美国政策再宽松、美元陷阱与我国中期政策选择

文章在深入分析美国政策再宽松可能带来的美元贬值和通胀风险的基础上,指出了我国经济所面临的增长放缓与美元贬值的内外挑战,并从主动调节经济增速与加快经济结构调整等方面对化解上述困境提出了针对性的政策建议。     

强势美元政策：有效性检讨与可持续性分析

强势美元政策保证了外资对美国的强劲流入,支撑了美国的低通货膨胀,弥补了美国的储蓄———投资缺口和对外贸易逆差,巩固了美元的全球霸权地位,总之,强势美元政策促进了美国的经济增长。由于美国存在对强势美元政策的依赖性及美元的全球霸权地位没有受到实质性的挑战,在可预见的将来,强势美元政策仍会持续也仍可持续,美国仍将实行强势美元政策。     

The dynamics of economic growth,oil prices,stock market depth,and other macroeconomic variables: Evidence from the G-20 countries

This paper examines the linkages between economic growth, oil prices, depth in the stock market, and three other key macroeconomic indicators: real effective exchange rate, inflation rate, and real rate of interest. We employ a panel vector autoregressive model to test Granger causality for the G-20 countries over the period 1961–2012. A novel approach to this study is that we clearly demarcate the long-run and short-run relations between the economic variables. The results show a robust long-run economic relationship between economic growth, oil prices, stock market depth, real effective exchange rate, inflation rate, and real rate of interest. In the long run, real economic growth is found to respond to any deviation in the long-run equilibrium relationship that is found to exist between the different measures of stock market depth, oil prices, and the other macroeconomic variables. In the short run we find a complex network of causal relationships between the variables. While the empirical evidence of short-run causality is mixed, there is clear evidence that real economic growth responds to various measures of stock market depth, allowing for real oil price movements and changes in the real effective exchange rate, inflation rate, and real rate of interest.     

Emerging market exchange rates during quantitative tapering: The effect of US and domestic news

We analyze the impact of domestic and US-based news announcements of a large set of economic and policy-related fundamentals on the US dollar versus the Turkish lira exchange rate from 2013 to 2016. Since exchange rate behavior is closely related to political trust, we also incorporate the effect of domestic and global political uncertainty, using country indices based on Google search results. Contrary to previous findings, our results reveal that surprises related to the domestic economy have a greater effect on the exchange rate compared to surprises related to the US economy. Most important are the surprises related to domestic inflation and monetary policy, as well as foreign employment, while political uncertainty plays a minor role. There is also an asymmetry in the market response. Bad news about the US economy has more impact than good news, and good news about the domestic economy has more impact than bad news.     

美国第二轮量化宽松货币政策的影响及中国对策

美联储第二轮量化宽松货币政策预计对美国经济的刺激作用有限,并会对其他国家特别是新兴市场带来较严重的负面溢出效应。其中,美元泛滥可能引发较为严重的通货膨胀,并刺激贸易保护主义抬头。中国需要采取＂堵疏结合、攻防有序＂的手段,严格监控风险度高的短期流动资金,将长期资金流入有效疏导到金融短板加以利用,力保经济平稳较快发展。同时,应加强与国际社会的协作,对美国量化宽松政策形成一定的制约。     

An open-economy macro-finance model of international interdependence: The OECD,US and the UK

This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies as well as the US Treasury bond market using latent variables to represent a common inflation trend and a US real interest rate factor. We find strong evidence of global effects on both the US and UK, calling into question the standard closed economy macro-finance specification. These economic linkages also help to explain the co-movement of yields in the US and UK Treasury bond markets.     

美元影响油价的国际货币职能视角

本文发现美元对油价的影响在2001年前不明显,2001年后明显增强。针对这种现象,我们重新考察了美元对油价的影响机制。认为美元主要通过其在国际上承担的三种职能来影响油价,其中计价与价值储存效应为负,结算效应为正;2001年以前,价值储存效应比较弱,计价与结算两者效应一负一正倾向于相互抵消;而2001以后,价值储存效应明显加大,三种效应两负一正,美元对油价的负面影响显著提高。另外,分析表明中国因素不重要。     

Inflation,Output Growth,and Their Uncertainties: Empirical Evidence for a Causal Relationship from European Emerging Economies

In this paper, we analyze the causality among inflation, output growth, and their uncertainties in all European countries with emerging economies. For these countries, high uncertainty regarding economic growth during the current economic and financial crisis that started in 2008 caused their governments to increase their efforts to sustain growth, and to maintain a low level of inflation. Of the twelve possible hypotheses regarding the causal relationships among inflation, output growth, and their uncertainties, we consider five relationships for which we find strong theoretical arguments and empirical evidence in the literature. The empirical evidence strongly supports the Friedman-Ball hypothesis that inflation Granger-causes inflation uncertainty. For the other four tested hypotheses, fewer significant causal relationships are obtained.     

人民币在东亚区域货币“锚”效应及其影响因素研究

本文运用状态空间模型的时变参数回归,测度2005年7月21日-2018年9月30日不同阶段人民币在东亚区域的货币"锚"效应,并利用变截距固定效应面板模型对人民币在东亚区域内货币"锚"效应的多重影响因素进行分析。研究表明,美元在东亚区域内货币"锚"效应略有下降,但仍然难以取代;欧元和英镑在东亚区域内货币"锚"效应下降很大;而日元近几年在东亚区域内货币"锚"效应显著提升;人民币在东亚区域的货币"锚"效应自2010年以来显著提升,大部分时期已经接近美元的水平,但很容易受国际经济形势和突发事件的影响。东亚其他国家和地区与中国大陆的经济增长率差异、通货膨胀率差异、利率差异,东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度都对人民币在东亚区域发挥"锚"效应有显著影响。其中,东亚其他国家和地区与中国大陆经济周期同步性、东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度是推动人民币在东亚区域内货币"锚"效应提升的最主要因素。     

Risk management,nonlinearity and aggressiveness in monetary policy: The case of the US Fed

We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: (i) risk in the inflation outlook and in financial markets are a more powerful driver of monetary policy regime changes than variables typically suggested in the literature, such as the level of inflation and the output gap; (ii) estimation of regime switching models shows that the response of the US Fed to the inflation outlook is invariant across policy regimes; (iii) however, in periods of high economic risk monetary policy tends to respond more aggressively to the output gap and the degree of inertia tends to be lower than in normal circumstances; and (iv) the US Fed is estimated to have responded aggressively to the output gap in the late 1980s and beginning of the 1990s, and in the late 1990s and early 2000s. These results are consistent with Mishkin (2008)’s view that in periods of high economic risk monetary authorities should respond aggressively to changes in macroeconomic conditions while the degree of inertia should be lower than in normal circumstances.     

COVID-19 pandemic,oil prices,stock market,geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers.     

Measuring the effects of dollar appreciation on Asia: A FAVAR approach

Exchange rate shocks have mixed effects on economic activity in both theory and empirical VAR models. In this paper, we extend the empirical literature by considering the implications of a positive shock to the U.S. dollar in a factor-augmented vector autoregression (FAVAR) model for the U.S. and three large Asian economies: Korea, Japan and China. The FAVAR framework allows us to represent a country’s aggregate economic activity by a latent factor, generated from a broad set of underlying observable economic indicators. To control for global conditions, we also include in the FAVAR a “global conditions index,” which is another latent factor generated from the economic indicators of major trading partners. We find that a dollar appreciation shock reduces economic activity and inflation not only for the U.S. economy, but also for all three Asian economies. This result, which is robust to a number of alternative specifications, suggests that in spite of their disparate economic structures and policy regimes, the dollar appreciation shock affects the Asian economies primarily through its impact on U.S. aggregate demand; and this demand channel dominates the expenditure-switching channel that affects a country’s export competitiveness.     

Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS

This paper proposes a continuous-time term-structure model under stochastic differential utility with non-unitary elasticity of intertemporal substitution (EIS, henceforth) in a representative-agent endowment economy with mean-reverting expectations on real output growth and inflation. Using this model, we make clear structural relationships among a term structure of real and nominal interest rates, utility form and underlying economic factors (in particular, inflation expectation). Notably, we show that, if (1) the EIS is less than one, (2) the agent is comparatively more risk-averse relative to time-separable utility, (3) short-term interest rates are pro-cyclical, and (4) the rate of expected inflation is negatively correlated with the rate of real output growth and its expected rate, then a nominal yield curve can have a low instantaneous riskless rate and an upward slope.     

Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets

This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for 15 countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market is in both up and down modes. In terms of oil sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil price in the short run, when the price is expressed in local currency only. Basically no country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Nine countries are affected by changes in the exchange rate. In terms of relative factor sensitivity distribution, one is willing to conclude that these stock markets are more conditionally sensitive to local currency oil price changes than to beta risk wherever the relationships are significant.     

美元国际化及对中国的借鉴

美元的国际霸权是历史形成的。美国的经济实力及综合国力是美元国际霸权形成的基础,两次世界大战等事件为美元的发展提供了契机,加速了美元霸权的形成。本报告从历史的角度,回顾了美元国际化演进过程的五个阶段,分析了促成美元国际化的几个重要因素,总结了美元国际化对中国的借鉴意义。     

Stock and bond joint pricing,consumption surplus,and inflation news

In this paper, Bekaert et al.’s (2010) model is modified by allowing consumption growth to depend on dividend yield rather than dividend growth. With a simplified inflation dynamic, the general equilibrium model is characterized by a system of linear and affine stochastic equations. From these equations, a closed-form solution jointly pricing equity and bonds is derived. The generalized method of moments is used to demonstrate that our model’s calibrated moments broadly match the first and second moments of stocks, bonds, and other macroeconomic variables in the US. Our estimated equity premium is 6.0%, which closely matches its actual value of 5.6%. The predicted risk aversion is countercyclical. Moreover, an out-of-sample test indicates the significant improvement of predictive power on the price–dividend ratio over Campbell and Cochrane’s (1999) model. Our model can further capture the dramatic increase in the price–dividend ratio after the 1990s.     

Monetary policy, ‘dollarization,’ and parallel market exchange rates: The case of the Dominican Republic

Excessive money creation may give rise to inflation tax revenues and to a depreciation of the domestic currency. this in turn leads to a shift away from the domestic currency into a foreign currency (e.g., the US dollar, hence the term ‘dollarization’). From the domestic monetary authority's point of view, ‘dollarization’ is an unwelcomed phenomenomn, thus the monetary authorities will attempt to arrest the ‘dollarization’ phenomenon while maintaining the excessive money growth. This paper develops and tests a model which analyzes the effects of monetary policy on dollarization and the ‘parallel’ market exchange rates.     

风雨飘摇环境下的美元汇市

在次贷危机日益恶化的背景下,美元不跌反升,出人意料。面对美国经济和信心再次转弱的可能,此次美元反弹与其说有基本面的支持,不如说靠技术面的推动。美元汇率大幅波动给世界经济带来冲击。美国政府的更迭,总是伴随各项政策的变动,从而引发美元的波动。为了避免对全球产生不利影响,美国当局有责任确保美元汇率的基本稳定,促进世界经济尽快走出衰退阴影。     

2010年1月国际金融市场运行综述

2010年1月，受投资者避险情绪升温影响，美元对主要货币总体走强，具体来看，美元对欧元、英镑走强，对日元走弱。因各主要经济体中央银行继续保持宽松的货币政策，美元、欧元、日元短期利率微降，而英镑短期利率因意外强劲的通胀数据而出现微升。主要国家中长期国债收益率总体下降；全球主要股指冲高后大幅回落。     

Causal relations among stock returns and macroeconomic variables in a small,open economy

We investigate to what extent important results on relations among stock returns and macroeconomic factors from major markets are valid in a small, open economy by utilizing the multivariate vector autoregressive (VAR) approach on Norwegian data. Unlike many previous studies, which use a different methodology on other European markets, we establish several significant links. Consistent with US and Japanese findings, real interest rate changes affect both stock returns and inflation, and the stock market responds accurately to oil price changes. On the other hand, the stock market shows a delayed response to changes in domestic real activity.