Does Money Have a Role in Monetary Policy for Price Stability under Inflation Targeting in Thailand?

This paper deploys Thai quarterly data for the study period 1999q1–2014q4 to econometrically investigate the proposition that money growth is an important, if not the sole, determinant of inflation under inflation targeting and that the money growth-inflation relation is not conditional on the stability of the money-demand function. The autoregressive distributed-lag (ARDL) bounds-testing results suggest that, across the study period, the Thai money stock (narrow or broad), real output, prices, interest rates and exchange rates maintained a long-run equilibrium relationship. The associated error-correction model of inflation confirms the cointegral relationship among money (narrow or broad), real output, prices, interest rates and exchange rates. It also suggests that money growth has a significant distributed-lag impact on inflation. The presence of this money growth-inflation relationship was associated with a stable narrow money-demand function, whereas the broad money-demand function remained unstable. These results for the study period are consistent with the view that the causal relationship between money growth and inflation holds in Thailand under inflation targeting when the Bank of Thailand deploys a short-term policy interest rate, rather than a monetary aggregate, as the instrument of monetary policy and that this relationship is not conditional on the stability of the money-demand function.     

Impacts of macroeconomic policies on the Mexican output

This paper examines the potential effects of macroeconomic policies, stock market performance, exchange rate fluctuations, and other related variables on real GDP in Mexico. Extending the works by Arango and Nadiri (1981) and Bahmani‐Oskooee and Ng (2002), and applying comparative‐static analysis, possible effects of a change in the exchange rate or government debt on the equilibrium output are examined. All the variables have unit roots and are stationary in first difference. There is a long‐run stable relationship between real GDP and the right‐hand‐side variables. The GARCH(p,q) (Engle 2001) model is applied to estimate regression parameters. Real GDP is positively associated with real M2, government deficit spending, stock prices, U.S. output, and world oil prices, and negatively affected by the government debt ratio, peso depreciation, and the expected inflation rate. Therefore, fiscal policy to incur more debt needs to be pursued with caution, and both net exports and money demand need to be considered in studying the impact of exchange rate fluctuations on output.     

货币政策对股票价格行为的影响实证分析

文章以影响股票价格的理论为基础,采用现代计量技术,采用2005年1月至2007年6月的月度时间序列数据,研究了汇率、存款准备金率以及利率、货币供应量等宏观经济因素对股票价格的影响。从2005年6月以来我国A股市场股票价格的持续上涨,其主要原因是经济的高速增长、人民币升值以及充足的货币供应量;而加息与提高存款准备金率对股票价格变化的影响有限。     

Inflation,economic activity and the operation of fiscal,foreign and monetary impulses in the Netherlands — A preliminary analysis, 1953–1973

Summary This paper tests both the strong and weak versions of the fiscal, foreign and monetary impulse hypotheses holding that each of these impulses is either a sufficient or a necessary condition for fluctuations in price and output to occur.Four impulses are distinguished: a fiscal impulse being a linear combination of autonomous changes in government expenditures and taxes, two foreign impulses measured by the growth rates of world trade and import prices, and a monetary impulse measured by (changes in) the growth rate of the stock of domestic or world money.When tested against the Dutch post-war experience of inflation and output fluctuations, all strong impulse hypotheses have to be rejected, as do the weak fiscal and foreign world trade hypotheses with respect to inflation and the weak fiscal hypotheses with respect to output growth. The weak foreign and monetary impulse hypotheses of output fluctuations, however, and the weak foreign import price and monetarist hypotheses of inflation are not rejected.     

Exchange rates and the trade balance: the case of Singapore 1970 to 1996

The purpose of this paper is to examine the relationship between the real trade balance and the real exchange rate for bilateral trade in merchandise goods between Singapore and the USA on a quarterly basis over the period 1970 to 1996 using the partial reduced form model of Rose and Yellen (1989). We also hope to shed further light on what has become known as the ‘Singapore export puzzle’: the observation that, despite periods of rapid nominal and real appreciation of the Singapore dollar, export growth in aggregate has remained buoyant.Our findings suggest that the real exchange rate does not have a significant impact on the real bilateral trade balance for Singapore and the USA, thus confirming previous work which finds a weak relationship between changes in the exchange rate and changes in export and import prices and volumes for Singapore. We also found little evidence of a J-curve effect. Although positive coefficients linking real exports with lagged values of the real exchange rate might be indicative of ‘small country’ pricing by exporters in U.S. dollars, it is not clear that this is masking J-curve effects from an initial rise in import values as the home currency depreciates.     

外汇储备对股票市场价格的影响——基于流动性视角的分析

文章选取2005年5月到2011年6月的月度数据,运用VEC模型对外汇储备对股票市场价格的影响进行了实证分析。结果显示,外汇储备是通过宏观层面的流动性对股市产生影响,外汇储备和货币供应量对股票市场价格的影响均比较小,主要原因是其传导机制比较复杂,且我国对信贷资金流入股市采取十分严厉的限制。相应地,文章提出了加强对流入股市热钱的监管;加强非流通股股东解禁的管理;深化一级市场改革发行制度,积极发展债券、期货等资本市场;完善宏观调控手段以及坚持严格信贷资金流入股市等政策建议。     

Stabilization policy under flexible exchange rates and liquidity

Summary A two country model under flexible exchange rates is developed. The model shows that changes in the interest rate resulting from monetary or fiscal expansion has indeterminant effects on prices, output, capital flows and liquidity demand for money under conditions of a less than full employment equilibrium. Stabilization policy recommendations previously respected in this context fall under suspicion.     

Coffee, money and inflation in Colombia

The purpose of this paper is to analyse the relationship between coffee, money, inflation and international competitiveness in Colombia. The basic hypothesis being investigated is that higher (lower) prices of coffee will tend to result, through the accumulation of international reserves, in higher (lower) inflation. In turn, this higher inflation will generate, for a given rate of devaluation of the nominal exchange rate, a reduction of the real exchange rate, with the consequent loss of competitiveness in the non-coffee tradable goods sector. A ‘Dutch-disease’ type of model is developed to discuss analytically the relationship between coffee prices, money creation and competitiveness in the short and long run. Empirical results for 1952–1980 are presented. These results support the hypothesis that there has been a positive relationship between the price of coffee, money creation and inflation in Colombia.     

Do Capital Inflows Matter to Asset Prices? The Case of Korea*

In the present paper, we investigate whether capital flows induce domestic asset price hikes in the case of Korea. This issue is relevant for crisis‐hit economies trying to prevent a boom–bust cycle as well as in the formulation of macroeconomic policy objectives in emerging market economies. Korea has recently experienced large capital inflows, in particular a surge in portfolio inflows. Furthermore, asset prices, including stock prices, land prices and nominal and real exchange rates, have also appreciated. The empirical results, obtained using a vector autoregression model, suggest that capital inflow shocks have caused stock prices but not land prices to increase. The effects on the nominal and real exchange rates have been limited, which relates to the accumulation of foreign exchange reserves.     

A Markov‐switching analysis of Nigeria's business cycles: Are election cycles important?

The study examines Nigeria's business cycles between October 1998 and October 2017 and ascertains the importance of general elections cycles in engendering cyclical fluctuations in different measures of business cycles. A framework based on political business cycles theory was estimated with a dynamic Markov‐switching regression technique. The study finds that election cycles are adequate in predicting cycles in food prices, non‐farm prices, exports, and imports in Nigeria while a significant effect of election cycles on the stock market, general price level, and exchange rate could not be established. The study concludes that cycles in food, non‐farm prices, imports, and exports can be predicted by future general elections while re‐election seeking behaviour of politicians lacks the power to influence stock market performance and exchange rate in Nigeria. Hence, artificial business cycles that result primarily from politicians manipulating certain fiscal tools targeted at stimulating the economy only to increase the re‐election chances could be minimized if monetary and fiscal institutions are strong, effective, and truly independent. This will ensure that policies are not manipulated between elections by politicians but are well targeted at achieving a set of long‐term developmental goals.     

Bilateral Trade in the Asia-Pacific: A Case Study for Australia, USA, Japan and Singapore

This analysis of bilateral trade involves four Asia-Pacific nations (USA, Japan, Singapore and Australia) on a quarterly data set 1977 to 1994. The reduced-form model applied here derives from a structure which accommodates income, real exchange rate and real-balance effects. We find that bilateral balances between these countries are not cointegrated with some potential determinants, in particular real exchange rates. In the short run, appropriately defined, we find that Singapore’s trade with the USA and Japan is influenced by real exchange rates; Australian-Japanese and Australian-US trade is influenced by real income and real-cash-balance effects but not real exchange rates while USA-Japanese bilateral trade is influenced only by real-cash-balance effects. The general conclusion is that real exchange rates have only limited effects on these selected Asia-Pacific bilateral trading patterns, while real-balance and income effects have a greater impact over the short run.     

牛、熊市状况下人民币汇率与股价关系分析

文章分析了2005年7月人民币汇率改革以后牛熊市下人民币汇率和股票价格的关系,本文发现,在牛市期间,汇率和股票指数在滞后一期上是互为Granger因果关系的,在其余的各滞后期,汇率都是股票指数的Granger原因,而股票指数都不是汇率变动的Granger原因。从两者的互相影响的关系上看,两者在一定程度上互相影响,但是汇率变化对股指变化的影响比股指变化对汇率变化的影响的程度要更深。而在熊市情况下,人民币汇率和股票指数之间不存在协整关系。     

Bilateral Trade Balances: Evidence from Malaysia*

This study examines the impacts of real exchange rates on the bilateral trade balances of Malaysia with the USA, Japan and Singapore. The results for the long‐run cointegrating vectors show that depreciation or devaluation of real exchange rates will improve bilateral trade balances. In the short run, there is some evidence of the J‐curve phenomenon. Changes in real money supply contribute greatly to changes in real exchange rates. Generally, changes in real exchange rates contribute significantly to changes in bilateral trade balances. Monetary policy can be used to influence bilateral trade balances.     

Saving,investment, growth and the cost of financial repression

This paper presents a quantitative estimate of the cost of financial repression in developing countries. Here, financial repression is interpreted as the technique of holding institutional interest rates (particularly deposit rates of interest) below their market equilibrium levels. For a sample of developing countries, saving is found to be affected positively by the real deposit rate of interest, as is real money demand, where money is defined broadly to include savings and time deposits. Under disequilibrium interest rate conditions, higher saving which raises real money demand increases pari passu the real supply of credit. Credit availability is an important determinant not only of new investment but also of capacity utilization of the entire capital stock. Hence, the growth rate is itself affected positively by the real deposit rate of interest through two channels – first, the volume of saving and investment and, second, capacity utilization of the entire capital stock, i.e. the measured incremental capital/output ratio. Estimates of saving and growth functions lead to the conclusion that the cost of financial repression appears to be around half a percetage point in economic growth foregone for every one percentage point by which the real deposit rate of interest is set below its market equilibrium rate.     

Temporal causality and the dynamic interactions among macroeconomic activity within a multivariate cointegrated system: Evidence from Singapore and Korea

Temporal Causality and the Dynamic Interactions among Macroeconomic Activity within a Multivariate Cointegrated System: Evidence from Singapore and Korea. — The main purpose of this paper is to discern the dynamic causal relationship (in the Granger (temporal) sense) among real output, money, interest rate, inflation and exchange rate in the context of two small open economies, such as Singapore and Korea. The Granger-causal chain implied by the authors’ evidence that real output more often the authors’ predominantly leads (rather than lags) money supply followed by other three endogenous variables, is consistent more with the recent Real Business Cycle theory than with the other two major macroeconomic paradigms such as the Keynesian and the Monetarist.     

中日两国汇率与股价指数的联动性分析

随着汇率限制和资本流动障碍的解除,一国的汇率与股市价格之间呈现出一种联动性。在对以利率为核心中介要素的传导机制进行理论分析的基础上,运用计量方法进行实证检验发现,外汇汇率与股市价格之间存在长期负相关关系。在长期内,我国上证综指是汇率变动的Granger原因。借鉴日本经验,我们不仅要看到人民币温和升值对股票市场价格的积极效应．同时更要重视股市泡沫破灭后的严重后果。中国可以采取循序渐进的汇率改革方式,坚持汇改的主动性、可控性以及渐进性,根据国际国内经济情况的变化适时、适度、逐步完善汇率机制,严控异常国际资本的流入,同时加强股市监管,努力营造公开、公正、透明的证券市场,为人民币将来的完全国际化提供一个市场制度基础。     

An Investigation of the Effects of Prices and Exchange Rates on Trade Flows in East Asia

This paper investigates the dynamic response of imports and exports to changes in domestic prices, foreign prices and real effective exchange rates for Korea, the Philippines, Singapore and Thailand. A vector autoregressive model and cointegration analysis are used to study the long-run relationships and the short-run dynamics of these variables. The vector error-correction model indicates that in almost all cases, domestic and foreign prices have a larger impact on the trade flows than the real effective exchange rates. We cannot find any significant difference in the response time of import demand to shocks in prices and exchange rates; however, the response time for export supply varies among countries.     

The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables

This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatility of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates. The panel VAR represents interest rate channel is a more important than exchange rate and stock price channel.     

我国货币政策影响因素分析——基于VAR模型分析

论文使用2006-2012年月度数据,基于VAR模型对影响我国货币政策的因素进行了协整分析,结果表明:财政赤字、外汇储备、资产价格与M2在长期存在均衡关系,且资产价格变动对于货币供应量的影响为最大;短期内,财政赤字、外汇储备、资产价格受到一个正的冲击,引起M2变动的最大值分别为0.1702%、0.1335%、0.2478%,财政赤字、外汇储备具有正效应,资产价格具有负效应,这三者因素对于我国的货币政策的影响不容忽视,应受到政策制定者的关注。     

房地产上市公司股价影响因素实证分析

近年来,在持续的房地产调控政策影响下,我国商品房市场开始出现成交量大幅下滑,房价逐步松动下滑的现象。但在此期间,房地产上市公司股票价格不仅强于大盘走势,而且其波动幅度也高于房地产销售价格指数。为此,本文选择房地产上市公司股票价格指数为因变量,选择上证综指、发电量增长率、CPI、人民币贷款利率、房地产价格指数五个因素指标为自变量进行多元回归统计建模,模型检验结果表明,房地产上市公司股价波动除具有一般金融资产价格波动的系统性、集聚性等特点外,还具有与人民币贷款利率和房屋销售价格指数负相关的特点。受宏观调控政策的持续影响,中国当前房地产市场出现一定程度的扭曲,实体经济增长对房地产上市公司股价的影响不显著。