金融体系中的顺周期性：我们是否需要一个新的宏观金融稳定框架北大核心CSSCISSCI

近几十年,中央银行成功地不断追求低通货膨胀目标制,降低了通胀和产出的可变性。与此同时,出现了大量的金融失衡和其他方面的失衡(明显持续地偏离历史标准)。如果这些失衡能恢复到均衡水平,应该会对产出增长产生显著影响。尽管这样的不利结果还仅仅是一种可能,但本文提出的问题是,我们是否能从一个新的宏观金融稳定框架中受益,在这个框架中货币政策和监管政策更多地关注如何避免出现失衡现象。     

次贷危机的形成机理及其对货币政策框架的涵义

金融系统"过度顺周期性"的潜在特性,以及由信贷结构产品和发起-分销模式,导致市场参与者难以准确评估风险,这是次贷危机的形成机理。在此基础上,分别分析其在风险承担的积累时期和金融失衡的释放时期对现行货币政策框架的涵义,认为现行货币政策框架可以减缓金融失衡的释放而导致的对经济金融的冲击,但难以约束以承担更高风险方式所导致的金融失衡,因而,必须对现行货币政策框架做出改进。最后阐述了对我国货币政策框架的启示。     

次贷危机的形成机理及其对货币政策框架的涵义北大核心CSSCISSCI

金融系统"过度顺周期性"的潜在特性,以及由信贷结构产品和发起-分销模式,导致市场参与者难以准确评估风险,这是次贷危机的形成机理。在此基础上,分别分析其在风险承担的积累时期和金融失衡的释放时期对现行货币政策框架的涵义,认为现行货币政策框架可以减缓金融失衡的释放而导致的对经济金融的冲击,但难以约束以承担更高风险方式所导致的金融失衡,因而,必须对现行货币政策框架做出改进。最后阐述了对我国货币政策框架的启示。     

房价宏观风险度量方法研究

房地产市场对宏观经济、金融稳定具有重要影响,但目前国内外没有关子基于宏观经济运行的房地产市场风险的定量度量工具和方法.本文从宏观经济风险管理和金融系统风险管理的角度,借鉴金融风险度量工具VaR的概念提出HP-at-Risk的概念,建立了度量基于宏观经济运行的房地产价格波动风险的分析框架,通过基于产出的风险和基于物价指数的风险两个指标,分别度量其超出实体支撑的风险和市场局部失衡的风险.     

金融发展阶段差异驱动跨境资本流动

各国金融发展阶段的不同导致了金融资本供求失衡,这种失衡驱动国际资本流动。本文试图从金融不同的发展阶段角度,为过去10多年的驱动国际资本流动因素寻找一个一般解释机制。研究发现,相比于发展中国家,发达国家各种制度更加完善,金融市场成为主要的经济活动中的交易方式,产出将更高比例地转化为金融资产,可以更高比例提供金融资产。发展中国家向发达国家资本净流出购买金融资产,满足平滑跨期消费需求。     

互联网金融经济学解析——基于阿里巴巴的案例研究

互联网金融的快速发展引起了各方关注,业内外也尝试从不同视角解析互联网金融发展现象。基于目前互联网金融理论框架缺失的现状,结合已有研究和理论分析,笔者沿着产业融合、金融创新、金融深化的脉络构建了互联网金融的经济学分析框架,即互联网企业在产业融合的背景下,充当了新金融中介,开展了金融创新业务,促进了金融深化;在理论分析的基础上选择阿里巴巴集团互联网金融业务的发展作为案例分析对该框架进行了实证检验,结果表明该框架能较好地解释互联网金融发展的内在逻辑和诸多现象,特别是为什么互联网金融的承担者和推动者为互联网企业而非银行金融机构,该框架能为后续研究互联网金融奠定一定的理论基础。     

低利率环境下金融不确定性的产出效应

基于GARCH模型测度了我国金融不确定性指数,并在平滑迁移向量自回归模型框架下评估低利率环境下金融不确定性的产出效应。研究发现,GARCH模型测度的金融不确定性指数与我国实际经济运行状况比较吻合。其中,金融不确定性在1997年亚洲金融风暴、2008年金融危机和2015年股灾期间显著增大。高利率环境下,金融不确定性的产出效应为负,并且是总供给冲击;而在低利率环境下,金融不确定性的产出效应为正,并且是总需求冲击。两者相对比可知,低利率环境不仅使得金融不确定性对经济系统的负效应减弱,甚至使得金融不确定性对经济系统的效应变为正。     

宏观审慎监管框架下有关金融会计问题研究

本文从以下几个方面探讨宏观审慎监管框架下有关金融会计问题:一是宏观审慎监管概述,阐述了宏观审慎监管的起源、内涵与特点;二是宏观审慎监管框架下存在的金融会计问题,包括会计确认基础与动态储备制度存在冲突、资本结构失衡现象严重等问题;三是宏观审慎监管框架下金融会计问题的解决对策,根据现阶段宏观审慎监管框架下存在的金融会计问题,采取积极有效的应对策略,对金融市场实施更为有效的监管。     

金融脆弱性与货币政策新框架选择

通过理论分析,区分了货币政策目标是否包含金融稳定两种情况下的政策效力以及框架选择。在分析传统货币政策框架不包含金融稳定目标时,借鉴Ball模型,构建了资产价格波动与货币政策反应之间的理论模型,模型表明:央行实施货币政策进行宏观调控采取的最优利率不仅取决于当期的产出与通胀缺口,同时还取决于资产价格变化及其随机扰动项,并就传统货币政策框架选择进行了探讨。在分析新货币政策框架包含金融稳定目标时,通过对Agur(2009)、Ague and Demertzis(2010)模型框架的修正与扩展,详细分析金融稳定对中央银行货币政策规则的影响。结果表明:如果中央银行的货币政策规则不考虑金融稳定目标,将导致最优利率出现系统性的低估,造成这种低估的原因或许在于未能长远考虑金融脆弱性所带来的通胀成本和潜在产出损失,造成货币政策决策的狭隘性与滞后性。因此考虑现实的金融脆弱性,现行的货币政策应该将金融稳定纳入其目标框架。相应政策启示是:建立科学的货币政策引导规则、加强社会沟通,发挥好市场预期引导作用、货币政策与宏观审慎政策协调搭配。     

人民币汇率、外汇储备累积与宏观经济波动

汇改后,外部经济失衡成为了政府部门的"棘手"问题。选取2000年1月~2008年2月的时间序列数据检验外汇储备累积带来的宏观经济和金融波动影响,并借助ARCH模型和TVP模型进行动态分析得出:外汇储备在长期内影响价格波动,而对产出的影响具有短期性;外汇储备对经济增长的动态波动系数为β1=-0.09,外部失衡下经济高增长波动较小,低速增长时期的波动加大;而对国内宏观金融的影响则恰好相反(分别为1β=0.08和1β=0.689);TVP模型检验得出,国内产出增加和FD I流入都不是国际收支波动的主要影响因素,而进口和外汇储备占款成为国际收支失衡量的重要影响因素。因此,解决"内外"经济平衡的关键是要运用汇率、利率、物价水平调节国际收支及外汇储备。     

The impact of central bank independence on the performance of inflation targeting regimes

This paper examines the effects of inflation targeting on inflation in both advanced and emerging economies. We do not detect significant effects in advanced economies and only find small benefits in emerging economies, in line with previous studies. However, when we differentiate the impact of inflation targeting based on the degree of central bank independence, we find large effects in emerging economies with low central bank independence. Our results therefore suggest that central bank independence is not a prerequisite for countries to experience significant declines in inflation following the adoption of inflation targeting. Furthermore, we provide evidence that one channel through which inflation targeting lowers inflation more in countries with low central bank independence is the reduction of budget deficits following the adoption of an inflation target.     

Inflation,Output Growth,and Their Uncertainties: Empirical Evidence for a Causal Relationship from European Emerging Economies

In this paper, we analyze the causality among inflation, output growth, and their uncertainties in all European countries with emerging economies. For these countries, high uncertainty regarding economic growth during the current economic and financial crisis that started in 2008 caused their governments to increase their efforts to sustain growth, and to maintain a low level of inflation. Of the twelve possible hypotheses regarding the causal relationships among inflation, output growth, and their uncertainties, we consider five relationships for which we find strong theoretical arguments and empirical evidence in the literature. The empirical evidence strongly supports the Friedman-Ball hypothesis that inflation Granger-causes inflation uncertainty. For the other four tested hypotheses, fewer significant causal relationships are obtained.     

低通货膨胀与货币政策

持续15年的全球低通货膨胀,主要得益于各国成功的稳定化政策。低通货膨胀显示货币政策好处的同时,也给货币政策带来挑战。根据美日等国家的低通货膨胀经验,一个国家最好不要走向零利率的边缘,采取预防性的政策防止经济陷入通货紧缩至关重要。此外,需要正确认识货币政策的作用,货币政策长期的目标应该是为经济发展提供一个稳定的货币环境。美日国家预防低通货膨胀的经验对于中国宏观经济的平稳运行具有重要的借鉴意义。     

Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach

This study investigates how Taiwan, India, China, and Korea (TICKs) set interest rates in the context of policy reaction functions using a quantile-based approach. Our results indicate the tendency of a milder response to inflation at low interest rates and greater response at higher quantiles of interest rates, where inflation is presumably higher than desired for China and South Korea. While the response to inflation over the quantiles is significant for India, yet the Taylor principle is less likely to hold. For Taiwan, the results imply that another instrument is employed to deal with its official managed floating currency.     

Robustness and real consequences of nominal wage rigidity

Nominal wage rigidity has been shown to exist in periods of high inflation, while reduction in nominal pay has been hypothesized to occur in times of low inflation. Nominal wage rigidity would therefore become irrelevant because there is little need to cut nominal pay under high inflation, while the necessary cuts would occur under low inflation. We test this hypothesis by examining Swiss data in the 1990s, where wage inflation was low. Nominal wage rigidity proves robust in a low inflation environment, constituting a considerable obstacle to real wage adjustments. Real wages would indeed respond to unemployment without downward nominal rigidity. Moreover, wage sweep-ups caused by nominal rigidity correlate strongly to unemployment, suggesting downward nominal wage rigidity fuels unemployment.     

Sectoral Money Demand and the Great Disinflation in the United States

Estimates of the welfare costs of inflation based on Bailey (1956) are typically computed using aggregate money demand models. Yet, the behavior of money demand may vary across sectors. Thus, the impact on welfare of inflation regime shifts may differ between households and firms. We specifically investigate the sectoral welfare implications of the shift from the Great Inflation to the present regime of low and stable inflation. For this purpose, we estimate different functional specifications of money demand for U.S. households and nonfinancial firms using flow‐of‐fund data covering four decades. We find that the benefits were significant for both sectors.     

我国通货膨胀率动态特征研究

应用LSTAR模型对我国通货膨胀率的动态特征进行的实证研究结果表明:我国通货膨胀率自身调整有明显的非线性特征,分为显著的低通货膨胀区制和高通货膨胀区制,区制转移的平滑参数较大,转移变量为滞后1期通货膨胀率,转折点为0.01036.同时,我国通货膨胀率存在一定程度的非对称性调整,随冲击大小、方向、区制不同而表现不同.此外,我国通货膨胀率具有较高的持久性,高通货膨胀区制的持久性明显低于低通货膨胀区制.     

Inflation Dynamics When Inflation Is Near Zero

We discuss the likely evolution of U.S. inflation in the near and medium terms on the basis of (i) past U.S. experience with very low levels of inflation, (ii) the most recent Japanese experience with negative inflation, and (iii) some preliminary U.S. micro evidence on downward nominal wage rigidity. Our findings question the view that stable long‐run inflation expectations and downward nominal wage rigidity will necessarily provide sufficient support to prices to avoid further declines in inflation. We show that an inflation model fitted on Japanese data over the past 20 years, which accounts for both short‐ and long‐run inflation expectations, matches the recent U.S. inflation experience quite well. While the model indicates that U.S. inflation might be subject to a lower bound, it does not rule out a prolonged period of low inflation or even mild deflation going forward. In addition, micro‐level data on wages suggest no obvious downward rigidity in the firm's wage bill, downward rigidity in individual wages notwithstanding. As a consequence, downward nominal wage rigidity may not be enough to offset deflationary pressures in the current situation.     

Reputation in a model of monetary policy with incomplete information

Previous models of rules versus discretion are extended to include uncertainty about the policymaker's ‘type’. When people observe low inflation, they raise the possibility that the policymaker is committed to low inflation (type 1). This enhancement of reputation gives the uncommitted policymaker (type 2) an incentive to masquerade as the committed type. In the equilibrium the policymaker of type 1 delivers surprisingly low inflation — with corresponding costs to the economy — over an extended interval. The type 2 person mimics this outcome for awhile, but shifts eventually to high inflation. This high inflation is surprising initially, but subsequently becomes anticipated.