International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.     

Use of Statistics in the Monetary Policy of the Czech National Bank: The Case of a Country in Transition

In the presented text the authors judge the importance of statistics in the monetary policy of the Czech National Bank (CNB) over the course of the economic transformation process, with particular consideration of changing statistical needs and the possibilities and limits of statistical data exploitation in the monetary analyses. The importance of statistics lies on the level of collection and processing of statistical information and on the level of use of statistical methods to analyse data. Since the start of the 1990s the requirements for statistics were significantly influenced by monetary policy. In the period 1990–1997, monetary targeting was the primary influential factor. Since 1998, the monetary policy is influenced by inflation targeting. Statistical priorities switched from monetary data to economy and financial market data. Much progress has been made in the use of statistical methods for analysing data. Statistics available at present cover the CNB's standard monetary-policy requirements and are on par with those in developed countries. Its further development will reflect the standard changes taking place in the more advanced countries.     

Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray?

This paper focuses on: (1) how a select set of financial and economic factors could set the path for interest rates and foreign exchange rates, and (2) whether the resultant realized interest and exchange rates would be in harmony or in disarray. Using post-euro data for the EU and the US, an array of monetary rules is examined. In particular, the paper investigates whether the original and the extended Taylor rules provide an explanation of the dynamics of the EU monetary system since the inception of the euro. Our findings indicate that the EU and the US monetary responses are not the same and that exchange rates play a significant role.     

货币政策地区效应——基于地区总供给曲线的理论与实证分析

本文着重检验了我国区域经济中的基于产出缺口的地区短期总供给曲线的存在性,进而分析地区短期总供给曲线对货币政策地区效应的影响。文章首先对地区短期总供给曲线存在的可能性进行了理论解释,应用卡尔曼滤波方法估算了我国各地区的产出缺口,然后运用ARMA模型说明预期通货膨胀率形成机制,最后以通货膨胀率与其预期之差、外部需求冲击等作为解释变量对产出缺口进行回归,结果发现,我国东部地区的短期总供给曲线较中西部地区的短期总供给曲线更平坦,因而东部地区货币政策效应要强于中西部地区。     

中国通货膨胀率持久性变化研究及政策含义分析

通胀率持久性在通胀率动态研究中备受学界的关注,并且直接影响现代货币政策传导机制的终解方程式。本文对我国通胀率持久性的统计特性做了严谨的计量检验和分析,应用“格点拔靴(自举)”中值无偏估计和Exp-Wald未知断点检验来捕捉我国物价波动持久性的特征。统计结果显示,通胀率持久性在高通胀时期走高,而在物价波动减小的20世纪90年代中后期显著减弱。我们讨论了这一发现对相关货币政策分析机制的含义。     

货币政策和银行风险承担：一种非线性关系

宽松的货币政策会通过估值、收入和现金流机制,追逐收益机制以及中央银行沟通和反应机制等渠道增加银行风险承担,通过风险转移机制降低银行风险承担,从而导致货币政策与银行风险承担之间可能存在复杂的非线性关系。本文使用面板阈值模型,基于我国银行业数据研究了货币政策对银行风险承担的影响,发现我国货币政策对银行风险承担的影响存在门限效应,即货币政策对银行风险承担的影响取决于货币政策基准利率偏离泰勒规则利率的程度。当这种偏离小于门限值时,宽松货币政策会增加银行风险承担;当这种偏离大于门限值时,宽松货币政策会降低银行风险承担。本文研究对更好地理解我国货币政策对银行风险承担及金融稳定的影响有一定参考意义。     

通胀—增长权衡和中国菲利普斯曲线的平坦化

近年来发达经济体出现了菲利普斯曲线平坦化现象,但有关中国的研究尚缺乏共识。本文基于实证和理论分析,系统研究了中国菲利普斯曲线的平坦化问题。首先,结合货币政策冲击和月度SVAR框架,发现通胀的响应程度在2010年后大幅下降。由于证据显示总需求曲线并未平坦化,因此通胀响应弱化可解读为菲利普斯曲线的平坦化。数据显示,菲利普斯曲线平坦化与生产率增长放缓同时发生,因此,本文在标准DSGE模型中引入纵向内生增长渠道,该渠道基于研发投入和知识资本积累,从而使生产率内生于经济周期。研究发现:(1)内生增长渠道放大了需求冲击对产出的影响,但缩小了需求冲击对通胀的影响;(2)内生增长渠道改变通胀和增长之间的替代关系,但不改变边际成本向通胀的传导。分段估计显示,2010年后,通胀和增长的关系弱化是边际成本传导变弱和内生增长渠道变强共同作用的结果。本文认为,由于菲利普斯曲线的平坦化,中央银行应继续坚持稳增长和就业优先战略,关注但不必过于担心由此引发的通胀压力。     

中国货币政策传导有效性之实证分析

文章运用时间序列分析的方法,研究在中国人民银行间接调控货币政策的新时期,在中国资本市场规范成长的新阶段,中国货币政策传导到中国资本市场的渠道的有效性。实证结果表明:中国货币政策能够通过利率渠道、通货膨胀率渠道和货币供应量渠道有效地传导到中国资本市场。     

销售渠道风险管理

本文首先建立了一套用以评估销售渠道风险的指标体系，通过建立企业各销售渠道的物元模型，运用物元的可拓性，将销售渠道的建设和管理控制的指标量化，按照统一规范化运算，得出便于比较的优度，从而对各类渠道风险进行排序选择风险最底的渠道。最后，本文以一个算例对评估销售渠道风险模型进行了实证研究。     

公开市场业务与货币政策有效性——1997后中国货币政策传导梗阻的症结探析

1997年后我国一直实施“积极的”货币政策 ,但货币政策在传导过程中出现了梗阻 ,所起的作用远不尽如人意。公开市场业务是中央银行最重要的一个间接货币政策工具 ,作为公开市场业务主体的国债市场是央行公开市场操作的基本依托。我国国债市场在规模、流动性等方面发展滞后 ,仍是一个不成熟、不发达的市场 ,这使我国货币政策传导产生梗阻 ,严重抑制了货币政策效应的发挥