Inside–outside money competition

We study how competition from privately supplied currency substitutes affects monetary equilibria. Whenever currency is inefficiently provided, inside money competition plays a disciplinary role by providing an upper bound on equilibrium inflation rates. Furthermore, if “inside monies” can be produced at a sufficiently low cost, outside money is driven out of circulation. Whenever a ‘benevolent’ government can commit to its fiscal policy, sequential monetary policy is efficient and inside money competition plays no role.     

Inflation and monetary regimes

Correlations of inflation with the growth rate of money increase when data are averaged over longer time periods. Correlations of inflation with the growth of money also are higher when high inflation as well as low-inflation countries are included in the analysis. We show that serial correlation in the underlying inflation rate ties these two observations together and explains them. We present evidence that averaging increases the correlation of inflation and money growth in more when the underlying inflation rate has higher serial correlation.     

论货币与通胀关系的背离

长期以来,中国的货币增长和通货膨胀之间保持着良好的同步关系。但2010年下半年以来,这种稳定的关系似乎被打破,货币与通胀的同步关系出现趋势性背离。这无疑给经济预测以及宏观调控带来了极大的挑战。这种趋势性背离的根本原因是什么,未来这种背离是否仍将继续以及货币政策将如何应对,这些都是摆在我们面前的重要课题。本文将尝试从多个角度对这些问题进行剖析,以期得到若干基本结论和政策建议。     

Money and inflation in the euro area: A case for monetary indicators?

This paper examines inflation indicators for the euro area by studying the relationship between inflation, output, money and interest rates, using data spanning 1980–2001. The central finding is that both the output gap and the real money gap (the difference between the real money stock and the long-run equilibrium real money stock) contain considerable information regarding future inflation. In contrast, the Eurosystem's money-growth indicator (the difference between nominal money growth and a reference value), the prominent “first pillar” in its monetary strategy, contains little information about future inflation, and no information beyond that contained in the output and real money gaps. The predictive performance of the output gap has improved compared to that in a previous version of this paper, most likely because of better estimation methods.     

网络虚拟货币对货币供求的影响及效应分析

虚拟货币不是真正的货币。只要真实货币与虚拟货币处于两个不同的市场,虚拟货币就不可能引发现实的通货膨胀,虚拟货币的发行也不会对货币发行产生严重冲击。但是,目前虚拟货币已经不满足于"虚拟"世界,逐渐进入现实流通领域。我们应当正视虚拟货币对货币供求的负面影响。中央银行需要构建专门应用于网络虚拟货币的新型交易平台,建立网络消费者虚拟资金存款账户,保证中央银行调控网络虚拟货币的力度和弹性。     

我国货币供应与投资的关系问题研究

本文将我国货币供应、投资支出和经济增长纳入统一模型,实证分析了三个变量之间的关系。研究发现:无论从长期还是短期来看,投资、货币供给拉动经济增长的作用都不能达到因果检验的显著性要求,反映了我国经济的价格弹性较高,投资的高速增长不能完全解释我国经济增长的动力源泉;我国投资高速增长的根源来自经济增长形成的高储蓄,而非货币刺激;货币供应高速增长在很大程度上是被动适应投资和经济发展需求的增长。因此,我国货币政策制定应以保持投资和经济增长稳定发展为重要目标,而不应以刺激投资与经济增长为目的,否则可能会引致通货膨胀上升,增加经济运行成本和降低经济发展质量。应保持基础领域和改革创新领域投资增速的稳定,并鼓励和引导民间投资,改善国内投资环境,以增强经济发展的活力。     

Common stock returns,real activity,money, and inflation: Some international evidence

This paper tests whether the negative relationship between real stock returns and inflation in the United States is in fact proxying for a positive relationship between stock returns and real activity variables in six major industrial countries over 1966–1979. Consistent with Fama's ‘proxy-effect’ hypothesis, we document a negative relationship between inflation and real activity and a positive one between real stock returns and real activity variables. Real activity variables dominate money growth rates and expected and unexpected inflation in explaining real stock returns. A puzzling result that still remains is the positive role of money and the negative role of expected inflation in explaining these real stock returns in all major industrial countries.     

Commodity money inflation: theory and evidence from France in 1350–1436

This paper presents a theory of inflation in commodity money and supports it by evidence from inflationary episodes in France during the 14th and 15th centuries. The paper shows that commodity money can be inflated similarly to fiat money through repeated debasements, which act like devaluations. Furthermore, as with fiat money, demand for commodity money falls with inflation. However, at high rates of inflation demand for commodity money becomes insensitive to inflation, since commodity money has intrinsic value in addition to its transactions value. Finally, we show that anticipated stabilization reduces demand for commodity money.     

Comment on: “Inflation dynamics with search frictions: A structural econometric analysis” by Krause, Lopez-Salido and Lubik

The implications of search frictions on the inflation dynamics are shown here for the case with wage adjustments typically belonging to the New Keynesian model, not to the Mortensen–Pissarides framework. In that model variant, I identify the role of search frictions by an additional term entering the slope coefficient of the inflation equation. After a numerical exercise, I find results that are in line with those obtained by Krause et al. [2008. Inflation dynamics with search frictions: a structural econometric analysis. Journal of Monetary Economics 55, doi:10.1016/j.jmoneco.2008.05.003.].     

近十年中国通货膨胀成因的实证分析

近年来,如何防范和治理通货膨胀已成为中国宏观经济领域亟需解决的一项重大课题,而治理通胀的关键在于对其形成原因的科学把握。本文选取CPI和PPI作为通货膨胀的衡量指标,以产出缺口、货币供应量、国际大宗商品价格、超额工资水平、资产价格、汇率水平六大因素作为解释变量,运用向量自回归(VAR)、脉冲响应和方差分解的方法,对2000-2011年中国通货膨胀的形成原因进行实证分析,得到了各项因素的作用大小、作用时滞和传导链条的顺序,最后提出了相应的政策建议。     

Financial innovation and Divisia monetary indices in Taiwan: a neural network approach

In this paper a weighted index measure of money using the ‘Divisia’ formulation is constructed for the Taiwan economy and its inflation forecasting potential is compared with that of its traditional simple sum counterpart. This research extends an earlier study by Gazely and Binner by examining the theory that rapid financial innovation, particularly during the financial liberalization of the 1980s, has been responsible for the poor performance of conventional simple sum monetary aggregates. The Divisia index is adjusted in two ways to allow for the major financial innovations that Taiwan has experienced since the 1970s. The technique of neural networks is used to allow a completely flexible mapping of the variables and a greater variety of functional form than is currently achievable using conventional econometric techniques. Results suggest that superior tracking of inflation is possible for networks that employ a Divisia M2 measure of money that has been adjusted to incorporate a learning mechanism to allow individuals to gradually alter their perceptions of the increased productivity of money. Divisia measures of money appear to offer advantages over their simple sum counter parts as macroeconomic indicators.     

How Important Is Money in the Conduct of Monetary Policy?

I consider some of the leading arguments for assigning an important role to tracking the growth of monetary aggregates when making decisions about monetary policy. First, I consider whether ignoring money means returning to the conceptual framework that allowed the high inflation of the 1970s. Second, I consider whether models of inflation determination with no role for money are incomplete, or inconsistent with elementary economic principles. Third, I consider the implications for monetary policy strategy of the empirical evidence for a long‐run relationship between money growth and inflation. And fourth, I consider reasons why a monetary policy strategy based solely on short‐run inflation forecasts derived from a Phillips curve may not be a reliable way of controlling inflation. I argue that none of these considerations provides a compelling reason to assign a prominent role to monetary aggregates in the conduct of monetary policy.     

World money or domestic money: Which predicts US inflation best?

In this paper I demonstrate that McKinnon and Tan's result that world money outperforms US money in explaining US inflation is sensitive to their choice of price index. When inflation is measured by the US CPI or GNP Deflator, US money outperforms world money in explaining US inflation.     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。     

Modelling the demand for M3 in the Euro area

Modelling monetary transmission is central to understanding the role of monetary policy in the Euro area, and money demand is commonly seen as a link in that transmission mechanism. Since the beginning of the 1990s, many studies have suggested that the demand for Euro area broad money is stable over the long run because the estimation of an area-wide demand for money function provides an appropriate solution to a number of potential causes of misspecification of the single-country relations (such as spillover effects and currency substitution), and enjoys the positive consequences of a statistical averaging effect. On the other side, it must be stressed that previous benefits can be achieved at the risk of introducing parameter heterogeneity into the area-wide relationship. In order to shed some light on the issue, this study is first devoted to an analysis of the main econometric features of the money M3 demand at Euro area and single country levels, then it compares the two sets of results in a common framework that, differently from all previous studies, explicitly takes account of the potential nonstationarity of the variables of interest in both estimation and testing phases. The comparison shows that the area-wide money demand is more smooth and less subject to shocks than the single-country ones. Finally, a number of poolability tests run over subgroups highlight that low precision associated with the estimates of the parameters of the national models makes it impossible to exclude that their long-run specifications do in fact coincide.     

Financial sophistication and the distribution of the welfare cost of inflation

The welfare cost of anticipated inflation is quantified in a calibrated model of the U.S. economy that exhibits tractable equilibrium dispersion in wealth and earnings. Inflation does not generate large losses in societal welfare, yet its impact varies noticeably across segments of society depending also on the financial sophistication of the economy. If money is the only asset, then inflation mostly hurts the wealthier and more productive agents, while those poorer and less productive may even benefit from inflation. The converse holds in a more sophisticated financial environment where agents can insure against consumption risk with assets other than money.     

How should Central Banks determine and control their bank note inventory?

This paper looks at a relatively unresearched but important area in money and banking – namely the provision of currency by the Central Bank. One of the most important functions of Central Banking is the provision of liquidity to the economy. However, in fulfilling this function, Central Banks have to be prepared for unexpected money demand shocks as well as production, transportation and cost of capital constraints. The paper develops a dynamic cost minimizing note inventory model that solves for the Central Bank’s optimal note order size and frequency. As part of the modeling exercise a value at risk model is used to solve for an inventory “cushion.”     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。     

货币因素、供给冲击与中国通胀动态特征

本文将以货币供应量和汇率为代表的货币因素、供给因素以及需求因素引入菲利普斯曲线建立了新凯恩斯混合菲利普斯曲线,并利用1995年第1季度～2013年第2季度的数据来实证分析不同因素对于我国通货膨胀动态衍化的影响。研究表明：前瞻性预期与通货膨胀惯性对于我国通货膨胀的影响同时存在,但是前瞻性预期对于我国通货膨胀的影响较大;其次,货币供应量变动对于我国通货膨胀率影响具有最重要的作用,而代表需求因素的产出缺口以及代表供给冲击的原油价格对于我国通货膨胀的影响很小;最后,人民币实际汇率升值对通货膨胀可以产生一定的抑制作用,但作用不大。     

高货币化、通货膨胀预期与通货膨胀

通货膨胀成为信用货币经济中循环往复的问题,货币是症结关键。通过建立包含货币缺口和收入差距的凯恩斯Phillips曲线理论模型,利用中国1979-2010年的数据实证得出:货币化通过两种途径作用于通货膨胀,一是通过扩大货币缺口、直接推动当期物价上升,二是高货币化导致了较高的通货膨胀预期,这种预期又推动了通货膨胀的自我实现。因此,在经济平稳发展情况下,货币化是一个金融发展程度指标,但在严重依赖货币扩张推动经济增长的情况下,货币化却可能是货币超发的指标,与通货膨胀存在着密切关系。