Exchange rate regimes and asset prices

We study the implications of alternative exchange rate regimes for asset prices in a portfolio balance model motivated by the recent US-China experience. We establish that asset price responses to various shocks differ across a flexible regime and a -unilateral- peg but the differences for most shocks tend to be rather small. Moreover, while both monetary and public debt expansions have inflationary effects on equity prices, the latter's impact is stronger under a flexible exchange rate regime. These two findings suggest that a flexible USD/rimni rate would not have limited the recent asset price inflation in the US.     

Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output?

We investigate empirically whether a central bank can promote financial stability by stabilizing inflation and output, and whether additional stabilization of asset prices and credit growth would enhance financial stability in particular. We employ an econometric model of the Norwegian economy to investigate the performance of simple interest rate rules that allow a response to asset prices and credit growth, in addition to inflation and output. We find that output stabilization tends to improve financial stability. Additional stabilization of house prices, equity prices and/or credit growth enhances stability in both inflation and output, but has mixed effects on financial stability. In general, financial stability as measured by e.g., asset price volatility improves, while financial stability measured by indicators that depend directly on interest rates deteriorates, mainly because of higher interest rate volatility owing to a more active monetary policy.     

Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico

This paper applies a nonlinear Autoregressive Distribute Lag to examine the exchange rate pass-through into consumer price inflation in Mexico. Overall, the evidence confirmed that ignoring the asymmetric (sign) effect of exchange rate movements on inflation may lead to incorrect inferences and policy conclusions. Exchange rate fluctuation is transferred to prices level more during currency depreciation than appreciation. We compare the macroeconomic performances between pre- and post-inflation targeting, and our findings reaffirmed that the pass-through has weakened significantly after launching inflation targeting in 2001. This result implies that low inflation in the sample period examined is good for Mexico because exchange rate pass-through declines after 2001. Consumer prices have become less responsive to exchange rate movements. We further observe a revival (strengthening) of oil price pass-through to domestic inflation in the post- inflation targeting period.     

通胀预期形成机理研究——基于SVAR模型的实证分析

本文利用中国人民银行调查的1999年四季度以来的居民通胀预期季度数据,通过建立SVAR模型,对居民通胀预期的影响因素进行动态考察。研究表明,居民通胀预期具有自我实现的性质;以往的通胀经历、汇率波动、资产价格、国际油价对居民通胀预期的形成均有明显影响;货币供给对居民通胀预期的影响幅度不大但较为持久,产出缺口、工资水平、粮价对居民通胀预期的影响并不显著。     

我国资产价格与通货膨胀的关系研究——基于ARDL的技术分析

随着资产市场投资品种日益丰富,居民参与资产投资的程度不断深入,资产通过财富效应和投资效应对经济的影响越来越大,资产价格对一般物价水平的影响不断增强,因此资产价格波动是否会影响通货膨胀率就成为当前理论和实务界关注的焦点。为了检验我国资产价格与通货膨胀的关系,本文选择股票、汇率、房地产价格以及其他影响通货膨胀的因素,运用ARDL模型对我国资产价格和通货膨胀的关系进行经验分析。经验分析结果表明:资产价格波动影响通货膨胀,但各因素对通货膨胀的影响差异较大,即房地产价格和汇率两个指标作用显著,股票作用较弱。     

What Asset Prices Should Be Targeted by a Central Bank?

This paper investigates the monetary policy design for restoring equilibrium determinacy. Our interests are whether a central bank should respond to asset price fluctuations, and if so, what asset prices should be targeted. We show that a monetary policy response to the price of a productive tangible asset (capital price) is helpful for equilibrium determinacy, while that to the price of an intangible asset that reflects a firm's profit (share prices) is a source of equilibrium indeterminacy. This result comes from the two assets' prices moving in opposite directions in response to a permanent increase in inflation.     

我国资产价格波动与通货膨胀关系的理论研究与实证分析

随着次贷危机引发全球性金融危机,学术界对于货币政策是否以及如何对资产价格做出反应的争议再起。本文根据协整分析技术、Granger因果检验方法和误差修正模型,利用1998—2008年中国的季度数据,对资产价格与通货膨胀之间的关系进行了实证研究。实证研究表明：第一,我国资产价格与通货膨胀之间确实存在长期的均衡关系,其中房价变动对通货膨胀的影响大于股价变动对通货膨胀的影响;第二,我国资产价格与通货膨胀之间存在着单向的因果关系,即股票价格与房价上涨是通货膨胀的原因。     

Exchange rate pass-through in emerging countries: Do the inflation environment,monetary policy regime and central bank behavior matter?

In this paper, we estimate the exchange rate pass-through (ERPT) to import and consumer prices for a sample of 14 emerging countries over the 1994Q1-2015Q3 period. To this end, we augment the traditional bivariate relationship between the nominal effective exchange rate and inflation by accounting for monetary stability proxied by the inflation environment, monetary policy regime and central bank behavior. We show that both the level and volatility of inflation, as well as adopting an inflation target or the transparency of monetary policy decisions clearly reduce ERPT to consumer prices. However, uncertainty about domestic monetary policy seems less relevant in explaining the pass-through to the price of imports.     

通货膨胀、货币供给与房地产市场关系的实证研究——基于后危机时代数据的考察

我国在2009年底推出的经济政策导致房价和物价不断攀升,央行虽然采取紧缩措施进行应对,但物价和房价仍处高位。对我国货币供给、通货膨胀及房地产之间关系进行理论和实证分析的结果显示:货币供给增加能引起物价和房价上涨;房价上涨能引起物价上涨等。因此,为了更好地应对物价波动,货币政策需关注资产价格,同时应谨慎使用货币政策应对资产泡沫,并密切注意货币流动结构,维持货币供给流向与实体经济发展相适应。     

Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off

This paper investigates the nexus between monetary stability and financial stability. We examine, in the experience of EMU between 1994 and 2008, first, the response of the term structure of interest rates, share prices, exchange rates, property price inflation and the deposit–loan ratio of the banking sector (our proxies for financial stability) to changes in the consumer price level and ECB policy rate (our proxies for monetary stability); second, whether and to what extent lower inflation has caused share price stability and how ECB policy rate has reacted to inflation. Using a sign-restriction-based VAR approach, we find that there is a pro-cyclical relationship between monetary and financial stability in the long-run. With a positive inflation shock, we find on average a 2% estimated decline in share prices. This suggests that the interest rate instrument used for inflation targeting is conducive to financial stability.     

美联储停止缩表的原因、影响及中国对策

近期美联储停止缩表引起广泛关注。美联储停止缩表主要有以下几个原因:一是货币需求大幅上升,二是美联储控制短期利率的能力出现下降,三是美国经济前景存在不确定性。此外,美联储停止缩表还有助于继续发挥财政作用、改善货币政策传导效率、降低污名效应、降低私人部门安全资产的供应以及降低对美联储信用风险和银行清算风险。美联储停止缩表对美国和中国都会产生十分广泛的影响。对美国的影响主要有:资产价格将获得支撑、投资可能出现过热、通胀可能出现阶段性上升、金融风险可能加大、美联储独立性可能受到影响、可能加剧收益率曲线倒挂;对中国的影响主要有:人民币汇率压力有望缓解、资产价格可能上升、短期资本流入可能增多。因此,中国货币政策应保持定力,密切关注国际资本流动趋势的变化,防范资产价格暴涨风险,同时,应加强人民币汇率风险管理。     

Monetary Policy and Asset Prices: A Mechanism Design Approach

We investigate the effects of monetary policy on asset prices in economies where assets are traded periodically in bilateral meetings. The trading mechanism is designed to maximize social welfare taking as given the frictions in the environment and monetary policy. We show that asset price “bubbles” emerge in a constrained‐efficient monetary equilibrium only if liquidity is abundant and the first‐best allocation is implementable. In contrast, if liquidity is scarce, assets are priced at their fundamental value in any constrained‐efficient monetary equilibrium, in which case an increase in inflation has no effect on asset prices, but it reduces output and welfare.     

关于资产价格与货币政策问题的一些思考

在全球金融危机的大背景下,货币政策是否应该对资产价格膨胀作出反应引起关注。本文对相关理论进行了归纳,并从通货膨胀机理的角度对资产价格与货币政策的关系进行了探讨,提出了建立和完善更加关注资产价格的货币政策框架的建议。     

货币政策应该关注资产价格和汇率吗?

在Rudebusch and Svensson(1999)模型中引入了房地产价格、股票价格和汇率因素,以此为基础推导出最优货币政策反应函数。该反应函数显示,中央银行既要应对产出和通货膨胀变化,还应该考虑资产价格和汇率波动。基于GMM方法的实证分析表明,该反应函数能够较好刻画过去10多年间中国中央银行的货币政策。总体而言,该反应函数可以作为中国货币政策制定和执行的参考框架,货币政策应该对资产价格和汇率波动给予一定程度的关注。     

Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through

Macro‐economic consequences of large currency depreciations among the crisis‐hit Asian economies varied from one country to another. Inflation did not soar after the Asian currency crisis of 1997–98 in most crisis‐hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a crisis. This paper examines the pass‐through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass‐through to import prices was quite high in the crisis‐hit economies; (ii) the pass‐through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation‐depreciation spiral in the wake of the currency crisis.     

Inflation dynamics and nominal adjustment in the Baltic States

The paper seeks to explain the inflationary dynamics in the Baltic countries since the mid-1990s. Single-equation estimations generally yield poor results, while panel data estimations provide statistically and economically satisfactory findings. The main result is that the observed gradual disinflation can to a large extent be explained by adjustment to international prices. Stringent fixed exchange rate systems have exerted downward pressure on inflation both directly and via expectations to future inflation. Measures of excess capacity in the labour market have no effect on inflation, while industrial output gaps have some explanatory power. Real oil price shocks have an immediate but short-lived impact on inflation.     

金融状况指数显示：经济低位增长，物价相对平稳

金融状况指数（FCI）是基于货币价格和资产价格等变量编制的综合性指标,以弥补货币供应量、利率等传统指标的不足。文章选取货币供应量、利率、汇率、股票指数和房地产价格等指标,采用主成分分析方法构建FCI。结果显示,从FCI本身的走势看,目前处在下行态势,低于近十年的平均值;从其领先经济指标的性质判断,未来经济增长将低位平稳运行,物价上行压力不大。     

外汇市场压力问题的研究综述

本文从外汇市场压力的测度、外汇市场压力与货币政策、外汇市场压力与货币危机的识别与测度以及外汇市场压力与汇率制度四个方面总结了国外研究者对此的最新研究成果,从中我们发现外汇市场压力对于一国经济有着重要的影响,特别是在当前通胀预期下,外汇市场压力与我国资产价格波动和货币政策之间的相互作用过程值得我们去进一步研究。     

近十年中国通货膨胀成因的实证分析

近年来,如何防范和治理通货膨胀已成为中国宏观经济领域亟需解决的一项重大课题,而治理通胀的关键在于对其形成原因的科学把握。本文选取CPI和PPI作为通货膨胀的衡量指标,以产出缺口、货币供应量、国际大宗商品价格、超额工资水平、资产价格、汇率水平六大因素作为解释变量,运用向量自回归(VAR)、脉冲响应和方差分解的方法,对2000-2011年中国通货膨胀的形成原因进行实证分析,得到了各项因素的作用大小、作用时滞和传导链条的顺序,最后提出了相应的政策建议。     

Risk premia,asset price bubbles,and monetary policy

We develop a dynamic general equilibrium asset pricing model with heterogeneous beliefs to study the effects of monetary policy on prices, risk premia, asset price bubbles, and financial stability. We propose a new framework for monetary policy with respect to bubbles. Because bubble risk premia arise from an interaction between disagreements among investors and dynamic trading constraints, under a non-accommodative monetary policy, liquidity adjusted risk and bubble risk premia increase. What matters for policy is the trading constrained fraction/mass of agents that disagree about fundamentals (i.e. optimists/pessimists). Accommodative policy can lead to a larger fraction of trading constrained agents that disagree, larger bubbles, and increased systemic risk. An implication of our results is that accommodative monetary policy in response to the Covid-19 crisis does not increase systemic risk due to asset price bubbles, as long as the policy keeps inflation under control.