通货膨胀问题国外研究进展与评述

20世纪70年代以来通货膨胀的频发,成为严重困扰世界各国经济运行的主要难题之一,引发了众多国外学者对通货膨胀的广泛关注以及从宏观层面到微观基础层面的深入研究。本文主要从通货膨胀的福利成本、通货膨胀的不确定性、持续性和通货膨胀目标制四个方面入手,着重回顾与评论20世纪90年代尤其是21世纪以来的国外学者研究通货膨胀问题的成果,以期在把握通货膨胀问题研究的进展中,总结治理经验与合理借鉴应对政策。     

A common trends model of UK core inflation

In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system. First version received: September 1999/Final version received: October 2001 RID="*" ID="*"  We thank two anonymous referees for many helpful comments and suggestions. Work on this paper was partially conducted when C. Morana was at Heriot-Watt University.     

Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium

This note proposes a decomposition of the familiar scalar multivariate risk premium into components which can be easily interpreted in the context of consumer theory. The premium under consideration is the standard one used to ascertain the impact of price and income risk on consumer welfare. This proposed premium decomposition allows for a more intuitive identification of the detrimental and beneficial effects that arise from income and price risk. As an illustrative example, this decomposition is used to ascertain the welfare effects arising from the price fluctuations experienced by UK households over the period 1963–97.     

Exchange rate pass-through in the Asian countries: does inflation volatility matter?

This paper presents a nonlinear relationship between exchange rate pass-through (ERPT) and inflation volatility. Through the lens of a threshold framework, we uncover a clear evidence of near to one ERPT to consumer prices once inflation volatility crosses a threshold level of 4.17. Clearly, there are significant differences in the degree of ERPT between the high and low inflation volatility in the inflation targeting (IT) and non-IT Asian countries.     

货币政策透明度的趋势、制度安排和宏观经济环境

近年来,透明度已经成为货币政策主要的特征之一,提高货币政策的透明度正在演变为一个国际趋势。根据Geraats(2009)使用Dicer和Eichengreen(2009)收集的数据测算的E-G指数,发现世界范围内货币政策的透明度已经取得了显著提高,但实践中呈现出执行较高行政透明度和经济透明度,而实行较低程序透明度和政策透明度的变化趋势;同时,还讨论了与透明度变化趋势相适应的制度安排及宏观经济环境。     

The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

Estimation of the inputs is the main problem when applying portfolio analysis, and Markov regime-switching models have been shown to improve these estimates. We investigate whether the use of two-regime models remains superior across a range of values of risk aversion and transaction costs, in the presence of skewness and kurtosis and no short sales. Our results for US data suggest that, due to differences in their risk preferences and transactions costs, most retail investors may prefer to use one-regime models, while investment banks may prefer to use two-regime models.     

中国通货膨胀的福利成本研究

Inflation is always an important indicator to measure whether economy is stable and healthy. This paper provides a substantive survey of the research on the welfare cost of inflation, and uses the methods of consumer’s surplus and neo-classical general equilibrium models respectively to estimate the welfare cost of inflation in China. The results show that high inflation will cause huge welfare cost in China, so keeping low inflation is beneficial to the entire economic welfare of China. __________ Translated from Jingji Yanjiu 经济研究 (Economic Research Journal), 2007, (4): 30–42, 159     

The dynamics of inflation: a study of a large number of countries

Over the last twenty years the statistical properties of inflation persistence has been the subject of intense investigation and debate without reaching a unanimous conclusion yet. In this article we attempt to shed further light to this debate using a battery of econometric techniques in order to provide robust evidence on the degree of inflation persistence and whether this has changed during the period in which several countries have followed inflation-targeting regimes or new monetary regimes. We consider the inflation rates of thirty developed and emerging economies using quarterly data for the period 1958 to 2007 which include alternative monetary policy regimes. The coefficient of the inflation parameter is estimated by Ordinary Least Squares (OLS), Autoregressive Moving Average (ARMA) and Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. Furthermore, the grid-bootstrap Median Unbiased (MUB) estimator approach developed by Hansen (1999) is used to estimate the finite sample OLS estimates coupled with the 95% symmetric confidence interval. We also examine parameter stability of persistence coefficients by estimating a model with time-varying parameters.     

经济政策不确定性是否驱动制造业企业的“脱实向虚”*——基于中介效应及调节效应识别

当前,实体经济投资回报率低,制造业企业逐渐显现出“脱实向虚”的特征,主要表现为制造业企业金融化程度较为明显。本文使用2009—2019年中国A股制造业上市公司数据,研究了经济政策不确定性对制造业企业“脱实向虚”的影响。本文基于现金持有、实物期权和委托代理理论,进一步识别了两者关系的中介效应及调节效应,通过实证分析发现：（1）经济政策不确定性增加了制造业企业的“脱实向虚”程度;（2）融资约束对于经济政策不确定性和制造业企业“脱实向虚”之间的关系具有中介效应;（3）企业的股权集中度、客户集中度、银行监督程度均减弱了经济政策不确定性对制造业企业“脱实向虚”的正向影响。通过替换核心变量,本文在考虑所有制和规模异质性、政府补助的影响后,其主要结论仍然稳健。本文针对监管部门政策实施、流动性支持、资金流向监管等方面,提出了有针对性的建议。     

Globalization, Financial Volatility and Monetary Policy

Recently it has often been claimed that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU Treaty) could or should reduce their efforts in the fight against inflation in favor of supporting the general economic policies of the governments. This paper takes a critical look at this argument, pointing to the structural changes associated with globalization and to the corresponding increase in uncertainty by which the central banks are affected. As an example of this, the increase in financial volatility is analyzed and explained as the result of optimal portfolio allocation, and its implications for monetary policy are discussed.     

我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验

This paper uses the ARFIMA-FIGARCH model to investigate the China’s monthly inflation rate from January 1983 to October 2005. It is found that both first moment and second moment of inflation have remarkable long memory, indicating the existence of long memory properties in both inflation level and inflation uncertainty. By the Granger-causality test on inflation rate and inflation uncertainty, it is shown that the inflation level affects the inflation uncertainty and so supports Friedman hypothesis. Therefore, as for policy maker, they should roundly concerns on long memory properties of inflation and inflation uncertainty, and their single-direction relationship between them. __________ Translated from Guanli shijie 管理世界 (Management World), 2007, (7): 14–21