我国应放弃汇率名义锚

尽管我国宣布将货币供应量作为货币政策调控目标,但是,货币供应量近年来却高速增长,造成我国物价水平不断攀升。本文通过对近年我国货币政策实际操作考察发现,我国货币政策名义锚并非货币供应量而是汇率,其他货币政策工具均受制于此。汇率名义锚使我国货币政策走入困境,央行面临着物价稳定和经济紧缩的重大取舍。历史经验告诉我们,在巨大贸易不平衡下,汇率名义锚具有不可持续性。参照国际成功经验,本文建议我国应逐步放弃汇率名义锚,渐进迈向物价名义锚,实现货币政策独立和经济良性发展。     

Recent monetary policy and the credit card-augmented Divisia monetary aggregates

The main objective of this paper is to examine the information content of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates, recently produced by the Center for Financial Stability. We compare the inference ability of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates to the conventional Divisia monetary aggregates, at all levels of monetary aggregation. Using cyclical correlations analysis and Granger causality tests, we find that both the conventional Divisia monetary aggregates and the credit card-augmented Divisia monetary aggregates are informative in predicting output. Moreover, during, and in the aftermath of the 2007–2009 financial crisis, the credit card-augmented Divisia measures of money are more informative when predicting real economic activity than the conventional Divisia monetary aggregates. We also find that broad Divisia monetary aggregates provide better measures of the flow of monetary services generated in the economy.     

股票市场的货币政策传导分析

货币政策的传导机制不是唯一的，金融市场的种种特征造成了货币政策传导的多样性，股票市场中的货币政策传导就具有独特的规律，在不与银行信贷的创造机制相连的前提下，信贷资金和股市资金的沟通是合理的，目前中国信贷市场和股票市场之间千丝万缕的关系，并没有为货币政策传导创造更加有效的机制基础，股票市场还不能成为货币政策的有效传导渠道。     

MONETARY AND FISCAL POLICY EFFICIENCY AND COORDINATION IN A MULTI‐SECTOR OPEN‐ECONOMY GENERAL EQUILIBRIUM MODEL

The paper analyzes monetary and fiscal stabilization and coordination in a multi‐sector stochastic new open economy macroeconomics (NOEM) model. It first aims to assess the capacity of fiscal and monetary policy to reduce or eliminate the negative welfare effects of an unanticipated productivity shock affecting some or all of the sectors in each country. Second, it evaluates the possible gains from international monetary cooperation as well as the impact of active fiscal policy on the welfare performance of monetary policy. The setup also allows for international asymmetry concerning the uncertainty over the shocks. The results show that monetary and fiscal policies are efficient tools of stabilization and under several conditions they can replicate the flexible‐price equilibrium. However, their welfare performance is not necessarily increased when both monetary and fiscal policies react to shocks at the national level. The existence of bilateral gains from monetary cooperation depends on the degree of asymmetry concerning the uncertainty over the shocks.     

THE CYCLICAL EFFECTS OF MONETARY POLICY REGIMES*

A 1979 change in U.S. monetary policy coincided with a break in the cyclical behavior of monetary aggregates, while the cyclical behavior of all other real and nominal variables remained relatively constant. A model is developed to assess the quantitative importance of a change in monetary policy in accounting for these observations. The monetary authority's reaction function is estimated conditionally on the theoretical model and accounts for upward of 72–95% of all observed changes, including inside money preceding the business cycle and a qualitative change in the cyclical behavior of the monetary base.     

EXCHANGE RATE REGIMES AND PASS-THROUGH: EVIDENCE FROM THE TURKISH ECONOMY

We seek to demonstrate the variations in the exchange rate pass-through (ERPT) and identify the shift in the price-setting behavior by placing the emphasis on the implemented exchange rate and monetary policy regimes. Having a history of several distinct monetary regimes, Turkey exhibits a genuine laboratory in this respect. Our empirical results reveal that the pass-through from exchange rates to domestic prices has changed dramatically. We detect breaks in the pass-through coefficients at three episodes, all of which coincide with a shift in monetary/exchange rate regime, lending support to the view that monetary and exchange rate regimes might be among the major determinants of the ERPT process . ( JEL C51, E31, E58)     

Monetary–fiscal policy interactions and commitment versus discretion in a monetary union

We consider monetary–fiscal policy interactions in a monetary union. If monetary and fiscal authorities have different ideal output and inflation targets, the Nash equilibrium output or inflation or both are beyond the ideal points of all authorities. Leadership of either authority is better. Fiscal discretion entirely negates the advantage of monetary commitment: The optimal monetary rule is equivalent to discretionary leadership of monetary over fiscal policy. Agreement about ideal output and inflation creates a monetary–fiscal symbiosis, yielding the ideal point despite disagreement about the relative weights of the two objectives, for any order of moves, without fiscal co-ordination, and without monetary commitment.     

Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model

I estimate the transmission of a common euro area monetary policy shock across individual euro area economies. To do so, I develop a global VAR model in which all euro area economies are included individually while, at the same time, their common monetary policy is modelled as a function of euro area aggregate output growth and inflation. The results suggest that the transmission of monetary policy across euro area economies displays asymmetries, and that, in line with economic theory, these are driven by differences in economies׳ structural characteristics. In particular, euro area economies in which a higher share of aggregate output is accounted for by sectors servicing interest rate sensitive demand exhibit a stronger transmission of monetary policy to real activity. Similarly, even though the evidence is less conclusive, euro area economies which feature more real wage and/or fewer unemployment rigidities also appear to display a stronger transmission of monetary policy to real activity.     

Monetary and fiscal policy interactions: Evidence from emerging European economies

This paper examines the interactions between fiscal and monetary policy for some former transition, emerging European economies over the 1995Q1–2010Q4 period by using a Markov regime-switching model. We consider the monetary policy rule proposed by Taylor (1993) and the fiscal policy rule suggested by Davig and Leeper (2007) in accounting for monetary and fiscal policy interactions. Empirical results suggest that monetary and fiscal policy rules exhibit switching properties between active and passive regimes and all countries followed both active and passive monetary policies. As for fiscal policy, the Czech Republic, Estonia, Hungary, and Slovenia seem to have alternated between active and passive fiscal regimes while fiscal policies of Poland and the Slovak Republic can be characterized by a single fiscal regime. Although the policy mix and the interactions between monetary and fiscal policy point a diverse picture in our sample countries, the monetary policy seems to be passive in all countries after 2000. This finding is consistent with the constraints imposed by European Union enlargement on monetary policy.     

Central banks' voting records,the financial crisis and future monetary policy

We examine whether central banks' voting records help predict the future course of monetary policy in the Czech Republic, Hungary, Poland, Sweden and the United Kingdom, controlling for financial market expectations. Unlike previous research, we first examine the period of the global financial crisis, characterized by a high level of uncertainty, and second, examine the predictive power of voting records over longer time horizons, i.e., the next monetary policy meeting and beyond. We find that voting records predict the policy rate set at the next meeting in all central banks that are recognized as independent. In some central banks, voting records are found—before, but not during, the financial crisis—to be informative about monetary policy at even more distant time horizons.     

The natural yield curve: its concept and measurement

This paper illustrates the concept of the natural yield curve and how to measure it. The natural yield curve extends the idea of the natural rate of interest defined at a single maturity to one defined for all maturities. If the actual real yield curve matches the natural yield curve, the output gap will converge to zero. An empirical analysis using data for Japan shows that past monetary easing programs expanded the gap between the actual real yield curve and the natural yield curve mainly for short and medium maturities and led to accommodative financial conditions. By contrast, the quantitative and qualitative monetary easing policy has expanded the gap for long maturities as well as short and medium maturities. The natural yield curve is expected to provide a useful benchmark in the conduct of both conventional monetary policy and unconventional monetary policy aiming to influence the entire yield curve.     

Rethinking Money as an Institution of Capitalism and the Theory of Monetary Circulation: What Can Modern Heterodox Economists/Institutionalists Learn from Karl Polanyi?

Modern heterodox theories of money reject the neoclassical conception of money as primarily a medium to facilitate exchange. These heterodox theories of money all have as common starting point an analysis of credit-debt relations in which production is a central feature, with these economies organized along capitalistic design. The Keynesian-Marxian framework describing the process of monetary circulation, traditionally referred to as the theory of the monetary circuit (TMC), perhaps best represents this comprehensive vision. This broad TMC analytical framework is compatible with institutionalist theories of money that also point to the importance of credit-debt relations. The question, however, is whether this more unified heterodox theory of money, which describes sequentially monetary relations under capitalism, can be used to understand pre-capitalistic monetary institutions. By conceptualizing money as a means of payment rather than medium of exchange, Karl Polanyi’s analysis offers social scientists crucial insights to understanding monetary relations in all types of societies in which credit-debt relations have emerged historically.     

前瞻性货币政策反应函数在我国货币政策中的检验

本文在泰勒等西方学者对货币政策反应函数研究的基础上,构造一个适合我国国情的前瞻性货币政策反应函数,从市场利率(同业拆借利率)、管制利率(存贷款利率)以及两者利差三个层次,通过该反应函数对我国货币政策的实证检验结果发现,一方面,该反应函数能够很好地描述同业拆借利率、存贷款利率和两者利差的具体走势,能够为我国货币政策的制定提供一个参考尺度,以衡量货币政策的松紧。另一方面,检验结果表明,三个层次的利率对预期通胀率和预期产出的反应绝大多数都不足,这说明,我国货币政策是一种内在不稳定的货币政策。     

我国货币政策传导机制的体制约束及其重构

本文通过对我国货币政策传导机制的全面分析,认为在实体经济发生根本性的结构变化之后,与原有计划经济相适应的金融体制是造成货币政策低效的主要原因。     

Monetary environments and stock returns revisited: A quantile regression approach

We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles, however, we find that expansive monetary conditions lead to significantly larger stock returns. The relationship between returns and monetary conditions at the upper quantiles is also found to be asymmetric, exhibiting a monotonic increase in responsiveness at successive quantiles.     

How Monetary Policy Affects Your Gross Domestic Product

During the financial crisis, monetary policy was loosened significantly. Debate continues about the extent to which low interest rates and quantitative easing (QE) may have had adverse distributional impacts, whether by income, wealth, age or region. Using quantified simulations on micro data, I show that looser monetary policy had a significantly positive financial impact on the majority of cohorts of UK society. The impact of monetary policy loosening on income and wealth inequality was small and the overall impact on household welfare significantly positive. These results differ from public perceptions of monetary policy. Personalised information on the impact of monetary policy on household balance sheets could help to correct these misperceptions.     

EFFECTIVENESS OF MONETARY POLICY IN SWEDEN

We study whether the sensitivity of Swedish interest rates to domestic economic news was affected by the zero lower bound (ZLB) and forward guidance. We find that the sensitivity was reduced at the ZLB at short but not at longer maturities, suggesting that monetary policy remained effective at longer horizons. Moreover, it was unaffected during a later period of the ZLB/negative policy rates, suggesting that monetary policy remained effective at all horizons then. We also find that the sensitivity of interest rates to domestic news was unaffected by forward guidance, suggesting that market participants understood the conditionality of the forward guidance. (JEL E52, E58)     

Currency crises in Brazil: the role of the fundamentals and the rumours

The paper aims at identification of the main explanatory factors of the currency crises in Brazil. Following Choueiri and Kaminsky (1997) a VAR monetary model is used and the historical decomposition procedure developed by Sims (1980) to evaluate the importance of the ‘fundamentals’ represented by fiscal/monetary and exchange-rate policies, and the ‘external factors’ represented by foreign interest rates and contagious effects. The main results show the importance of the exchange-rate management on the overall period and the contagious effects more recently to explain the Brazilian currency crises.     

重新认识货币区：一个新的视角

本文将货币区视为有关国家扩展政府边界的一种努力，由于在经济学的意义上我们有理由认定有政府的状态总是好于无政府的状态，因此这种努力就具有改进全球福利的意义。当然，任何一个国家尤其是民族国家一开始都不愿意政府边界的国际扩展危及自身的货币权力界限，相互之间的冲突也就在所难免。本文依据蒙代尔定理，着力讨论了国际货币冲突及其博弈均衡的内在机理，认为货币区的产生是经济理性对国家主义的一种胜利，但货币区本身并不是一个一劳永逸的最后结局。随后本文以美元和欧元为例进一步阐发了货币区的演进逻辑，最后从重商主义经济角度切入探讨了亚洲货币区的有关问题并就中国的对策提出了若干建议。