公众预期、需求冲击与通货膨胀——兼论通胀持久性的地区差异

本文基于具有微观基础的混合式新凯恩斯菲利普斯曲线模型,利用1985-2009年的省际面板数据,分析了预期因素、需求冲击及产出缺口与通货膨胀之间的动态过程及其地区差异。研究发现：总体上,无论是适应性预期还是理性预期对当期通货膨胀都有较强的推动作用;作为需求冲击的居民消费支出、固定资本形成以及产出缺口对通货膨胀都具有正向拉动作用。从通货膨胀持久性的地区差异上看,西部地区的通胀持续性最长,中部最短。     

公司盈余信息、适应性学习与通货膨胀预期

本文拓展构建增广信息的随机梯度适应性学习预期模型,从学习内容和学习信念的直接视角探讨居民公众对公司盈余等微观信息和经济产出等宏观信息的认知及学习,以及这些信息对通胀预期形成的作用。以人民银行储户问卷调查的通胀预期为样本,采用卡尔曼滤波估计模型,并以滚动的样本外均方预测误差进行嵌套检验。实证发现公众通胀预期形成过程中:(1)认知、学习和使用了公司盈余信息,但学习内容存在选择差异。重视"实现盈余"性质的加总盈余增长信息,忽视"预测盈余"性质的加总意外盈余信息,信息可靠性和获取成本是可能原因。(2)对货币政策和国际输入性因素信息重视程度和学习信念高于其他宏观信息,对货币供应和外汇变动信息的响应程度更高,且近期呈现扩大趋势。此外,尽管价格型货币政策的利率信息已经开始进入公众预期的学习信息集,但受重视程度仍远低于数量型政策的货币供应信息。     

我国新凯恩斯菲利普斯曲线的经验研究——基于混合学习预期的视角

本文基于1991—2020年的季度数据，通过构建适应性学习预期的状态空间模型，采用卡尔曼滤波算法对我国学习型预期进行了测度，并将适应性学习预期、高阶滞后适应性预期、理性预期和混合预期分别代入新凯恩斯菲利普斯曲线进行经验研究，进而分析我国新凯恩斯菲利普斯曲线的混合学习预期特征。研究结果表明：首先，我国适应性学习预期并非完全理性预期，而是一种近理性预期，具有近理性特征。其次，我国新凯恩斯菲利普斯曲线具有高阶滞后适应性预期与适应性学习预期的混合学习预期特征，同时高阶滞后预期对通胀率的影响表现为逆向的通胀惯性。最后，适应性学习预期特征要强于高阶滞后适应性预期特征，即相比于高阶滞后适应性预期，适应性学习预期可以更好地反映我国通胀预期形成机制，但适应性学习预期相对于高阶滞后适应性预期的强度受通胀率衡量指标的影响。     

货币政策前瞻性指引有助于稳定经济——基于预期视角的数量分析

预期在广义虚拟经济中处于重要地位,是经济活动的主要驱动力之一,而货币政策前瞻性指引即是通过引导公众形成对货币政策的预期以达到维护经济稳定的目的。本文在新凯恩斯动态随机一般均衡模型框架下,运用贝叶斯方法,从预期的角度研究我国货币政策前瞻性指引需针对的主要经济目标及预期冲击影响宏观经济的数量特征。研究发现,货币政策预期冲击的短期效应更强;货币政策预期冲击对通胀的影响显著,其次是对就业的影响,对产出、消费、投资和资本的影响相对较小;通胀与产出、消费、投资和资本同方向波动。实行货币政策前瞻性应主要针对通胀和就业目标,引导公众形成可预期的货币政策环境有助于维护宏观经济的稳定。     

混合预期增广的Phillips曲线与中国最优货币政策规则——基于SVAR模型的实证研究

本文基于货币政策规则的LRE模型框架和混合预期增广的高阶滞后Phillips曲线,推导出最优"混合"货币政策规则,并利用SVAR模型对中国最优"混合"货币政策规则进行实证检验和冲击响应分析。研究表明:中国Phillips曲线具有混合预期增广的二阶滞后特征,最优货币政策规则具有前瞻性正向特征和通胀惯性负向特征的"混合"特征。冲击响应路径显示:中国通胀形成的主要驱动因素是通胀预期和通胀惯性,中国货币政策具有显著滞后效应和不确定性。因此,在混合预期增广的高阶滞后Phillips曲线的传导机制下,在以规则行事的货币政策框架内,货币当局应采取缓慢渐进的"混合"政策调整方式,减少货币政策的调整频率,同时将货币政策重点转向基于通胀预期和通胀惯性的通胀管理。     

适应性学习与中国通货膨胀非均衡分析

本文立足于公众预期的有限理性,将三种适应性学习过程引入混合新凯恩斯菲利普斯曲线,构建刻画通货膨胀非均衡运行机制的动态模型。使用2001年1季度至2015年3季度实际数据估计参数的基础上,遴选出合意的学习模型。模拟分析发现:(1)在适应性学习预期下,通货膨胀运行呈现出非均衡特点;(2)降低通胀预期和通胀惯性在通胀驱动机制中的影响力可以有效抑制均衡通胀,通胀惯性的影响力度大于通胀预期;(3)公众预期的理性程度提高有助于降低实际通胀对均衡的偏离度。本文认为稳定物价的货币政策应从两方面推进:(1)通过提高公众预期的理性程度降低实际通胀对均衡的偏离;(2)长期内须引导经济收敛于一个合意的低水平均衡通胀。本文建议货币政策应结合制度建设长短配合共同抑制均衡通胀;同时预期管理要规避短视化倾向、完善信息披露机制,在长期则须提高国民的经济学受教育程度、增强公众对经济状况的判断力。     

货币政策调控、公众学习与中国通胀预期的演变

本文以新凯恩斯动态随机一般均衡模型为框架,结合我国综合运用数量型与价格型货币政策工具的现实和公众学习机制,探讨我国通胀预期的演变。研究发现:我国通胀预期的形成是货币政策、通胀目标和公众学习机制综合作用的结果;我国对通胀目标采取顺周期调整,舒缓了外部冲击对货币政策的压力,在保持货币政策相对稳健性的同时,造成了通胀大起大落的变化周期;公众学习对通胀预期形成的影响受货币政策工具类型、反通胀立场、政策可信度的影响。我国在管理通胀预期过程中应明确构造以通胀目标为代表的名义锚,借助中央银行的沟通渠道,提高其透明度,通过反通胀实践,改善其可信度,以降低公众的预期形成偏差,引导公众形成与政策目标一致的通胀预期。     

货币主义与新古典学派关于菲利普斯曲线的讨论

文章首先介绍了货币主义与新古典学派对传统菲利普斯曲线的争论。20世纪70年代"滞胀"的出现使依据传统菲利普斯曲线所做的政策受到质疑,传统菲利普斯曲线稳定性也遭到质疑,这时出现了附加预期的菲利普斯曲线。又分别对货币主义的自然失业率假说和加速通货膨胀理论;新古典学派的理性预期与稳定政策无效性学说作了评价。     

通货膨胀预期、货币政策工具选择与宏观经济稳定

基于含消费惯性和金融加速器的动态随机一般均衡模型,定量解析了不同货币政策工具下通胀预期偏差对宏观经济稳定的影响.结果发现,价格型工具调控下,通胀预期偏差对经济有正面影响,而数量型工具调控时有负面影响;短期内,数量型工具能更有效遏制通胀,长期看,价格型工具的调控效应更显著.研究表明,央行应有针对性的搭配不同政策工具,构建基于资产价格的广义价格指标和通货膨胀预期测度,提高政策的可信性和可测性,实现对通胀预期的有效引导与调控.     

附加预期的菲利普斯曲线评析

菲尔普斯在承认传统的菲利普斯曲线短期存在的情况下在价格和工资粘性假设、自然失业率假说和适应性预期或理性预期假设的基础上对附加预期菲利普斯曲线做了更深入的研究．提出长期菲利普斯曲线存在的形式，这一成果弥补了传统菲利普斯曲线时间上的限制，改变了人们长期以来对通货膨胀和失业之间关系的传统认识，加深了人们对经济政策对经济的长期影响与短期影响关系的理解。     

预期管理理论的形成、演变与启示

本文从货币政策视角梳理了预期管理理论的形成与演变历程,探讨了对通胀预期管理的现实启示。本文研究发现,预期管理理论以货币政策可信度为核心,历经从规则与相机抉择之间的摇摆到融合政策承诺与中央银行沟通并形成前瞻性引导的过程,各种预期管理思想的引入均通过对货币政策施加各种约束,促进政策的动态一致性,提高公众预期形成的精确性。构建以新凯恩斯主义DSGE模型为基础的预期管理框架,改进以预期形成机制和金融体系的模型化为代表的模型结构,采用机制设计方法完善货币政策框架成为未来预期管理理论发展的重要方向。对于我国而言,加快以利率与汇率市场化改革为代表的金融改革,强化以价格稳定为核心的货币政策调控,并通过有效权衡稳增长、调结构与反通胀之间关系,塑造坚定的反通胀立场,形成以通胀目标为代表的名义锚。同时构造兼顾价格稳定与金融稳定的宏观审慎管理框架和中国特色的新凯恩斯主义DSGE模型,提高预期管理的可信度。     

The economics of the Phillips curve: Formation of inflation expectations versus incorporation of inflation expectations

This paper examines the theory of the Phillips curve, focusing on the distinction between “formation” of inflation expectations and “incorporation” of inflation expectations. Phillips curve theory has largely focused on the former. Explaining the Phillips curve by reference to expectation formation keeps Phillips curve theory in the policy orbit of natural rate thinking where there is no welfare justification for higher inflation even if there is a permanent inflation–unemployment trade-off. Explaining the Phillips curve by reference to incorporation of inflation expectations breaks that orbit and provides a welfare economics rationale for Keynesian activist policies that reduce unemployment at the cost of higher inflation.     

预期形成机制的选择、宏观政策搭配与通胀预期管理

文章从中国宏观政策现实出发,分析了预期形成机制对宏观政策搭配及通胀预期管理的影响.研究发现,基于学习型预期的动态随机一般均衡模型不仅能刻画预期通胀与实际通胀之间的趋势一致性与持续偏离,还能反映中国人民银行所公布的物价预期指数和国家统计局所公布的消费者预期指数的变化情况.从通胀预期管理角度看,宏观政策搭配不仅受基本面因素制约,还受公众预期形成机制的显著影响,并且应适时地由传统的"一松一紧"模式转变为"双松"或"双紧"模式.在当前形势下,宏观政策应侧重于"精确制导式"的定向调控,加大经济体制改革力度,完善经济供给面,以配合总需求并锁定政策目标.同时,通过积极沟通,塑造和稳定公众对宏观政策的预期,扩大政策调控空间,以实现经济平稳增长.     

基于动态面板数据的中国菲利普斯曲线稳健性分析

基于中国1978-2008年31个省市的动态面板数据,运用系统广义矩估计方法,分别考察了传统的菲利普斯曲线、新凯恩斯菲利普斯曲线和混合菲利普斯曲线在中国的适用性及稳健性。结果表明三种类型的菲利普斯曲线在中国省际动态面板数据意义上都是成立的,且都是稳健的。政策含义是,政策制定需高度重视人们对通货膨胀率的前瞻性预期。     

Prospects for inflation in a high pressure economy: Is the Phillips curve dead or is it just hibernating?

As the US labor market has tightened beyond full employment with relatively little evidence of inflation pressure, observers are increasingly inclined to declare the demise of the Phillips curve, that is, the flattening of its slope to zero. This paper reviews a substantial range of empirical evidence on this point, by assessing the performance of the conventional expectations-augmented Phillips curve for both prices and wages, based on both historical macro or national level data and panel data for states and MSAs (cities). National data going back to the 1950s and 60s yield strong evidence of negative slopes and significant nonlinearity in those slopes, with slopes much steeper in tight labor markets than in easy labor markets. This evidence of both slope and nonlinearity weakens dramatically based on macro data since the 1980s for the price Phillips curve, but not the wage Phillips curve. However, the endogeneity of monetary policy and the lack of variation of the unemployment gap, which has few episodes of being substantially below zero in this sample period, makes the price Phillips curve estimates from this period less reliable. At the same time, state level and MSA level data since the 1980s yield significant evidence of both negative slope and nonlinearity in the Phillips curve. The difference between national and city/state results in recent decades can be explained by the success that monetary policy has had in quelling inflation and anchoring inflation expectations since the 1980s. We also review the experience of the 1960s, the last time inflation expectations became unanchored, and observe both parallels and differences with today. Our analysis suggests that reports of the death of the Phillips curve may be greatly exaggerated.     

The optimal neglect of inflation: An alternative interpretation of UK monetary policy during the “Great Moderation”

This paper argues that UK monetary policymakers did not respond to the inflation rate during most of the “Great Moderation” that ran from the early 1990s to the mid-2000s. We derive a generalisation of the New Keynesian Phillips curve in which inflation is a non-linear function of the output gap and show that the optimal response of the policy rule to inflation depends on the slope of the Phillips curve; if this is flat, manipulation of aggregate demand through monetary policy does not affect inflation and so policymakers cannot affect inflation. We estimate the monetary policy rules implied by a variety of alternative Phillips curves; our preferred model is based on a Phillips curve that is flat when output is close to equilibrium. We find that policy rates do not respond to inflation when the output gap is small, a situation that characterised most of the “Great Moderation” period.     

3F冲击对中国通货膨胀的影响研究

本文选取全球通货膨胀率、国际能源价格、国际食品价格作为3F外部冲击的三个影响因素,应用扩展的菲利普斯曲线实证分析1981年至2011年的外部冲击因素与我国通胀率的长期关系,然后使用VAR模型对这些外部因素所产生的冲击效果做进一步探究。实证结果表明：短期内,全球通货膨胀率是导致国内价格水平上升的主要原因;随着时间的推移,国际能源价格与国际食品价格对于国内价格水平的影响力逐渐增强,且在中长期成为较为重要的影响因素。而通胀预期与产出缺口则是中长期影响物价的最主要因素。因此,为了抵御外部冲击对我国通货膨胀的影响,管理我国对于本国及全球通胀的预期、构建相应的价格缓冲机制、实施农产品进口渠道多元化战略等均是较为有效的手段。与此同时,也要防止经济过快增长,抑制由于投资需求带来的通货膨胀。     

Determinants of fiscal multipliers revisited

We generalize a simple New Keynesian model and show that a flattening of the Phillips curve reduces the size of fiscal multipliers at the zero lower bound (ZLB) on the nominal interest rate. The factors behind the flatting are consistent with micro- and macroeconomic empirical evidence: it is a result of, not a higher level of price rigidity, but an increase in the degree of strategic complementarity in price-setting – invoked by the assumption of a specific instead of an economy-wide labour market, and decreasing instead of constant-returns-to-scale. In normal times, the efficacy of fiscal policy and resulting multipliers tends to be small because negative wealth effects crowd out consumption, and because monetary policy endogenously reacts to fiscally-driven increases in inflation and output by raising rates, offsetting part of the stimulus. In times of a binding ZLB and a fixed nominal rate, an increase in (expected) inflation instead lowers the real rate, leading to larger fiscal multipliers. Conditional on being in a ZLB-environment, under a flatter Phillips curve, increases in expected inflation are lower, so that fiscal multipliers at the ZLB tend to be lower. Finally, we also discuss the role of solution methods in determining the size of fiscal multipliers.     

UK INFLATION: PERSISTENCE, SEASONALITY AND MONETARY POLICY

In the light of the changes to UK monetary policy since the early 1980s, we study the existence and nature of changes in the properties of retail price inflation over this period. A feature of our analysis is the attention paid to the marked seasonal pattern of monthly UK inflation. After taking account of seasonality, both univariate and Phillips curve models provide strong evidence of changes in the level and persistence of inflation around the end of 1992, at the time of the introduction of inflation targeting. Indeed, all models point to the effective disappearance of inflation persistence after this date, implying that constant-parameter models estimated using both pre- and post-inflation targeting data periods should be treated with considerable caution.     

Flattening of the New Keynesian Phillips curve: Evidence for an emerging,small open economy

The flattening of the Phillips curve is a vigorously investigated phenomenon in many advanced economies. Still little evidence has been presented for emerging, small open economies facing persistently low inflation. In this paper I address this issue through rigorous estimation of a substantial number of stylized, open-economy hybrid new Keynesian Phillips curves for Poland. I find robust evidence of the flattening of the Phillips curve and the rising impact of external factors for both headline and core inflation. I conclude that during excessive disinflation in Poland the flattening of the Phillips curve can be partly explained by the underutilization of labour, whereas the stronger impact of global factors on core inflation suggests strengthening indirect effects. The changes in the estimated parameters indicate that the macroeconomic cost of bringing inflation back to the desired target has increased. Further identification of the reasons behind the flattening of the Phillips curve in an emerging, small open economy should provide useful insights for monetary policy.