泰勒规则及其在中国货币政策中的适应性

本文介绍泰勒规则的基本模型及其理论扩展,对泰勒规则的理论与操作进行评述,并结合中国实际,展望泰勒规则在中国的应用前景.文章认为,泰勒规则反映了近年来西方国家货币政策实践的本质,能够作为货币政策操作的理论依据和参考基准.就中国而言,由于利率市场化进程的滞后和货币政策传导机制的低效性,泰勒规则的实施还有一定困难.不过,随着利率市场化机制的形成与利率弹性的增大,利率有可能比货币供应量更适宜作为中国货币政策的中介目标.     

Monetary Policy Stress in EMU: What Role for Fundamentals and Missed Forecasts?

This article reexamines the problem of monetary policy stress in the EMU. In addition to estimating the amount of stress in particular countries, we investigate its sources by breaking it down into its “fundamental” parts, covering how it is a result of country-specific macroeconomic divergences and the EMU-wide “non-fundamental” component, with special attention given to the role of missed forecasts. Our results confirm that peripheral countries were exposed to risks emerging from low interest rates while the “core” countries did not suffer from much monetary policy stress. Interestingly, the bulk of it was non-fundamental, i.e., not caused by inflation and output gap differentials between countries. We show that missed forecasts did make an important contribution to this part of the stress and were mainly responsible for pushing the interest rate below its rule-consistent level.     

The Taylor Rule and “Opportunistic” Monetary Policy

We investigate the possibility that the Taylor rule should be formulated as a threshold process such that the Federal Reserve acts more aggressively in some circumstances than in others. It seems reasonable that the Federal Reserve would act more aggressively when inflation is high than when it is low. Similarly, it might be expected that the Federal Reserve responds more to a negative than a positive output gap. Although these specifications receive some empirical support, we find that a modified threshold model that is consistent with “opportunistic” monetary policy makes significant progress toward explaining Federal Reserve behavior.     

流动性冲击、货币政策失误与金融危机——对美国金融危机的反思

本文认为:(1)流动性冲击主要通过资产负债表渠道和资产价格渠道来影响金融市场,正是这两种渠道才使得流动性在金融危机爆发及传导的过程中扮演了重要角色。借款人的资产负债表效应导致损失螺旋和保证金螺旋的产生,造成资产的折价销售,推动了资产价格的下跌和进一步的银根紧缩;(2)房地产泡沫的形成与美联储的货币政策失误、金融市场结构变化、新布雷顿森林体系以及投资者的羊群行为等有关,房地产泡沫破灭是美国金融危机的导火索;(3)金融危机爆发后,美联储通过调整中央银行的资产负债表,推出各种形式的金融创新工具,向金融市场注入流动性,有效地降低了金融市场崩溃的概率。论文最后从流动性管理的角度,对美国金融危机进行了反思。     

关于货币政策在经济调整中的作用和面临的风险

该文通过分析重温了货币主义的主要观点,对于货币政策在本轮危机中扮演的角色以及过于灵活的相机抉择式的微调模式提出质疑;并回到货币主义的立场,以货币数量轮的视角来评判当前美国货币政策操作。文章认为货币政策不应过多关注资本市场,保持货币和基准利率相对平稳对于宏观经济运行至关重要。     

美联储应对次贷危机的货币政策工具

在次贷危机的应对中，美联储的货币政策激进、灵活，与正常时期的渐进主义策略大相径庭。文章在对次贷危机以来美联储的货币政策操作进行梳理的基础上，研究美联储应对危机的货币政策机理，发现在危机时期，美联储始终坚持其担负的目标，货币政策体现为及时的、决定性的和灵活的。最后，文章探讨了美联储的危机时期政策对我国央行货币政策操作的启示。     

经济转型时期中俄货币政策目标比较研究

本文回顾了中国和俄罗斯近年来执行货币政策的主要经历,并针对两国货币政策目标及其实施绩效进行了评价。结果发现,虽然中俄两国采取了相同的货币政策框架,但是却取得了不同的结果,中国的货币政策成功的控制了通胀,而俄罗斯的实际通胀率却始终高于其预先设定的目标。利用开放经济条件下的泰勒规则,我们进一步对中俄两国货币政策的目标进行了实证分析。结果表明,尽管中俄两国货币政策都采取了相同的反通胀的政策立场,但俄罗斯货币政策在稳定通胀的同时,还将稳定汇率作为了货币政策主要目标,这也是造成两国货币政策不同绩效的主要原因。我们认为,在当前人民币升值和通胀上升双重压力的背景下,我国货币政策的基本取向应该是坚持以反通胀为首要目标。     

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.     

The Meta Taylor Rule

We characterize U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties inherent in traditional Taylor rule analysis. Our approach involves estimation and inference based on Taylor rules obtained through standard linear regression methods, but combined using Bayesian model averaging techniques. Employing data that were available in real time, the estimated version of the “meta” Taylor rule provides a flexible but compelling characterization of monetary policy in the United States over the last 40 years.     

A Historical Analysis of the Taylor Curve

Taylor (1979) shows that there is a permanent trade‐off between the volatilities of the output gap and inflation. Although a number of papers argue that the so‐called Taylor curve is a policy menu, we use it as an efficiency locus to gauge the appropriateness of monetary policy. We examine the efficiency of U.S. monetary policy from 1875 onward by measuring the orthogonal distance between the observed volatilities of the output gap and inflation from the Taylor curve. We also identify time periods in which the variability of the U.S. economy changed by observing shifts in this efficiency frontier.     

Nowcasting and the Taylor Rule

Actual federal funds rates in the U.S. have, at times, deviated from the recommendations of a simple Taylor rule. This paper proposes a “nowcasting” Taylor rule that preserves the form of the Taylor rule but encompasses realistic assumptions on information observable to policymakers. Because contemporaneous inflation rates and output gaps are not observable at the time policy is set, policymakers must form “nowcasts.” The optimal nowcast will depend, in part, on forecast uncertainty whenever policymakers have asymmetric costs to over‐ and underpredicting inflation and output. Empirical evidence shows that actual policy rates are consistent with those recommended by a nowcasting Taylor rule.     

The Impact of Foreign Banks on Monetary Policy Transmission During the Global Financial Crisis of 2008–2009: Evidence from Korea

This article examines the impact of foreign banks on the monetary policy transmission mechanism in the Korean economy during the period from 2000 to 2012, with a specific focus on the lending behavior of banks with different types of ownership. Using bank-level panel data of the banking system in Korea, we present consistent evidence on the buffering impact that the foreign banks, especially foreign bank branches including US bank branches, on the effectiveness of the monetary policy transmission mechanism in Korea from the bank-lending channel perspective during the global financial crisis of 2008–2009.     

The Taylor Rule and Forecast Intervals for Exchange Rates

In this paper, we examine the Meese–Rogoff puzzle from a different perspective: out‐of‐sample interval forecasting. While most studies in the literature focus on point forecasts, we apply semiparametric interval forecasting to a group of exchange rate models. Forecast intervals for 10 OECD exchange rates are generated and the performance of the empirical exchange rate models are compared with the random walk. Our contribution is twofold. First, we find that in general, exchange rate models generate tighter forecast intervals than the random walk, given that their intervals cover out‐of‐sample exchange rate realizations equally well. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting distributions of exchange rates. We also find that the benchmark Taylor rule model performs better than the monetary, PPP and forward premium models, and its advantages are more pronounced at longer horizons. Second, the bootstrap inference framework proposed in this paper for forecast interval evaluation can be applied in a broader context, such as inflation forecasting.     

Optimal money and debt management: Liquidity provision vs tax smoothing

Conventional wisdom on public debt management says that liquidity demand should be satiated and that tax rates should be smoothed. Conflicts between the two can arise when government bonds provide liquidity. Smoothing taxes causes greater variability in fiscal balances, and therefore in the supply of government liabilities. When prices are flexible, and can jump to absorb fiscal shocks, the tradeoff between liquidity provision and tax smoothing is eased; when they conflict, optimal policy subordinates tax smoothing to satiating liquidity demand. When price fluctuations impose real costs, conflicts necessarily arise and optimal policy gives primacy to neither goal.     

各国央行非常规货币政策综述

美国次贷危机爆发以来,全球金融系统和实体经济遭遇了严重冲击,为了有效缓解负面冲击,各国央行纷纷推出各种宽松性货币政策,但在实际应用中,传统货币政策不能有效克制危机,美联储等央行纷纷求助于量化宽松等新型非常规货币政策。目前来看,非常规货币政策产生了积极影响,美国等经济体实现了就业的改善、金融系统的稳定和经济增长的复苏。为全面了解货币政策,本文系统归纳了美联储等央行采取的各类非常规货币政策,探讨了非常规货币政策的实施途径及效能得失,并总结了美联储采取非常规货币政策的主要经验。     

Monetary Policy Estimation in Real Time: Forward‐Looking Taylor Rules without Forward‐Looking Data

I propose a methodology for estimating forward‐looking Taylor rules in real time when forward‐looking real‐time central bank data are unavailable. The methodology consists of choosing appropriate models to closely replicate U.S. Greenbook forecasts and then applying these models to Canada, Germany, and the U.K. The results show that German and U.S. Taylor rules are characterized by inflation coefficients increasing with the forecast horizon and a positive output gap response. The U.K. and Canada interest rate reaction functions achieve maximum inflation response at middle‐term horizons of about 1/2 years and the output gap coefficient is insignificant.     

Inflation targeting,credibility, and non-linear Taylor rules

In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation target. To (re-) establish credibility, monetary policy under discretion sets higher interest rates today if average inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is reflected in an additional term in the central bank's instrument rule, which we refer to as the ”credibility loss.” Augmenting a standard Taylor (1993) rule with the latter term, we provide empirical evidence for the interest rate response for a sample of five inflation targeting (IT) economies. We find, first, that past deviations from IT feed back into the reaction function and that this influence is economically meaningful. Deterioration in credibility (ceteris paribus) forces central bankers to undertake larger interest rate steps. Second, we detect an asymmetric reaction to positive and negative credibility losses, with the latter dominating the former.     

The discrete and differential impact of monetary policy

This study exploits a unique feature of the Australian monetary policy environment to determine whether economic recovery can be stimulated via central bank communications. This study finds that unexpected monetary policy announcements and communications have a significant and comparable impact on the value and volatility of the Australian foreign exchange market, suggesting that they can be used interchangeably to stimulate economic recovery. However, further analysis reveals that the state of the economy influences this impact. Specifically, during poor economic states, monetary policy actions speak louder than words, an adage that in this context provides actionable information for central bank regulators.     

Nominal GDP Targeting and the Taylor Rule on an Even Playing Field

Some economists advocate nominal GDP targeting as an alternative to the Taylor Rule. These arguments are largely based on the idea that nominal GDP targeting would require less knowledge on the part of policymakers than a traditional Taylor Rule. In particular, a nominal GDP targeting rule would not require real-time knowledge of the output gap. We examine the importance of this claim by amending a standard New Keynesian model to assume that the central bank has imperfect information about the output gap and therefore must forecast the output gap based on previous information. Forecast errors by the central bank can then potentially induce unanticipated changes in the short-term nominal interest rate, distinct from a standard monetary policy shock. We show that forecast errors of the output gap by the Federal Reserve can account for up to 13% of the fluctuations in the output gap. In addition, our simulations imply that a nominal GDP targeting rule would produce lower volatility in both inflation and the output gap in comparison with the Taylor Rule under imperfect information.     

Economic policy uncertainty,corporate investment decisions and stock price crash risk: Evidence from China

We examine the relationship between economic policy uncertainty (EPU) and stock price crash risk via the corporate investment in Chinese listed firms. Results show that higher EPU is associated with lower crash risk. Firms increase financial asset holdings and reduce overinvestment when EPU rises, leading to lower future crash risk. State-owned enterprises (SOEs) and firms with lower management incentives tend to reduce overinvestment, whereas non-SOEs tend to increase financial asset holdings. Thus, firms tend to be cautious in their investments when EPU is high, which reduces crash risk. Our study provides new insights into the validity of the Lucas critique in China.