人民币升值对出口商品价格传递效应的测度及其政策涵义——以中美贸易为例

以单位值指数构造方法为基础,选取五种商品分别构建五个不同行业商品的出口价格指数,经过协整检验、自回归分布滞后检验以及脉冲响应函数检验,结果发现:五种行业出口产品的价格指数在短期内均存在不完全的汇率传递效应;相对于其他行业来说,劳动密集型行业的汇率的短期出口价格效应更加明显;汇率传递的长期出口价格效应要高于短期出口价格效应。其政策涵义是,为规避人民币升值的负面效应,中国应该积极推动全球化过程中贸易自由化进程,做好劳动密集型行业的升级和优化,稳步推进人民币汇率形成机制和管理体制改革,宏观政策做到微观审慎监管和宏观审慎监管相结合。     

不完全汇率传递下的货币政策工具规则分析

本文尝试构建一个开放条件下的总供给-总需求模型,通过名义进口价格刚性在模型中引入汇率传递因素。模型对各种货币政策工具规则下社会福利损失函数进行比较,考察在不同的汇率传递程度下的各种货币政策工具规则。研究结果显示,社会福利水平随着汇率传递程度下降而提高;货币政策工具规则对消费者物价指数(CPI)上涨作出反应一定程度上优于对国内制造商品价格上涨作出反应,制定的货币政策工具规则应该以CPI为目标,以使社会福利损失最小。     

Wie stark und schnell wurden die Niedrigzinsen an Bankkunden weitergereicht?

In this paper it is shown that the ECB’s main refinancing rate, measured by various Taylor-rules, has for the past decade been far too low for Germany. That entails risks for the stability of Germany’s financial system. How strong these risks materialise depends on the extent to which German banks pass on the low policy rates to their customers. In this paper, the interest rate pass-through in Germany in the low interest era is investigated using error-correction models for various bank interest rates. The results indicate a stronger short-term pass-through as well as diminished interest rate margins that weigh on banks’ profits. However, there is no evidence for structural changes in the long-term relationship between policy rates and banks’ interest rates. While the latter might be soothing for monetary policy makers, the former is rather a reason for concern.     

论汇率变动对出口价格的传递效应——中国、日本、东盟、德国经验数据比较研究

文章比较分析了中国、日本、德国和东盟四个国家(地区)汇率变动对以美元计价的对美出口商品价格指数的传递效应,结果显示中国是唯一在当期存在汇率传递影响的国家,但影响显著为正。短期内德国汇率传递效应最高,中国的传递效应最低。由于中国汇率传递的滞后时间较长,中国累计汇率传递效应值高于日本。在实证结果的基础上,文章认为在短期内无法改变出口商品技术含量和竞争力的情况下,人民币保持稳步的升值步伐比汇率上下波动更有利于企业价格的提高。     

Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China

We examine whether the effectiveness of the monetary policy rate transmission differs before and after interest rate liberalization in China using the autoregressive distributed lag (ARDL) bound test and an error correction model (ECM). The results show that after liberalization the mark-up is lower, and both the long-run and shortrun interest rate pass-through has become faster and more complete. We attribute our findings to the ongoing reforms of China’s banking system, which has improved the competitiveness of Chinese commercial banks.     

Endogenous exchange rate pass-through when nominal prices are set in advance

This paper develops a model of endogenous exchange rate pass-through within an open economy macroeconomic framework, where both pass-through and the exchange rate are simultaneously determined, and interact with one another. Pass-through is endogenous because firms choose the currency in which they set their export prices. There is a unique equilibrium rate of pass-through under the condition that exchange rate volatility rises as the degree of pass-through falls. We show that the relationship between exchange rate volatility and economic structure may be substantially affected by the presence of endogenous pass-through. Our key results show that pass-through is related to the relative stability of monetary policy. Countries with relatively low volatility of money growth will have relatively low rates of exchange rate pass-through, while countries with relatively high volatility of money growth will have relatively high pass-through rates.     

Is exchange rate stability beneficial for stabilizing consumer prices in China?

This study examines the relationship between real effective exchange rates (REERs) and the consumer price index (CPI) in China, utilizing a bootstrap Granger full-sample causality test and a sub-sample rolling-window estimation. Considering structural changes, we assess the stability of the parameters and find that both the short-run and long-run relationships between the two estimated variables are unstable. This result suggests that full-sample causality tests cannot be relied upon. We instead employ a time-varying (bootstrap) rolling-window approach to revisit the dynamic causal relationship, and we find that the CPI is affected by the REER for several sub-samples due to the role of exchange rate pass-through (ERPT) under the managed floating exchange rate regime in China. These findings provide further proof of the impact of stable exchange rates on the maintenance of relatively steady price levels especially during the economic crisis and economic reform in China. The policy implication of these findings is that maintaining exchange rate stability is beneficial for controlling inflation during the economic crisis and economic reform.     

The short run efficacy of monetary policy under floating exchange rates reconsidered

This paper disputes the argument that the short-run effectiveness of monetary policy in stabilizing domestic output under floating rates is necessarily reduced if elasticities of demand for imports and exports with respect to the current exchange rate are low and capital flows depend on the exchange rate. It is shown that the relative efficacy of monetary changes is determined by the interest rate elasticity of international interest payments and receipts and the effect of exchange rate variations on the demand for money in addition to the exchange rate elasticities of trade and capital flows.     

Is there an optimal crawl?

This paper shows that optimal exchange rate policy can be defined in terms of either a long-run secular policy or a short-run stabilization policy. The rate of crawl which maximizes real per capita consumption is shown to often differ from the exchange rate movements produced under fixed or floating exchange rates. And the optimal program for dealing with short-run speculative capital flows will involve both discrete and gradual exchange rate changes. It is also argued that domestic monetary policy and exchange rate policy are not independent instruments.     

The impact of monetary and tax policy on income inequality in Japan

This paper assesses the effects of the most recent monetary policy behaviour of the Bank of Japan (in particular, zero interest rate policy and negative interest rate policy) and Japanese tax policy on income inequality in this country during the period of 2002Q1 to 2017Q3. The vector error correction model (VECM) that develops in this research shows that increase in money stock (m1) through Quantitative Easing (QE) and Quantitative and Qualitative Easing (QQE) policies of the BOJ significantly increases the income inequality. On the contrary, Japanese tax policy was effective in reducing the income inequality. Variance decomposition results show that increasing of income inequality by monetary policy is larger when comparing to decreasing effects of tax policy on income inequality. Cointegration and VECM results show that monetary policy has both short-run and long-run impacts but for tax policy paper could not find any significant short-run impact on income inequality. In addition, paper found that technological progress only in long-run can reduce the income inequality by increasing the marginal productivity of labour with positive impacts on employment and wages.     

Stock prices and exchange rate dynamics in Nigeria: An asymmetric perspective

This paper investigates the asymmetric effect of exchange rate changes on stock prices in Nigeria. Using the nonlinear ARDL framework and monthly data from 2000:1 to 2016:12, the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is examined both in the long-run relationship and short-run error correction mechanism. The results show that the effects of exchange rate changes on stock prices is asymmetric both in the short- and long-run. That is, stock prices react in different magnitude to depreciation and appreciation. However, currency depreciation has a strong pass-through effect on stock prices than appreciation in the long-run. In the absence of asymmetry, exchange rate has only short-run effect on stock prices. This implies that the symmetry assumption underestimates the impact of exchange rate changes on stock prices in Nigeria.     

Non-equivalent pass-through of anti-dumping duties,countervailing duties and import tariffs

We directly compare the short-run pass-through of tariffs, anti-dumping (AD) duties and countervailing (CV) duties into US import prices. Consistent with the theoretical predictions, we find clear pattern of non-equivalence in import price reaction to the three duty types, with the most notable difference detected between AD duties and tariffs. According to our estimates, a tariff rate would have to be approximately two times higher than an AD duty rate in order to have the same effect on the delivered import price.     

Do inpayments and outpayments respond to exchange rate changes asymmetrically: Evidence from Malaysia

Since the pass-through of exchange rate changes on import and export prices are asymmetric, we expect a country’s inpayments (export earnings) and outpayments (cost of imports) to also react to exchange rate changes asymmetrically. We demonstrate this hypothesis by considering trade between Malaysia and each of her 11 largest trading partners. We find that while the short-run effects of exchange rate changes on Malaysia’s inpayments and outpayments are asymmetric with all partners, the long-run asymmetric effects are present in less than half of the partners. The results are partner specific.     

Investigating aggregation bias in the case of the interest rate pass-through

This analysis examines aggregation bias in the case of the interest rate pass-through in the Republic of Macedonia. By using bank-level data, the authors investigate whether there are heterogeneities and asymmetries in the size and speed of the adjustment of lending rates to changes in the cost of the funds rate. The findings in general suggest the presence of aggregation bias in the literature, implying that the empirical studies based on aggregated data may provide biased results.     

Monetary policy and the yield curve in an emerging market: the Greek case

This paper explores the impact of monetary policy actions on the nominal term yield curve in the Greek money market. Essentially, the monetary transmission mechanism is under scrutiny in testing monetary policy effectiveness. We focus on the dynamic inter-relationship between the short-term monetary policy instrument (Overnight rate) and market rates across the term structure. The findings are in accordance with the fact that Expectations Hypothesis monetary policy actions have a significant impact on all market rates; however, the impact is decreasing monotonically with maturity of the interest rate.     

U.S. Economic Prospects: Secular Stagnation,Hysteresis, and the Zero Lower Bound

The nature of macroeconomics has changed dramatically in the last seven years. Now, instead of being concerned with minor adjustments to stabilize about a given trend, concern is focused on avoiding secular stagnation. Much of this concern arises from the long-run effects of short-run developments and the inability of monetary policy to accomplish much more when interest rates have already reached their lower bound. This address analyzes contemporary macroeconomic problems and proposes solutions to put the U.S. economy back on a path toward healthy growth.     

金融危机背景下汇市与股市关系实证研究

本文建立了由上证综指、汇率、利率与道·琼斯指数构成的多变量VAR模型,运用Granger因果检验、脉冲响应函数与方差分解技术分析了金融危机背景下外汇市场与股票市场关系.实证分析结果表明:我国金融市场上汇率变动对股票价格有明显的短期作用,而股票价格变动对汇率没有影响;美国股市波动对我国股市的短期冲击超过人民币汇率对股市的冲击;我国的利率调整对汇率有短期效应,但对股票价格无影响.     

Book review

Abstract

Concerns about relatively high degrees of exchange rate pass-through in a number of emerging economies have contributed to a fear of floating. Despite the obvious policy relevance of this issue there is hardly any existing literature that has examined aggregate CPI pass-through for India, which has been liberalizing its economy since 1991. This paper estimates exchange rate pass-through (ERPT) at the aggregate level into India's CPI for the period 1980Q1 – 2005Q3. We also analyze whether exchange rate pass-through in India has changed over time, particular since 1991, which was the beginning of the country's economic liberalization program.     

Short-term and long-term interest rates in a monetary model of a small open economy

This paper analyzes the effects of both anticipated and unanticipated monetary and fiscal disturbances on the dynamic behavior of a monetary model of a small open economy. It focuses on the adjustment of the short-term and long-term interest rates and the divergence of their transitional paths, particularly in anticipation of these disturbances. The analysis demonstrates how anticipation of a future policy change can generate perverse short-run behavior. The essential reason for the divergence between the short and long rates is that the latter is dominated by long-term expectations, while the former is primarily determined by current influences.     

Die Transmission über den Zinskanal: von der Geldpolitik zur Kreditnachfrage

Through more favourable funding costs for commercial banks, the central bank can send expansionary monetary stimuli into the real economy to boost the demand for credit. In this regard, one of the most important channels for the transmission of monetary policy is the interest rate channel. This contribution analyses the effectiveness of the interest rate channel in the eurozone. It comes to the conclusion that the transmission of the expansive monetary stimulus into the banking sector works well, but that the transmission of the stimulus to the real economy is partly inhibited. The main factors that dampen credit demand are higher real interest rates as well as low growth and higher indebtedness, especially in the eurozone’s peripheral countries.