal policy variables than is actually undertaken could yield valuable information for policy-makers.     

我国货币政策利率传导渠道的体制转换特征——利率市场化改革进程中的考察

本文考察了我国利率市场化改革进程中货币政策利率传导渠道效应的体制转换特征。实证结果表明:1978年第一季度至2009年第二季度期间我国货币政策传导的管制利率渠道发生了两次体制转换,转换之后贷款基准利率调整对产出和物价水平的效应都降低了。1996年1月至2009年7月期间我国货币政策传导市场利率渠道发生了一次体制转换,转换之后同业拆借利率变动平抑产出和物价波动的效果都更强劲、更持续。这意味着我国的利率市场化改革取得了阶段性成果,也意味着我国利率调控由直接方式逐渐转向主要依靠间接方式不仅是必要的,也是可行的。