中国物价波动的内外影响因素分析

本文基于2000—2011年的季度数据，运用向量自回归（VAR）模型，实证研究了中国物价波动的内外部影响因素。实证结果表明：中国通货膨胀既有内部调整的原因，也有外部冲击的原因；在短期内，国际原油价格和国际食品价格等外部冲击是主要影响因素，而在中长期，内部调整因素是通货膨胀的主要决定因素，其中实际GDP增长率对通货膨胀的贡献度最大。     

中国的通货膨胀:一个新开放宏观模型及其检验

本文基于新开放宏观经济学(NOEM)框架分析了中国的通货膨胀问题,探讨了导致通货膨胀的原因以及各原因之间的相互关系,并利用贝叶斯向量自回归模型(BVAR)进行了计量检验。发现新开放宏观模型对中国的通货膨胀有较好的解释力,货币供应量无论是在长期还是短期都是诱发通货膨胀的主要原因,而外部冲击向中国的传导路径是受阻碍的。     

经济波动同步性、需求冲击与供给冲击——来自东盟国家的实证分析

运用结构向量自回归模型将典型东盟国家的需求扰动与供给扰动序列识别出来;在此基础上采用面板回归模型对影响东盟主要国家产出同步波动性与遭受冲击的对称性联系起来.研究发现,东盟五国整体来看,其外部冲击是对称的,符合Mundell（1961）开展货币合作的标准;供给冲击与需求冲击对于维持东盟国家经济周期同步性具有重要作用;相对而言,供给冲击对东盟国家经济周期同步性影响更大.最后给出未来东盟国家区域货币化合作政策建议.     

非经济不确定性冲击的国内政策应对

采用贝叶斯向量自回归模型评估全球不确定性冲击对国内宏观经济波动的影响,并分析增加货币供给和扩大央行资产规模两类货币政策、以及增加财政支出和减税两类财政政策应对外部冲击的效果。采用全球不确定性指数和全球流行病不确定性指数作为不确定性冲击的度量指标,并在模型中加入中国流行病不确定性指数作为外生变量。结果显示,全球不确定性对我国总需求造成较大负面冲击,国内货币与财政政策都做出了积极应对,并且扩张型财政政策还起到了降低全球不确定性的有益作用。货币政策主要通过投资渠道、财政政策主要通过投资和出口渠道作用于总需求,消费渠道拉动总需求的效果并未得到充分释放,未来宜将降低消费税和个人所得税作为宏观政策补短板的重点,以带动消费内循环。同时还需加强国际货币政策协调,预防政策不确定性对国内经济造成二次冲击。     

货币超发是中国通货膨胀的根源吗?——基于DSGE模型不确定均衡解的分析

本文构建了一个充分反映中国宏观经济结构和体制特征的DSGE模型,并用贝叶斯估计方法对模型进行了估计和分析。我们发现,中国宏观经济存在非确定均衡解,自我实现的通胀预期对中国通货膨胀和产出波动有显著的影响,逆向供给冲击是近年来中国通货膨胀的主要原因。通过反事实模拟方法,我们发现近年来我国央行实施的实际货币政策基本符合最优货币政策,我们还估算中国货币增长长期目标的适度水平为18%左右,过高或过低的货币增长率都会加大消费和通货膨胀的波动,并降低社会的长期福利水平。     

国际初级产品价格对我国通货膨胀的影响实证分

本文用向量自回归模型证实了国际初级产品价格持续高涨是推动物价上涨的主要原因;并进一步研究了初级产品价格、产出冲击和货币供冲击对通胀的影响;验证了初级产品价格对通胀的预测作用;指出初级产品价格是货币政策的重要先行指标.     

2000～2011年我国通货膨胀形成原因的实证研究

运用向量自回归(VAR)模型,对2000～2011年我国通货膨胀的形成原因进行实证分析的结果表明:货币供应量、经济增长率、人民币名义有效汇率和国际大宗商品价格整体上能够解释通货膨胀的形成。无论是短期或长期,产生通货膨胀的主要原因在于公众对通货膨胀的适应性预期,但长期内它还受到货币供应量、经济增长和输入性通货膨胀的影响,人民币名义有效汇率升值对于通货膨胀的抑制作用不明显。因此,短期内治理通货膨胀应以降低对通货膨胀的适应性预期为主,长期内还应兼顾其他因素。     

国际初级产品价格对我国通货膨胀的影响实证分

本文用向量自回归模型证实了国隙地初级产品价格持续高涨是推动动物价上涨的主要原因，并进一步研究了初级产品价格、产出冲击和货币供冲击对通胀的影响，验证了初级产品价格对通胀的预测作用，指出初级产品价格是货币政策的重要先行指标。     

货币政策冲击与人民币汇率动态

传统的货币政策冲击是通过短期约束或者长期约束下的向量自回归模型识别的,由于这种识别方法往往会引起"价格之谜"悖论,为保证实证分析的稳健性,本文同时采用短期约束和符号约束(Uhlig,2005)方法识别货币政策冲击,并对中国2005～2011年的数据进行实证检验,给出货币政策冲击对汇率影响的证据。结果表明,中国采取紧缩货币政策减少货币供应量,以及美国采取宽松货币政策降低短期利率,均会引起人民币兑美元汇率持久性升值,前者对汇率变动的解释能力更强,但解释比例不超过50%,并且实证分析认为人民币兑美元汇率没有产生超调现象。由于货币政策等外部冲击以及市场的不完全性,会导致汇率异常波动,我们认为央行适度的外汇干预仍然是有必要的。     

我国货币供应量与农产品价格关系的实证分析

改革开放以来,我国农产品价格在波动中不断上涨,但是学界对其原因的分析则是众说纷纭。本文运用协整检验和向量自回归模型对我国货币供应量与农产品价格关系进行实证分析。协整检验的结果表明,货币供应量与农产品价格之间存在长期均衡的协整关系;基于向量自回归模型的脉冲响应函数和方差分解表明货币供应量是农产品价格上涨的主要原因。     

The reset inflation puzzle and the heterogeneity in price stickiness

New Keynesian models have been criticised on the grounds that they require implausibly large price shocks to explain inflation. Bils et al. (2012) show that, while these shocks are needed to reduce the excessive inflation persistence generated by the models, they give rise to unrealistically volatile reset price inflation. This paper shows that introducing heterogeneity in price stickiness in the models overcomes these criticisms directed at them. The incorporation of heterogeneity in price stickiness reduces the need for large price shocks. With smaller price shocks, the new model comes close to matching the data on reset inflation.     

Monetary Pressures and Inflation Dynamics in Turkey: Evidence from P-Star Model

This paper uses the P-star model to explain inflation dynamics in Turkey. In P-star models, money determines the price gap, which is postulated to measure the pressure on prices in an economy. This pressure emerges when output is above the potential, the interest rate is lower than the natural rate, or there is pure excess money in the economy. The estimation results with the Turkish data show that the price gap contains considerable information for explaining inflation dynamics. Moreover, the model selection criterion that compares the empirical performance of the P-star model with the new classical Phillips curve relation favors the P-star model over the Phillips curve relationship. We conclude that money is efficacious in predicting risk in price stability in Turkey.     

Inflation dynamics: A cross-country investigation

We document that “persistent and lagged” inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information.     

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

In the context of the debate on inflation targeting, this paper analyses the impact of the oil shocks on inflation expectations in three Nordic Kingdoms. A NARDL framework is applied to data from Jan 1994 to June 2018 on the Kingdoms of Norway, Sweden and Denmark. Our key findings suggest that there are considerable nonlinearities and asymmetries in the relationship between inflation expectations, oil shocks and economic determinants of inflation expectations. The expectations formulated in the past have a very significant negative impact on future inflation expectations (adaptive expectations) and there is heterogeneity in the adaptiveness pace. A country's net oil trade position seems to reflect on the impact of oil price shocks on the inflation expectations and there is asymmetry and downwards inflation expectations rigidity. There is strong evidence of exchange rate pass-through to inflation expectations. Prevailing regimes of price stability can support to anchor future inflation expectations. Reduction in fiscal deficit and increases in money supply has a positive impact while unemployment has a negative impact on inflation expectations. The cumulative multiplier analysis showed that the impact of oil shock was symmetric in Sweden and Denmark but asymmetric in Norway which is a large net oil exporter. Besides the adoption of explicit inflation targeting regime by Sweden and Norway, the inflation expectations in the underlying economies are prone to the oil price shocks and macroeconomic determinants. These shocks pose a whole set of challenges to monetary authorities in these economies and the findings in the subject treatise provide some guidance on how each shock may transmit.     

我国的通胀形成机制:成因述评及全球化的分析框架

当前,对我国通货膨胀的形成机制多有争议,虽然各种观点各有侧重,但均强调经济全球化带来的影响和冲击。基于此,本文立足于全球化的视角,构建了一个逻辑分析框架,并将我国的通货膨胀问题置于此框架下进行探讨,分别从国内外产出缺口、全球流动性、大宗商品价格、货币供应、资产价格、人民币汇率和要素价格重估等角度,对我国通胀形成因素做了一般性分析,并据此得出了一些结论和启示。     

我国利率、货币供应量对物价的传导效应研究

摘要：本文利用STR模型考察了我国2000--2011年间货币供应量、利率与物价间的关系。研究表明,货币供应量和利率对物价的影响都是非线性的,其中货币供应量的影响是正向的,而且在不同经济状态下影响程度不同,在高利率水平下影响更突出;利率低时对物价的影响是负向的,此时加息是治理通货膨胀的有效手段,但当利率水平过高时,受制于“成本渠道”效应的影响,提高利率将进一步加剧通胀压力。因此,央行调控物价时应充分考虑所处的经济状态,合理选择两种不同的调控方式,以取得预期调控效果。     

Inflation responses to commodity price shocks – How and why do countries differ?

This paper relates the inflationary impact of commodity price shocks across countries to a broad range of structural characteristics and policy frameworks over the period 2001–2010, using several approaches. The analysis suggests that economies with higher food shares in CPI baskets, fuel intensities, and pre-existing inflation levels were more prone to experience sustained inflationary effects from commodity price shocks. Countries with more independent central banks and higher governance scores seem to have contained the impact of these shocks better. The effect of the presence of inflation targeting regimes, however, appears modest and not evident during the 2008 food price shock. The evidence suggests that trade openness, financial development, dollarization, and labor market flexibility do not significantly influence the way in which domestic inflation responds to international commodity price shocks.     

Price‐Level Targeting and Stabilization Policy

We construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. Our main result is that if the central bank pursues a price‐level target, it can control inflation expectations and improve welfare by stabilizing short‐run shocks to the economy. The optimal policy involves smoothing nominal interest rates that effectively smooths consumption across states.     

关于中国货币流通速度对通胀影响的几个事实的研究

该文比较研究了中国、美国和欧元区不同时期货币流通速度的变动特征。研究发现：货币流通速度在经济和金融危机期间急剧下降,使得巨量的货币供给在短期内并不会带来严重通货膨胀;货币流通速度通常会受到资产价格上升的抑制,在一定条件下,资产价格上升与通货膨胀之间存在替代关系;货币流通速度在长期（10年以上）呈U型,中国可能已经进入货币流通速度的上升期,等量的货币供应可能对应更高的通胀水平。