中国的通胀、通胀预期与人民币有效汇率——开放新凯恩斯混合菲利普斯曲线框架下的实证分析

本文将人民币名义有效汇率引入新凯恩斯混合斯菲利普斯曲线框架,并构建计量模型对中国的通胀进行实证分析.结论认为:我国经济增长存在通胀效应;通胀既受到通胀预期的影响而具有前瞻性,也受到前期通胀影响而具有后顾性,且前瞻性预期对通胀的影响处于主导地位;人民币名义有效汇率对中国通胀率的传递效应非常微弱且统计上不显著.文章的结论启示我们:当前治理通货膨胀不应对人民币汇率期望过高,而应更多地将注意力放在国内经济平衡和改变民众的预期上.     

Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries

This paper extends the existing literature on the open economy New Keynesian Phillips Curve by incorporating three different factors of production, domestic labor and imported as well as domestically produced intermediate goods, into a general model which nests existing closed economy and open economy models. The model is estimated for nine euro area countries and the euro area aggregate. We find that the general specification of our model improves the fit of the New Keynesian Phillips Curve considerably compared to the closed economy specification. The estimates of the structural parameters of the model suggest strong heterogeneity in the degree of price rigidity across euro area counties. Furthermore, we find the degree of price rigidity to be systematically lower in the open economy specification than in the closed economy specification and also lower than in the general specification of our model.

New Keynesian Explanations of Cyclical Movements in Aggregate Inflation and Regional Inflation Differentials

What determines the cyclical behavior of aggregate inflation and regional inflation differentials? The answer has strong implications for monetary policy and in Europe for the Stability and Growth Pact. In the United States, inflation rates move pro-cyclically, and across the Euro Area, inflation differentials are positively correlated with growth differentials. This suggests that demand shocks are the primary determinants of the cyclical behavior of aggregate inflation and regional inflation differentials. In this paper, we discuss New Keynesian explanations of these correlations, and we argue that demand shocks are either missing or inadequately modeled in the in typical New Keynesian model.     

Inflation Dynamics and Monetary Strategies: Evidence from Six Industrialized Countries

In this paper we address the issue whether a switch to inflation targeting can help build monetary policy credibility and can substitute for a track record of low inflation. To this end, we empirically evaluate the success of inflation targeting in Canada, New Zealand and the United Kingdom and investigate to what extent the joint dynamic processes of inflation and nominal interest rates in these three countries have experienced a structural break at the time of the regime switch to inflation targeting. The experience of Canada, New Zealand and the United Kingdom is matched with the United States, Australia and Germany. We find that the effectiveness of the direct inflation targeting approach to quickly increase low-inflation credibility so far is ambiguous and that this strategy is not clearly superior to intermediate monetary strategies.     

企业生存状况与中国经济波动--基于动态新凯恩斯主义的视角

基于一个包含企业进入和退出的双重名义刚性NKMP－DSGE模型,考察了中国经济波动问题。研究发现,与已有研究相比,外生冲击可以通过影响企业进入和退出进而影响宏观经济。总需求冲击的贝叶斯脉冲响应函数显著支持了我国政府在金融危机期间采用非常规货币政策刺激经济的做法;进入成本冲击的贝叶斯脉冲响应函数表明,降低融资难度和融资成本,提高政府公共服务效率,将有利于新企业的建立和经济增长。这一结论显著支持了央行定向降准的做法。     

Economic Complexity and Inflation: An Empirical Analysis

Atlantic Economic Journal - This study examines the relationship between inflation and economic complexity, the set of productive capabilities and know-how embedded in the structure of an economy....     

Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data

This paper uses the European Commission’s Consumer Survey to assess whether inflation expectations have converged and whether inflation uncertainty has diminished following the introduction of the euro in Europe. Consumers’ responses to the survey suggest that inflation expectations depend more on past national inflation rates than on the ECB’s anchor for price stability. Inflation expectations do not converge significantly faster than actual inflation rates. Regarding inflation uncertainty, the data indicate a relationship with country size following the introduction of the euro. This suggests that within EMU, inflation uncertainty may increase in countries that have a smaller influence on ECB policy. JEL no.  D84, E31, E58     

Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks

The recent financial crisis has stimulated a renewed interest in understanding the determinants of stock price crash risk (i.e., left tail risk). Recent research shows that opaque financial reports enable managers to hide and accumulate bad news for extended periods. When the accumulated bad news reaches a certain tipping point, it will be suddenly released to the market at once, resulting in an abrupt decline in stock price (i.e., a crash). This study extends this line of research by examining the impact of financial reporting opacity on perceived or expected crash risk. Prominent economists, such as Olivier Blanchard, argue that removing the perception of tail risks (in addition to realized tail risks) is crucial in restoring investor confidence and stabilizing the stock market. Using the steepness of option implied volatility skew as a proxy for perceived crash risk, we find that accrual management, the presence of financial statement restatements, and auditor‐attested internal control weakness are all positively and significantly associated with the level of perceived crash risk. Our results suggest that improving financial reporting transparency is an important mechanism for firms and policymakers to reduce the perception of tail risks and stabilize the stock market.     

中日菲利普斯曲线机制与价格调整过程的非对称性检验

菲利普斯曲线主要描述通货膨胀率和失业率之间的反向相关关系,本文主要描述和检验中日两国非对称价格调整所导致的非线性菲利普斯曲线机制。如果价格调整在下降与上升阶段存在非对称性,菲利普斯曲线在不同区间具有不同的表示形式,本文估计和检验发现中日两国价格调整过程存在非线性和非对称性,而门限自回归模型的估计和检验表明仅仅中国的菲利普斯曲线存在非线性和非对称性,而日本的菲利普斯曲线在样本范围内是线性的,这是判断中日两国通货膨胀预期的重要经验事实。     

Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS

In an attempt to understand the relationship between stock returns and inflation, this study proposes testing the Fisher effect in two groups of countries, the G7 (Canada, France, Germany, Italy, Japan, United Kingdom and the United States) group of low inflation industrialized countries and the BRICS (Brazil, Russia, India, China, and South Africa) group of relatively high inflation emerging countries, to examine the extent to which a one-to-one movement of stock returns and inflation relates to the country’s inflation rate and consumer price index. By using cointegration and vector error correction models, the results show that there is evidence of a long-run positive relationship in both G7 and BRICS countries.     

Inflation and Economic Growth: Evidence from the Southern African Development Community

In this paper, we investigate the role of inflation rates in determining economic growth in 15 sub‐Saharan African countries, which are all members of the Southern African Development Community, between 1980 and 2009. The results, based on panel time‐series data and analysis (we use the fixed effects and fixed effects with instrumental variables estimators to account for heterogeneity and endogeneity in thin panels), suggest that inflation has had a detrimental effect to growth in the community. We highlight that inflation has offset the Mundell–Tobin effect and consequently reduced the much needed economic activity in the community, and also the importance of an institutional framework conducive to a stable macroeconomic environment as a precondition for development and prosperity in the community.     

Money,Inflation and Adjustment Policy in Africa: Some Further Evidence

Abstract: In view of the explicit link between inflation and the rate of monetary expansion that is invariably incorporated into many macroeconomic adjustment programmes in Africa, this paper, using both cross-section and time series econometric analysis, provides some new empirical evidence on the relationship between money and inflation in Africa. It is shown that although, broadly speaking, the simple monetarist inflation model appears to hold when tested in cross-section equations covering several countries and averaged over several years, the same is generally not true for individual countries in time series analysis or in cross-section studies covering shorter time periods. In fact, the result of the analysis strongly suggest that factors other than the rate of monetary expansion have played an important role in determining short-run inflation trends in Africa. With respect to the implications of these findings for the conduct of current macroeconomic policy and in particular, given the apparently lesser role that ought to be assigned to monetary factors over the short run, the paper urges greater flexibility in deploying policy instruments towards inflation targets in individual African countries and cautions against the application of rules based on regional results in favour of those derived from country-specific findings. Résumé: Compte tenu du lien explicite entre inflation et taux d'expansion monetaire, auquel il est invariablement fait reference dans de nombreux pro-grammes d'ajustements macro-economique en Afrique, cet article, s'appuyant sur une analyse economique de donnees transversales et chronologiques fournit de nouvelles preuves empiriques des relations qui existent entre la monnaie et l'inflation en Afrique. On montre que, de facon generale, mkme si le simple modele monetariste d'inflation parait ktre valide lorsqu'on effectue des tests sur des equations transversales couvrant plusieurs pays et qu'on calcule sa moyenne sur plusieurs annees, il n'en est pas de mCme, pour les pays consideres isolement, dans l'analyse de series chronologiques ou dans les etudes transver-sales couvrant des periodes plus courtes. De fait, les resultats de l'analyse donnent fortement a penser que des facteurs autres que le taux d'expension monetaire ont joue un role important dansla determination des tendances inflationnistes a court terme en Afrique. En ce qui concerne les consequences de ces conclusions pour la conduite de la politique macro-economique actuelle et, en particulier, vu le role moins important, a ce qui semble, qu'il faudrait accorder court terme aux facteurs monetaires, l'article preconise une plus grande souplesse dans le deploiement de la panoplie des instruments de poli- tique economique pour atteindre les objectifs retenus pour le taux d'inflation dam les differents pays africains et met en garde contre l'application de regles fondees sur les resultats regionaux en faveur de celles elaborees a partir de conclusions propres aux pays.     

创业者自信程度与融资表现:来自众筹的经验证据

基于京东众筹的微观数据,研究创业者自信程度对融资表现的影响,并通过创业经验调节、创业者类别异质性分析探讨不同众筹创业者的自信倾向和比较心理,结果发现:众筹创业者自信程度与融资表现呈倒U型曲线关系;在创业经验调节下的创业者心理认知更为有限理性;相较于中小企业创业者,“草根”创业者过度悲观的心理导致了更低的超额融资效率和投资人参与度。进一步研究发现,在适度范围内随着创业者自信程度的增大,其对于融资表现的促进作用不断增强,验证了已有结论及指标的适用性。研究对于响应国家“双创”政策、加深投资人对各类众筹创业者心理认知的了解、提升创业者在疫情后特殊时期的融资表现具有一定意义。     

生产分割、新经济地理与产业区位:理论模型和经验证据

本文在生产分割的新经济地理模型基础上,对我国长三角地区的产业区位调整进行了实证检验。经验研究的结果证明了理论模型的结论,即生产分割情况下,制造业的空间区位同样存在类似于中心-外围的结构。但是影响不同产业区位调整的因素差异很大,这些因素的强弱也随时间而变化。这就启示决策部门,不仅要制定有效的政策参与生产分割过程,促进区域经济协调发展,而且要对政策进行合理的调整。