通货膨胀及其不确定性非线性检验研究

本文运用ARFIMA-FIEGARCH模型,对我国1990年以来的通货膨胀和通胀不确定性的动态特征进行了检验,发现我国通货膨胀和通胀不确定性序列中都存在着长记忆性,而且通胀不确定性还具有杠杆效应,Granger因果检验的结果表明通货膨胀是通胀不确定性的Granger原因。通过使用LSTAR模型度量通胀不确定性对通货膨胀的非对称、非线性反应程度,结果表明LSTAR模型的门限值为我国目标通胀率的确立提供了经验依据,实施通货膨胀目标制的货币政策,对有效地降低我国通货膨胀及其不确定性具有重要意义。     

通胀目标、反通胀速度与财政政策

本文借鉴序列博弈模型,探讨了通货膨胀目标制下,财政政策对通胀目标水平和反通胀速度的影响,得出如下结论:在财政政策的作用下,实际汇率(RER)的降低会减少通货膨胀的净边际成本,推高均衡通胀目标、降低反通胀减速度。本文以通货膨胀目标制国家的反通胀经验对以上结论进行了实证检验。     

通货膨胀目标制稳定通胀预期了吗——一项以全体采用国为观察对象的实证研究

通货膨胀目标制的兴起是20世纪90年代以来国际货币政策领域的一个重要发展。推崇者们认为,这一货币政策的"中心思想"在于稳定通胀预期;但已有的相关实证研究却结论各异。本文以通胀目标制的全部采用国为观察对象,在应用UC-SV模型测定出各国的通胀预期及其波动之后,运用量化对比分析的DID方法对此政策命题进行了检验。研究结果表明,在新兴市场国通胀目标制确实具有稳定通胀预期的政策效果。本研究对同为新兴市场国,并且现行货币政策面临的挑战愈发严峻、变革呼声不断的我国,提供了一个可资借鉴的研究素材,具有一定的政策启示。     

开放式系统结构中设备动态管理软件架构的研究与实现

通货膨胀目标制是上世纪90年代起兴起的一种新的货币政策框架。本文在阐述其理论内涵的基础上对5个早期采用国的政策实践进行了探讨和分析,结论是通货膨胀目标制的实行对改善一国的宏观经济表现具有积极影响。最后思考它对我国货币政策前瞻性设计的借鉴和启示。     

通货膨胀目标制的政策内涵及其应用

本文从分析货币政策的规则和相机抉择之争入手，分析通货膨胀目标制作为名义锚在货币政策中的作用与政策含义，在此基础上探讨如何有效地设计和实行通货膨胀目标制。本文认为，我国货币政策在向通货膨胀目标制过渡过程中，要明确货币政策和汇率政策的主从地位，增强中央银行的独立性以及对宏观经济的分析和预测能力，解决中央银行承担最后贷款人义务而造成的通货膨胀隐患，建立核心通货膨胀指标。     

通货膨胀目标制探析

该文首先从通胀目标制的理论入手，分析通货膨胀目标制的实现途径，并结合新兴国家的实际情况讨论了通胀目标制的可行性，提出一些政策建议。     

通胀目标对公共债务、产出效益和通胀预期的影响

随着越来越多的国家采用通货膨胀目标制,一些经济学家和政策制定者认为,提高通胀目标对经济有利也有不利。根据Blanchard等(2010)的观点,他们认为提高通胀目标可以减少零利率事件的发生。本文利用G7发达经济体的数据来解释改善公共债务的不同成熟度对公共债务的实际价值的影响。此外,利用日本1990—2014年的通货膨胀数据来证明通货膨胀目标与产出效益之间的关系。     

通货膨胀预期锚定问题浅析

近年来,有关通货膨胀预期锚定效应的研究和政策实践,显示了通过锚定预期通胀率,能够产生稳定价格水平、减小经济波动的良好效应。同时,通胀预期的锚定需要一系列条件,其中货币政策的时间一致性是一项必要条件。通过观察我国通胀变化情况和分析货币政策操作的特征,本文认为,当前我国尚不具备形成良好通胀预期锚定效应的基础。因此,应在将通胀预期锚定作为通胀预期管理长期目标的同时,短期通过扩大货币政策信息公开、提高预测能力等方式,逐步改善通胀预期管理。     

浅析通货膨胀目标制对我国货币政策发展的启示

本文首先分析了我国当前货币政策面临的诸多问题，分析认为传统论述通货膨胀目标制在我国适用性的逻辑并不完备，并从不同的角度对于通胀目标制的特征进行了重新认识。     

通货膨胀目标制管理通胀预期的可行性研究

目前,鉴于我国的外部经济环境和国内的经济政策,社会各界通胀预期较高,导致部分大宗商品价格上涨较快,有效管理通胀预期进而稳定未来物价成为重要议题.通货膨胀目标制具有政策透明度高、责任明确、操作工具灵活多样的特点,是形成理性通胀预期,稳定物价,实现经济长期、持续、健康发展的最佳货币政策框架.     

Has exchange rate pass-through really declined? Evidence from Canada

Several empirical studies suggest that exchange rate pass-through has declined in recent years among industrialized countries. Results for Canada also indicate that import and consumer prices have become less responsive to exchange-rate movements in the 1990s. These findings are based on reduced-form regressions that are typically motivated by partial-equilibrium models of pricing. This paper uses instead a structural, general-equilibrium approach to test the premise that exchange rate pass-through has decreased in Canada. Our approach consists in estimating a dynamic stochastic general-equilibrium model for Canada over two sub-samples, which cover the periods before and after the adoption of inflation targeting by the Bank of Canada. We then use impulse-response analysis to assess the stability of exchange rate pass-through across the two sub-samples. Our results indicate that pass-through to Canadian import prices has been rather stable, while pass-through to Canadian consumer prices has declined in recent years. Counterfactual experiments reveal that the change in monetary policy regime is largely responsible for this decline.     

The Changing Dynamics of Inflation

Inflation in the United States and elsewhere has become lower and more stable over the past two decades. It is likely that monetary policy has played an important role in this change in inflation dynamics by creating expectations of stability. This paper traces the evolution of the role of expectations in thinking about inflation, the supporting evidence over the past two decades, and role of central banks in influencing expectations. Increased global integration has magnified these effects. However, the importance of factors other than monetary policy implies that policymakers must consider a wide range of information before acting. Moreover, expectations of inflation stability cannot be taken for granted; and policymakers must be vigilant against complacency. JEL Classification E31, E58     

Optimal monetary policy in a currency area

This paper investigates how monetary policy should be conducted in a two-region general equilibrium model with monopolistic competition and price stickiness. This framework delivers a simple welfare criterion based on the utility of the consumers that can be used to evaluate monetary policy in a currency area. If the two regions share the same degree of nominal rigidity, the terms of trade are completely insulated from monetary policy and the optimal outcome is obtained by targeting a weighted average of the regional inflation rates. These weights coincide with the economic sizes of the region. If the degrees of rigidity are different, the optimal plan implies a high degree of inertia in the inflation rate. But an inflation targeting policy in which higher weight is given to the inflation in the region with higher degree of nominal rigidity is nearly optimal.     

Assessing the Performance of ‘Inflation Targeting Lite’ Countries

This paper deals with what is referred to in the literature as the ‘Inflation Targeting Lite’ (ITL) countries. These are a category of emerging countries, whose main characteristics are that they are least developed and small economies that pursue IT. They use inflation targeting to define their monetary policy framework, but for a number of reasons they are not in a position to put top priority to IT in relation to other objectives. This paper deals with a set of ITL countries for which consistent data could be gathered, and for which a date for setting inflation targeting could be discerned. The object of the paper is to study the impact of IT on actual inflation and inflation expectations. We utilise intervention analysis to time series on inflation for a number of ITL countries, which have actually implemented IT. In doing so our main concern is to assess whether, due to the IT intervention, there has been a significant change in the trend corresponding to these series and the extent to which inflation rates have actually been ‘locked‐in’ at low levels after the implementation of IT. Two major results emerge. The first is that ITL countries have been successful in ‘locking‐in’ inflation rates. The second is that non‐IT countries have also been successful in terms of the ‘lock‐in’ effect. Our overall conclusion, then, is that other factors in addition to IT underpin the apparent success of the control of inflation.     

货币政策名义锚理论的发展与实践述评

实现物价稳定是世界各国货币政策的最终目标。名义锚有助于货币当局建立货币政策信誉,增强其控制通货膨胀的能力。汇率目标制、货币供应量目标制和通货膨胀目标制是三种主要的名义锚。名义锚的演变历程表明,名义锚的选择问题是一个不断变化的动态体系。随着经济的进一步开放,名义锚的选择更加关键和复杂。选择哪种名义锚在很大程度上取决于不同国家的社会经济金融状况和背景。     

Dove or Hawk? Characterizing monetary policy regime switches in India

The past two decades have witnessed a worldwide move by emerging markets to adopt explicit or implicit inflation targeting regimes. A notable and often discussed exception to this trend, of course, is China which follows a pegged exchange rate regime supported by capital controls. Another major exception is India. It is not clear how to characterize the monetary regime or identify the nominal monetary anchor in India. Is central bank policy in India following a predictable rule that is heavily influenced by a quasi inflation target? And how has the monetary regime been affected by the gradual process of financial liberalization in India? To address these points, we investigate monetary policy regime change in India using a Markov switching model to estimate a time-varying Taylor-type rule for the Reserve Bank of India. We find that the conduct of monetary policy over the last two decades can be characterized by two regimes, which we term ‘Hawk’ and ‘Dove.’ In the first of these two regimes, the central bank reveals a greater relative (though not absolute) weight on controlling inflation vis-à-vis narrowing the output gap. The central bank however was found to be in the “Dove” regime about half of our sample period, focusing more on the output gap and exchange rate targets to stimulate exports, rather than moderating inflation. India thus seems to be following its own direction in the conduct of monetary policy, seemingly not overly influenced by the emphasis on quasi-inflation targeting seen in many emerging markets.     

Integrating Financial Stability into Monetary Policy

The global financial crisis has highlighted the importance of integrating financial stability concerns into monetary policy. In the Bank of Canada’s view, monetary policy should be the last line of defence against threats to financial stability, behind the joint responsibility of borrowers and lenders, appropriate regulatory oversight, and sound macroprudential policies. Still, it is critical to understand the interlinkages between monetary policy and financial stability, given that the objectives are not always consistent. This implies the necessity of trade-offs. At the Bank of Canada, this is regarded as a problem of risk management rather than policy optimization. That is why the Bank operates a risk-management approach to monetary policy—keeping inflation control as its primary mission.     

最优货币政策分析的一般框架理论综述

随着货币政策在宏观经济调控中的重要性日益提高,对于最优货币政策分析框架的研究也迅速兴起。从最优货币政策的目标出发,本文分析了货币政策的内涵、类型和最优货币分析框架的特征,及政策目标之间的相互关系,货币政策决策方式和几个典型的货币政策规则,特别是通货膨胀目标制及中国的最优货币政策设计,旨在为我国确立的最优货币政策框架提供参考。     

The Relationship between the Canadian Treasury-Bill Rate and Expected Inflation in Canada and in the United States

This paper investigates the relationship between treasury-bill rates and expected inflation rates in Canada and in the United States during the 1953–75 period. The tests are based on quarterly data and use two inflation-interest-rate models in which expected real returns on treasury bills are assumed either to be constant or to follow a random walk. The study indicates that treasury-bill rates in Canada have provided good assessments of expected inflation in the United States rather than in Canada during the entire period under study. This result is consistent with empirical evidence about the predominant influence of American monetary policy and interest-rate trends on Canadian monetary policy and interest-rate policy, and with the evidence about the efficiency of the United States treasury-bill market during most of the period under study. Résumé Ce mémoire étudie la relation entre les taux des bons du Trésor et le taux attendu d'inflation au Canada et aux Etats-Unis entre 1953 et 1975. Les tests sont menés à partir de données trimestrielles. Ils utilisent deux modèles de rapport taux d'inflation taux d'intérět dans lesquels le rendement réel des bons du Trésor est supposé constant ou fluctue librement. L'étude indique que les bons du Trésor au Canada ont prévu adéquatement le taux d'inflation attendu aux Etats-Unis plutǒt qu'au Canada pendant toute la période à l'étude. Ces résultats correspondent à la preuve empirique de l'influence prédominante de la politique monétaire américaine et de la fluctuation des taux d'intérět sur la politique monétaire et les taux d'intérět du Canada. Ces résultats corroborent également l'efficacité prouvée du marché américain des bons du Trésor pendant presque toute la période à l'étude.