中国的通货膨胀:外部冲击抑或货币超发——基于贝叶斯向量自回归样本外预测模型的实证

本文运用贝叶斯向量自回归样本外预测模型分析了中国通货膨胀的诱发因素,发现本轮通货膨胀的最主要原因是近年来中国货币过度发行,而外部冲击则是次要原因。在外部冲击中,国际食品价格变化对中国通货膨胀的影响较大,国际石油价格变化影响较弱。Diebold-Mariano(D-M)检验也表明包含货币供应量的贝叶斯向量自回归样本外预测模型对通货膨胀的预测能力要高于其他模型,开放经济模型对中国通货膨胀分析有较好的适用性。     

外部需求冲击、美联储政策取向与中国通货膨胀动态北大核心CSSCISSCI

本文利用新开放宏观经济模型研究经济全球化过程中,外部需求冲击与美联储政策取向对中国通货膨胀动态的影响及最优政策应对机制。研究发现:(1)美联储政策取向对中国通货膨胀具有重要影响,也相应影响中国货币当局最优政策选择。(2)若美联储为相机抉择的政策制定者,则"浮动汇率+利率规则"是中国最优的政策选择;若美联储为强硬反通胀的政策制定者,则固定汇率制度是中国最优的政策选择。(3)货币政策是否具有可信性是决定中国最优政策选择的核心,增强政策可信性并建立强硬反通胀的政策声誉能够稳定中国的通货膨胀。(4)汇率制度选择并不必然遵循由固定到中间再到浮动的唯一路线,中国货币当局应根据外部冲击、美联储的政策取向做出具体选择。本研究不仅能够为中国经济全球化过程中最优货币政策选择提供理论参考,同时也能够为全球量化宽松背景下以及美联储退出量化宽松时,中国最优货币政策选择提供理论上的借鉴。     

中国输入型通货膨胀的实证研究

近期中国的通货膨胀日益严重。处于大的开放国际环境之中,中国物价水平受国际因素的影响也越来越明显。文章运用OLS模型,VAR模型及方差分解,得出中国本轮的通货膨胀主要为输入型,并提出建议。     

中国输入型通货膨胀的实证研究

近期中国的通货膨胀日益严重。处于大的开放国际环境之中,中国物价水平受国际因素的影响也越来越明显。文章运用OLS模型,VAR模型及方差分解,得出中国本轮的通货膨胀主要为输入型,并提出建议。     

资本账户开放对通货膨胀的影响——基于1990-2008中国数据的实证分析

资本账户开放对通货膨胀的影响在国际经济领域一直存在争论.本文在梳理现有文献的基础上,对1990-2008年中国数据进行实证分析.通过建立我国通货膨胀与中美利率差异、资本账户开放阶段性政策变化虚拟变量之间的计量模型,发现以中美利率差异为代表的国际资本流动与通货膨胀之间正相关,即国际资本流入越多,国内通货膨胀越高;以经常项目开放和加入WTO为标志的资本账户开放阶段性变化的虚拟变量与通货膨胀负相关,说明资本账户开放本身能够降低我国的通货膨胀.     

开放条件下中国通货膨胀的治理政策建议——基于通胀传导机制角度

本文在总结国内学者对通货膨胀治理政策的若干观点和开放条件下通货膨胀的国内外经济政策环境基础上,分析了通货膨胀在开放条件下的新特征及未来可能的传导机制,并提出了面对目前的经济形势,如何从通货膨胀传导机制的各个环节入手预防通货膨胀的政策建议.     

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。     

开放条件下中国通货膨胀的治理政策建议——基于通胀传导机制角度

本文在总结国内学者对通货膨胀治理政策的若干观点和开放奈件下通货膨胀的国内外经济政策环境基础上，分析了通货膨胀在开放条件下的新特征及未来可能的传导机制，并提出了面对目前的经济形势，如何从通货膨胀传导机制的各个环节入手预防通货膨胀的政策建议。     

中国货币政策目标制的选择——基于开放经济体的实证

本文使用开放经济下的新凯恩斯模型实证分析了开放经济体中不同的货币政策目标制。结果表明,面对国内利率政策、技术、国外通货膨胀、国外产出和国外实际利率冲击时,由灵活通货膨胀目标、资本自由流动和完全浮动的汇率构成的货币政策目标体系能够有效吸收冲击,减缓经济波动。相比而言,严格通胀目标制无法有效吸收国内外冲击,所以我国在开放经济下选择货币政策目标时,并不一定要选择严格通货膨胀目标,可以选择一些灵活通货膨胀目标的政策框架。此外,能够有效吸收各种冲击的灵活通胀目标、资本自由流动和完全浮动汇率制组成的目标体系也为我国货币政策和汇率制度改革提供了方向。     

我国输入型通货膨胀传导机制的实证分析

在经济愈加开放的背景下,由国际贸易和国际资本投资引发的输入型通货膨胀在我国物价波动中所产生的影响不容忽视。本文通过梳理输入型通货膨胀的传导机制,分解出四个主要影响因子,建立了输入型通货膨胀分布滞后模型进行实证检验。研究结果表明：2007年至今输入型通货膨胀是我国通货膨胀的重要原因,其中价格传递机制影响较直接,国际收支差额传递机制和国际资本流动传递机制影响是间接和滞后的,汇率因具有传递作用对我国输入型通胀水平影响程度最大。     

Inflationary finance in an open economy

Models of inflationary finance that consider trade and capital flows generally conclude that openness curtails the ability of governments to impose the inflation tax due to currency substitution. This paper models two channels that allow central banks to increase inflation tax revenue by opening the economy. First, central banks can open the capital account subject to a reserve requirement on capital inflows. Revenue maximization produces a smaller reserve requirement on foreign capital inflows that on domestic deposits. Second, central banks can impose prior import deposits to broaden the monetary base in order to use the inflation tax on imports as an alternative to tariff revenue.     

The high-frequency impact of news on long-term yields and forward rates: Is it real?

Macroeconomic news announcements move yields and forward rates on nominal and index-linked bonds and inflation compensation. This paper estimates the reactions using high-frequency data on nominal and index-linked bond yields, allowing the effects of news announcements on real rates and inflation compensation to be parsed far more precisely than is possible using daily data. Long-term nominal yields and forward rates are very sensitive to macroeconomic news announcements. Inflation compensation is sensitive to announcements about price indices and monetary policy. However, for news announcements about real economic activity, such as nonfarm payrolls, the vast majority of the sensitivity is concentrated in real rates. Accordingly, most of the sizeable impact of news about real economic activity on the nominal term structure of interest rates represents changes in expected future real short-term interest rates and/or real risk premia rather than changes in expected future inflation and/or inflation risk premia. Such sensitivity of real rates to macroeconomics news is hard to rationalize within the framework of existing macroeconomic models.     

Optimal fiscal and monetary policy in an economy without capital

This paper is concerned with the structure and time-consistency of optimal fiscal and monetary policy in an economy without capital. In a dynamic context, optimal taxation means distributing tax distortions over time in a welfare-maximizing way. For a barter economy, our main finding is that with debt commitments of sufficiently rich maturity structure, an optimal policy, if one exists, is time-consistent. In a monetary economy, the idea of optimal taxation must be broadened to include an ‘inflation tax’, and we find that time-consistency does not carry over. An optimal ‘inflation tax’ requires commitment by ‘rules’ in a sense that has no counterpart in the dynamic theory of ordinary excise taxes. The reason time-consistency fails in a monetary economy is that nominal assets should, from a welfare-maximizing point of view, always be taxed away via an immediate inflation in a kind of ‘capital levy’. This emerges as a new possibility when money is introduced into an economy without capital.     

人民币汇率变动对我国通货膨胀的影响：汇率传递视角的研究

在开放经济条件下,汇率变动对一国通货膨胀水平的决定具有重要作用。本文利用自回归分布滞后(ARDL)模型研究了人民币汇率变动对以消费者价格指数(CPI)衡量的国内通货膨胀的传递效应。研究结果表明,人民币汇率变动对以CPI衡量的通货膨胀水平的传递是不完全的且存在明显的时滞,长期和短期汇率传递效应都很低;汇率变动对我国CPI的传递效应受食品价格冲击的影响非常大。本文的研究结论对于我国的汇率制度改革和货币政策实施等具有重要的启示意义。     

Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?

In this paper, we study how the comovement between cryptocurrencies and the U.S. inflation expectation rates has changed during the post-reopening of the U.S. economy after the Covid-19 crisis. To do so, we develop a new concept of “exceedance co-kurtosis” which allows us to quantify asymmetry in strong comovement between each cryptocurrency and the inflation expectation rate. The key findings are as follows. First, we show the change in the co-kurtosis asymmetry for major cryptocurrencies: the downside co-kurtosis was higher than the upside co-kurtosis but it decreased after the reopening of the economy. Although the unconditional correlations between cryptocurrencies and the inflation expectation rates remain very low, our results indicate that the major cryptocurrencies become a slightly better inflation hedge after the reopening. Second and more interestingly, the results do not depend on whether a cryptocurrency has a cap on maximum supply or not. Therefore, treating the major cryptocurrencies as digital commodities could be misleading from the viewpoint of portfolio optimization.     

我国利用外商直接投资的经济效应分析

改革开放以来,我国外商直接投资增长迅速。外商直接投资可以拉动我国经济增长;外商直接投资会使我国进出口量增加;外商直接投资会使我国通货膨胀压力加大;外商直接投资对就业具有促进作用。总之,外商直接投资对经济既有正面影响,又有负面影响,因此,我们不能盲目引进外资,而要合理利用外资。     

通胀目标调整、政策可信度与宏观调控效应北大核心

本文通过构建包含范式转变特征的DSGE模型,对通胀目标调整过程中的结构性变化以及政策可信度如何影响这一结构转变进行研究,并在此基础上分析通胀目标调整过程中政策可信度对宏观经济波动的调控效应。本文分析得到:在政策当局做出政策目标调整后,如果市场预期这一政策可信,那么主要经济变量将会在政策调整期内达到目标均衡水平;反之,如果市场预期这一政策不可信,那么市场预期和政策目标之间的分歧将使得主要经济变量偏离目标均衡水平,导致政策调整无法实现其既定目标。同时,政策可信度不仅有助于实现既定的政策目标,还能降低政策实施过程中的经济波动,具有较好的宏观调控效应,从而降低政策实施成本。特别是,政策可信度对宏观经济波动的这一稳定效应在中长期内更为明显。本文分析为理解经济结构性转变过程中的政策信用和预期管理等问题提供了一些新的思路和方法。     

Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion

A stylized fact of U.S. inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and monetary policy are somewhat unpalatable. Our econometric analysis proposes a parsimonious univariate representation of the inflation process for the last 60 years, the nonlinear exponential smooth autoregressive. The empirical results confirm a number of the key features such as global stationarity, local unit root behavior, and lower persistence in the post-1983 period than in the pre-1983 period. We compare the forecasting ability of our model with that of competing univariate models and find that the nonlinear model outperforms the linear autoregressive model in the pre-1983 period and the random walk in the post-1983 period at short horizons.     

Money and capital

The effects of money (anticipated inflation) on capital formation is a classic issue in macroeconomics. Previous papers adopt reduced-form approaches, putting money in the utility function, or imposing cash in advance, but using otherwise frictionless models. We follow instead a literature that tries to be explicit about the frictions making money essential. This introduces new elements, including a two-sector structure with centralized and decentralized markets, stochastic trading opportunities, and bargaining. These elements matter quantitatively and numerical results differ from findings in the reduced-form literature. The analysis also reduces a gap between microfounded monetary economics and mainstream macro.     

通货膨胀不确定性文献评述

通货膨胀不确定性是扭曲微观经济主体的决策行为,产生通货膨胀社会成本的一个重要因素,研究通货膨胀不确定性与通货膨胀水平、经济活动以及货币政策规则之间的关系能为货币当局提供决策支持。本文从理论模型和实证研究两个方面对通货膨胀不确定性的文献进行梳理与评述,并探讨当前通货膨胀的成因与对策。