中国经济波动的产出和通胀效应 ——基于供求冲击相关的SVAR模型分析

本文结合产出缺口-通胀形式的菲利普斯曲线（AS曲线）,构建了产出缺口和通 胀率的SVAR模型,并将识别结果同B-Q约束条件下的识别结果进行比较,以此来探究我国近 三十多年来宏观经济系统中需求冲击和供给冲击对产出和通胀动态的效应。主要得出以下结 论：第一,供求冲击之间高度相关;第二,需求冲击是我国通胀波动的决定性因素,并且存在 持久稳定的效应。第三,供给冲击是我国经济增长的绝对主导力量。第四,我国存在相对陡峭 的菲利普斯曲线（AS曲线）。第五,产出缺口与同比CPI对我国经济状况的拟合效果最好。     

Deconstructing credibility: The breaking of monetary policy rules in Brazil

Can political interference deconstruct credibility that was hardly-earned through successful stabilization policy? We analyze the recent switch in the conduct of monetary policy by the Central Bank of Brazil (BCB). Brazil is the largest Emerging Market Economy to formally target inflation, having adopted the Inflation Targeting (IT) regime in 1999. In the early years of IT, the BCB engaged in constructing credibility with price setting agents and succeeded to anchor inflation expectations to its target even under adverse conditions such as exchange rate crises. We argue that this effort to maintain IT rules-based policy ended in 2011, as a new country president and BCB board came to power. We then discuss the consequences of this credibility loss. Our main results can be summarized as follows: (i) we provide strong empirical evidence of the BCB’s shift toward looser, discretionary policy after 2011; (ii) preliminary evidence suggests that this shift has affected agents’ inflation expectations generating social and economic costs.     

Redistribution effects of inflation

This note discusses Lee Ohanian׳s paper on “Monetary policy in the midst of big shocks”. In particular, it asks what would happen if assumptions are changed so inflation have redistribution effects. Evidence on nominal positions suggests that such effects can be quantitatively important.     

Forecast combinations under structural break uncertainty

This paper proposes two new weighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation results show that, when structural breaks are present, forecasts based on the first weighting scheme outperform those based on a procedure that simply uses ROC tests to choose and forecast from a single post-break estimation window. Combination forecasts based on our second weighting scheme outperform equally weighted combination forecasts. An empirical application based on a NAIRU Phillips curve model for the G7 countries illustrates these findings, and also shows that combination forecasts can outperform the random walk forecasting model.     

Money,random matching and endogenous growth: A quantitative analysis

In this study, we develop a search-and-matching monetary growth model to analyze the effects of inflation on economic growth and social welfare by introducing endogenous economic growth via capital externality into a two-sector search-and-matching model. We find that the channel through which inflation affects economic growth in the search-and-matching model is different from the traditional cash-in-advance model. To facilitate the calibration, we obtain an empirical estimate of the effects of inflation on economic growth using panel regressions. In the simulation analysis, we quantitatively evaluate the welfare effect of inflation in the search-and-matching endogenous growth model and compare it to a search-and-matching exogenous growth model. We find that the welfare effect of inflation is nonlinear in the endogenous growth model whereas it is linear in the exogenous growth model. Furthermore, we find that the welfare cost of inflation under endogenous growth is up to four times as large as the welfare cost of inflation under exogenous growth.     

The design and communication of systematic monetary policy strategies

The efficacy of central bank communications is inextricably linked to the characteristics of the monetary policy framework. Therefore, this paper presents a set of fundamental principles regarding the joint design of monetary policy strategy and communications. The practical implications of these principles are illustrated by considering a number of significant policy challenges faced by central banks in the advanced economies.     

How credible is inflation targeting in Asia? A quantile unit root perspective

This article examines the dynamic behavior of the inflation rate for eight Asian countries using a quantile unit root test. We advocate a three-way definition of inflation targeting based on perfect, imperfect and zero credibility and advance the analysis by incorporating a fully-fledged adoption of inflation targeting. In doing so, we offer new insights by showing that the credibility of inflation targeting and the alternative monetary policy frameworks in Asia are imperfect, except for Malaysia and South Korea under a fully-fledged adoption of inflation targeting. In contrast to past studies that focus on the mean-reversion in inflation rates, we also consider trend-reversion and find that Asian inflation targeting countries have been building up their monetary policy credibility more than the non- inflation targeting countries in terms of a faster rate of decline in inflation rate changes. Our results generally indicate the presence of mean reversion at the lower quantiles only. Where stationarity is present, we find evidence of a varied speed of adjustment process across the quantiles. Finally, we determine the threshold levels whereby inflation becomes stationary and demonstrate that Asian inflation rates generally display stationary behavior during periods of inflation declining or slowing down.     

On Keynes on inflation and unemployment

Keynes tends to be represented as someone who thought that alleviating unemployment was more important than any other consideration. Interestingly it seems that this was not always the case; he did not recommend employment creation under all conditions of excess labour supply. The great inflation of World War I and its aftermath left an indelible impression on him, and this mitigated his position on the importance of high levels of employment. In 1920 he recommended that inflation in the UK be controlled even if some unemployment would result, and there is at least some hint in his work that the relative importance to him of inflation and unemployment did not vary much over the remainder of his life.     

Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico

This paper applies a nonlinear Autoregressive Distribute Lag to examine the exchange rate pass-through into consumer price inflation in Mexico. Overall, the evidence confirmed that ignoring the asymmetric (sign) effect of exchange rate movements on inflation may lead to incorrect inferences and policy conclusions. Exchange rate fluctuation is transferred to prices level more during currency depreciation than appreciation. We compare the macroeconomic performances between pre- and post-inflation targeting, and our findings reaffirmed that the pass-through has weakened significantly after launching inflation targeting in 2001. This result implies that low inflation in the sample period examined is good for Mexico because exchange rate pass-through declines after 2001. Consumer prices have become less responsive to exchange rate movements. We further observe a revival (strengthening) of oil price pass-through to domestic inflation in the post- inflation targeting period.