信贷增长如何影响中国的收入和财富不平等

本文基于中国家庭追踪调查(CFPS)数据考察了信贷增长对中国家庭收入和财富不平等的影响。整体而言，信贷增长可以缩小家庭收入不平等，主要作用机制是信贷增长通过提高中低收入群体的劳动收入和单位时薪以缩小劳动收入不平等。同时，文献中所发现的信贷增长可能恶化收入不平等的机制——扩大家庭间非货币金融资产差距，在我国表现并不明显，原因在于中国家庭的非货币金融资产比例较低，这一点对于高收入家庭也不例外，且大部分家庭难以从金融资产交易中获利。信贷增长带来了各个收入组的房屋价值上涨，但高收入家庭房产价值上涨的幅度高于中低收入家庭，因此房价上涨扩大了不同收入家庭所持有的房产价值差异。考虑到家庭调查数据往往对高收入家庭的收入和财产覆盖不完整，上述结论可能低估了信贷增长对极少数高收入家庭收入和资产的影响。本文有助于更好地理解我国信贷增长对收入分配问题的影响，为相关政策制定提供了一定启示。     

The Effect of Monetary Policy on Consumption Inequality: An Analysis of Transmission Channels through TANK Models

What transmission channels drive the effect of monetary policy on consumption inequality? This paper investigates this question with tractable Two-Agent New Keynesian models with search-and-matching frictions and wage rigidities. I make a distinction between credit-constrained households and unconstrained households and find that an expansionary monetary policy shock decreases consumption inequality between those two households through three channels: (i) the income composition channel, through fluctuations in labor and profit income; (ii) the savings redistribution channel, through fluctuations in real interest rate; and (iii) the earnings heterogeneity channel, through fluctuations in unemployment. The results are in line with the empirical evidence.     

Innocent Bystanders? Monetary policy and inequality

We study the effects of monetary policy shocks on—and their historical contribution to—consumption and income inequality in the United States since 1980 as measured by the Consumer Expenditure Survey. Contractionary monetary policy systematically increases inequality in labor earnings, total income, consumption and total expenditures. Furthermore, monetary policy shocks account for a non-trivial component of the historical cyclical variation in income and consumption inequality. Using detailed micro-level data on income and consumption, we document some of the different channels via which monetary policy shocks affect inequality, as well as how these channels depend on the nature of the change in monetary policy.     

Does Monetary Policy Affect Income Inequality in the Euro Area?

This paper examines how the ECB's expansionary monetary policy affects income inequality in 10 euro area countries over the period 1999–2014. We distinguish two channels—labor-market and financial—through which monetary policy can have distributional effects. The labor-market channel is captured by wages and employment and the financial channel by asset prices and returns. We find that expansionary monetary policy in the euro area reduces income inequality, especially in the periphery countries. The labor-market channel enhances the equalizing effect: monetary expansion reduces income inequality stronger by raising wages and employment. There is limited evidence for the financial channel.     

Monetary Policy and Inequality

We analyze the distributional effects of monetary policy on income, wealth, and consumption. We use administrative household-level data covering the entire population in Denmark over the period 1987 to 2014 and exploit a long-standing currency peg as a source of exogenous variation in monetary policy. We find that gains from softer monetary policy in terms of income, wealth, and consumption are monotonically increasing in ex ante income. The distributional effects reflect systematic differences in exposure to the various channels of monetary policy, especially nonlabor channels (e.g., leverage and risky assets). Our estimates imply that softer monetary policy increases income inequality.     

Factors affecting monetary policy in an era of inflation

A money supply-reaction function is developed and estimated within the context of an IS-LM framework to test the responsiveness of the Federal Reserve to the government budget restraint and certain parameters of the model. The results reveal that a large portion of the recent expansion of the monetary base may be attributed to increases in government debt and provide an essential first step in quantifying the inflationary impact of deficits. The monetary base is also expanded in response to increases in inflationary expectations and previous increases in the monetary base, but is not statistically correlated to changes in the unemployment rate or potential national income, or to rises in interest rates caused by sources other than higher inflationary expectations, previous monetary policy, or the Treasury borrowing requirement.     

Unemployment and monetary policy under rational expectations: Some Canadian evidence

The policy implications of combining rational expectations with the natural rate of unemployment hypothesis are reviewed. A monetary policy feedback rule is estimated on Canadian data for the period 1927–1972. The residuals from the regression serve as the unanticipated components of monetary policy while predicted values serve as expected monetary growth. An unemployment equation is then developed in which the unemployment rate is allowed to be influenced by expected and unexpected monetary policy and fiscal and foreign spending. The evidence confirms the hypothesis that it is unanticipated monetary policy that affects unemployment and that anticipated monetary growth plays no significant role.     

收入不平等、政府支出与实际汇率——基于跨国面板数据的研究

已有较多研究讨论了实际汇率的决定因素,而从收入不平等角度出发的研究并不多。本文搜集和整理了172个国家和地区1970年到2016年的跨国面板数据,分析了收入不平等对一国实际汇率的影响,并引入政府支出探究了收入分配对非贸易品部门和实际汇率的影响机制。实证检验结果表明,对于非OECD国家,收入不平等和实际汇率显著负相关,即收入越不平等,实际汇率高估越严重,而在OECD国家中这一现象并不存在。进一步的影响机制分析发现,对于非OECD国家,一国收入不平等加剧会导致该国政府支出增多,从而扩大了非贸易品部门规模,导致非贸易品的相对价格上升,使得实际汇率高估。     

基于CPI视角的货币政策有效性研究

CPI作为衡量通货膨胀水平的重要指标,是货币当局制定和执行货币政策的重要参考指标。然而,我国CPI编制方法的缺陷与不足使其在相当程度上影响了货币政策的有效实施。本文认为,我国货币当局应当从货币供应量、信贷、财政赤字、投资需求、进出口贸易等方面选取居民消费价格指数的先行指标,构建CPI先行指标体系并将其作为货币政策操作的辅助参考指标,从而提高货币政策制定的科学性与准确性。在此基础上,本文提出了进一步提高我国货币政策有效性的政策建议。     

Labor market participation,unemployment and monetary policy

Models of unemployment and monetary policy usually assume constant participation. Incorporating a participation decision into a standard New Keynesian model with matching frictions, we show that market tightness becomes endogenously more volatile because both the opportunity cost of home production and the reservation wage vary with participation. The model can simultaneously explain the low volatility of participation, the high volatility of unemployment, and a procyclical workers׳ outside option of working. A policy of strict inflation targeting is close to optimal, and increasing the response of the interest rate to inflation does not have a large impact on the volatility of unemployment because of the endogenous response of participation.     

中国货币政策与就业关系实证分析

自改革开放以来，失业一直是中国政府关注的重要问题。本文主要通过分析我国法定存款准备金率的变动如何影响银行的信用规模，进而对国内就业产生影响，得出货币政策的实施可以影响国内贷款规模，国内贷款的变动可以滞后两期对就业产生冲击的结论。笔者认为，只要有效运用货币政策就可以积极促进就业。     

On the financial market impact of euro area monetary policy: A comparative study before and after the Global Financial Crisis

Using daily data from thirteen euro area and four non-euro countries covering the years 2000 to 2018, we explore whether the Global Financial Crisis 2008–2010 and the introduction of unconventional monetary policy measures has led to a change in the financial market impact of euro area monetary policy. For this purpose, we construct a conservative measure of monetary policy innovations based on the heteroscedasticity-approach of Rigobon and Sack (2004), and investigate the response of national and euro-wide equity indices, derived volatility indices, as well as of government bond yields. We find that financial market participants respond more strongly to monetary policy after the Global Financial Crisis. Moreover, we find that cross-country differences in the responsiveness of government bond yields correlate with average national unemployment rates and with inflation rates, suggesting that monetary policy communication was more effective in countries that had faced a severe economic downturn.     

Inequality and the US import demand function

In this paper we investigate the empirical importance of changes in inequality on the demand for imports by examining US data from 1948 to 2007. We find evidence of a long-run relationship of a standard imports equation including income inequality. The existence of a cointegrating equation in imports, income, relative prices and inequality exists not only for aggregate real imports but also for more disaggregated categories as well. The evolution of inequality seems to have a large and positive influence on the demand for imports in the US with the exception of imports of services whereas the impact of inequality on imports of durables is more ambiguous. Our results are robust to alternative methods of estimating cointegration equations.     

Ramsey monetary policy with labor market frictions

Traditional New Keynesian models prescribe that optimal monetary policy should aim at price stability. In the absence of a labor market frictions, the monetary authority faces no unemployment/inflation trade-off. The design of optimal monetary policy is analyzed here for a framework with sticky prices and matching frictions in the labor market. Optimal policy features deviations from price stability in response to both productivity and government expenditure shocks. When the Hosios [1990. On the efficiency of matching and related models of search and unemployment. Review of Economic Studies 57 (2), 279-298] condition is not met, search externalities make the flexible price allocation unfeasible. Optimal deviations from price stability increase with workers’ bargaining power, as firms incentives to post vacancies fall and unemployment fluctuates above the Pareto efficient one.     

混频数据信息下的时变货币政策传导行为研究——基于混频TVP-FAVAR模型

现实经济环境中,货币政策操作受到金融市场及宏观经济信息的共同影响.如何基于混频大数据信息分析货币政策行为机制是需解决的现实问题.为此,本文提出一种混频时变参数因子增广向量自回归(MF-TVP-FAVAR)模型.基于宏观经济及金融市场等多维度混频数据信息的实证结果表明:首先,MF-TVP-FAVAR模型在宏观金融混频数据中提取的金融形势指数(FCI)能较好地表征宏观经济先行趋势,为货币政策的制定提供前瞻性信息.其次,混频TVP-FAVAR模型可以捕捉价格型和数量型货币政策传导的高频时变特征.与货币供应量相比,利率传导对产出的影响具有滞后性.利率传导随着利率市场化改革愈发畅通,而信贷传导机制因财政政策搭配等问题日渐受阻.再次,货币政策传导效果受到经济周期影响,无论产出效应还是价格效应,经济上行时期,货币政策传导机制都比经济衰退时期更加通畅.价格型和数量型传导机制在经济下行时的作用效果均会减弱,但数量型货币政策更易受到经济周期的影响.最后,货币政策对FCI的冲击响应具有时变性,说明金融市场信息冲击对我国货币政策调控具有结构性的动态影响.货币当局制定尤其是微调货币政策时应及时评估金融市场信息冲击的影响.     

Cross-sector comovements and policy impact in the COVID-19 stock market: A dynamic factor approach

This study investigates the remarkable comovements in U.S. equity returns during the COVID-19 pandemic. It constructs a dynamic factor model (DFM) to illuminate the sources of the comovements and their implications. Using the Markov Chain Monte Carlo (MCMC) estimation method, the study finds that the comovements had a weak daily oscillation pattern during the pandemic. With that pattern, the study also finds significant monetary policy effects on the equity returns of several key sectors. In addition, it estimates the impact of news shocks, including monetary policy news, fiscal stimulus news, and unemployment news, on cross-sector equity returns. For any given sector, the conventional and unconventional monetary policy news shocked the sector in opposite directions. Among the positive monetary news shocks, the strongest were from interest rate policy surprises. Conversely, fiscal stimulus news had the most substantial positive impact and triggered all sectors to rebound from the bear market at the end of March 2020. Furthermore, by applying Natural Language Processing (NLP) sentiment analysis, this study sheds light on the positive correlation between comovements and news sentiment.     

Ethical economics A new paradigm for global justice and stewardship

Economics must return to its roots, which lie in ethics and moral philosophy. Key economic issues today are essentially moral ones—unemployment, income inequality, environmental damage—thus rendering a new ethical economics paradigm an urgent requirement. In this article the specific elements of an ethical framework are considered, and the items on the humane, ethical economic policy agenda are outlined.     

基于资产负债表的货币当局绩效分析

在货币当局资产负债表中,资产项目影响货币政策方向,负债项目反映调控手段及资金流向。各项资产将预期为货币当局带来现金流入,采用不同配置方式将获得不同的资产收益。各项负债需要货币当局如期支付资金占用成本,不同融资方式产生不同的利息费用,影响货币政策调控总成本。虽然货币当局没有盈利需求,但站在货币当局资产利用率及货币政策成本角度考量货币当局绩效,将促使货币当局在货币政策制定及执行中降本增收、提高效率。     

欧洲中央银行货币政策绩效评价:1999～2005

欧洲中央银行(ECB)围绕价格稳定目标确立起其货币政策战略。自1999年EMU正式建立以来,ECB的这一战略是否取得了成功呢?本文采用1999￣2005年数据,首先借助HICP通胀率、通胀预期等指标分析ECB货币政策在控制短期和中长期通胀方面的成效;然后进一步分阶段描述ECB货币政策行为和通胀率等主要宏观指标的内在联系。本文认为欧元区近些年来的通胀率超标主要是负向供给冲击尤其是能源价格冲击的结果;从主要指标看,ECB的货币政策战略已经取得初步成功;但是欧元区未来经济走势将对ECB的货币政策提出更严峻的挑战。