通胀惯性、混合菲利普斯曲线与中国通胀动态特征

本文在Gali & Gertler(2000)的基础上,构建了一个考虑通胀惯性的高阶滞后混合菲利普斯曲线的结构模型框架,并基于GMM模型对高阶滞后混合菲利普斯曲线进行计量检验和实证分析,通过估计其结构参数和深度参数来度量我国通胀惯性的大小及对通胀的影响,刻画我国通胀的动态特征以及我国厂商的定价行为。实证结果表明,我国通胀具有高阶滞后混合菲利普斯曲线的动态特征,滞后阶数为2,通胀同时存在向前看的理性预期和向后看的适应性预期;我国通胀惯性和通胀预期的强度对通胀率指标范畴十分敏感,CPI通胀率的通胀惯性和持续性大于RPI,CPI通胀率的适应性预期特征强于理性预期特征,RPI通胀率的理性预期特征强于适应性预期特征。在我国厂商定价概率方面,CPI通胀率相对于RPI通胀率,产品价格调整时间间隔较长,厂商对经济政策的反应较不敏感;在厂商价格预期行为方面,CPI通胀率相对于RPI通胀率,厂商对适应性预期的依赖程度超过了理性预期。     

Expected Inflation, Interest Rates, and Stock Returns

This paper documents a long-lived asymmetrical relationship between interest rate changes and subsequent stock returns. Drops in interest rates are followed by twelve months of excess stock returns, while increases in interest rates have little effect. The results are robust to the choices of short-term interest rate and stock index. These findings cannot be explained by Geske and Roll's [10] reversed causality argument; nor do they appear to result from periods of unusual interest rates or stock returns. Since interest rate changes are generally used as proxies for changes in expected inflation, the results provide new insights into previous research on inflation and stock returns, and there are important implications for the literature on time-varying risk premia.     

An Empirical Evaluation of the Friedman Hypothesis of Inflation on Capital Asset Pricing

An empirical model incorporating the Friedman inflation uncertainty hypothesis is evaluated on capital asset pricing in conjunction with the covariance effect of the Fisher inflation hypothesis. The Fisher-Friedman capital asset pricing empirical model (FFCAPM) is compared to the capital asset pricing model (CAPM) and the Chen-Boness (C-B) model for explanatory power and significance over three periods. The FFCAPM performed better than the two competing models in explaining the variation in equity returns. The Friedman hypotheses of a positive economy-wide inflation adjustment and a negative inflation uncertainty impact are supported. A firm-specific inflation response of Fisher inflation covariance was also supported. These results indicate that empirical support for the Fisher effect may be limited given the normal testing procedure of simply adding an inflation term as in previous studies.     

Expected Inflation and Interest Rates in a Multi-asset Model: A Note

This paper analyzes the effect of expected inflation on nominal interest rates, in a theoretical model with money and two different bond types. The inclusion of three assets instead of the usual two causes the effect of expected inflation on the interest rates to deviate from unity. Depending on the sizes of the wealth and interest rate effects on the various asset demands, the effect of expected inflation could even be negative. Several special cases are also considered, and the implications for the interpretation of empirical results are discussed.     

Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve

We show that with a unit root in inflation, the new Keynesian Phillips curve (NKPC) implies an unobserved components model with a stochastic trend component and an inflation gap. Our empirical results suggest that with an increase in trend inflation during the Great Inflation, the response of inflation to real economic activity decreases and the persistence of the inflation gap increases due to an increase in the persistence of the unobserved stationary component. These results are in line with the predictions of Cogley and Sbordone ( 2008 ), who show that the coefficients of the NKPC are functions of time‐varying trend inflation.     

The Impact of the Definition of Inflation on the Effectiveness of Inflation Accounting Adjustments

In tests of inflation accounting methods, inflation is generally seen as a simple phenomenon: the prices of all elements change at the same rate. The example presented here deals with a different case: inflation is characterized by changes in the structure of prices. In particular, prices of articles bought and articles sold do not vary at the same rates.
In this context, it is observed that three types of adjustments are not effective, i.e. they do not have the potential to report real or nominal rates of return. This result should be considered as a criticism of the coherence of inflation accounting methods.     

Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis

We develop a method of measuring ex-ante real interest rates using prices of index and nominal bonds. Employing this method and newly available data, we directly test the Fisher hypothesis that the real rate of interest is independent of inflation expectations. We find a negative correlation between ex-ante real interest rates and expected inflation. This contradicts the Fisher hypothesis but is consistent with the theories of Mundell and Tobin, Darby and Feldstein, and Stulz. We also find that nominal interest rates include an inflation risk premium that is positively related to a proxy for inflation uncertainty.     

Inflation Dynamics and the New Keynesian Phillips Curve in Four Central European Countries

This paper seeks to shed light on the inflation dynamics of four new central European EU members: the Czech Republic, Hungary, Poland, and Slovakia. To this end, the New Keynesian Phillips curve augmented for open economies is estimated and additional statistical tests applied, with the following results: (1) the claim of New Keynesians that the real marginal cost is the main inflation-forcing variable is fragile, (2) inflation seems to be driven by external factors, and (3) although inflation holds a forward-looking component, the backward-looking component is substantial. An intuitive explanation for higher inflation persistence may be adaptive, rather than rational price setting of local firms.     

我国货币结构变化对通货膨胀的影响研究

本文对1994—2016年间我国货币结构的变化进行分析,从理论和实证两方面研究我国货币结构变化对通货膨胀的影响。结果表明:在此期间,我国货币结构指标(M2'-M1')与通货膨胀(CPI)之间呈现负相关关系,这主要是因为执行交易职能的货币数量下降,流入实体经济的货币不断下降,更多的货币流入金融市场,导致资产价格上涨。我国资产价格对未来通货膨胀具有影响,两者之间呈现出正相关关系。基于以上结论,本文提出未来我国货币政策调控要注意货币总量与结构调控并重,前瞻性地考虑资产价格波动的影响。     

The Effects of Inflation and Money Supply Announcements on Interest Rates

This paper examines the impact of the money supply and inflation rate announcements on interest rates. Survey data on expectations of the money supply and consumer and producer price indexes are used to distinguish anticipated and unanticipated components of the announcements. This distinction is used to test for the efficiency of the financial market response to the announcements of new information. The results indicate that the unanticipated components of the announced changes in the Producers Price Index and in the money supply have an immediate positive effect on short-term interest rates. The Consumer Price Index announcement has no apparent effect. There is no evidence of a delayed announcement effect. However, there is some indication of a liquidity effect of the money supply change on interest rates. This takes place when reserves are changing and several weeks prior to the information announcement.     

The Impact of Inflation on the Aggregate Debt-Asset Ratio

This paper demonstrates that, contrary to the results of previous studies, the impact of inflation on the aggregate debt-asset ratio cannot be determined theoretically. However, it is shown that inflation is likely to increase this ratio when personal income tax schedules are indexed to the price level and/or when leverage-related costs are relatively high and the personal tax rate on income from holding common stocks is relatively low.     

中国通胀目标的估计与影响分析

本文利用变系数不可观测要素模型,以拓展后的卡尔曼滤波估计政府的通胀目标并评估其对于实际通胀的影响.研究发现,本文估计的通胀目标自2012年以来显著高于实际通胀,其有效拉抬通胀预期,成功抵消经济增速放缓对总体通货膨胀的抑制.通胀目标与实际经济行为对通货膨胀的影响在危机后均显著提升,中国不存在菲利普斯曲线扁平化现象,政府通胀目标对于实际通胀起到良好的锚定作用.     

中国金融市场通胀预期——基于利率期限结构的量度

通胀预期量度在以通胀预期为导向的货币政策中的意义重大。本文利用卡尔曼滤波法将离散时间两因子无套利广义高斯仿射模型运用于我国银行间债券市场,第一次从中国国债收益率曲线中分解出金融市场的中长期通胀预期L。将L与居民通胀预期和经济学家通胀预期比较,发现从事前看,L优于经济学家通胀预期,稍逊于居民通胀预期;从事后看,L优于居民通胀预期,稍逊于经济学家通胀预期。综合看,L作为金融市场形成的、高频的、反映中长期通胀的预期指数,对货币政策制定具有现实的参考意义。     

Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market

We analyze the relationship of high inflation and interest rates with stock returns in Brazil from May 1986 to May 2011, during which Brazil experienced subperiods of both high inflation (May 1986-June 1994) and relative monetary stability (July 1994-May 2011). The result in the total period is dominated by high inflation volatility, and the findings suggest a bidirectional relationship between stock returns and inflation. During the high-inflation subperiod, interest rates are relevant to explain future changes in inflation and stock returns. Under low inflation, movements in interest rates are better anticipated by equity investors, suggesting higher market efficiency than in high-inflation circumstances.     

国际大宗商品价格对国内通胀的影响研究

我国当前经济发展过程中对能源、基础原材料等国际大宗商品的依存度较高,因而国际大宗商品价格波动通过进口渠道向国内传导,对我国国内的物价水平造成较大冲击。本文在使用Bai-Perron方法检测了国际大宗商品价格变动的两个结构性断点的基础上,采用变系数VAR模型(TVP-VAR)分析了不同阶段的大宗商品价格冲击对我国价格水平的传导是否存在差异。采用SVAR模型研究了大宗商品价格向国内物价传导的结构性特征。结果表明:CPI对大宗商品价格波动的脉冲响应存在阶段性差异,PPI的脉冲响应趋势基本一致;经济政策不确定性会弱化大宗商品价格向CPI的传导;大宗商品价格和其他宏观冲击对物价变化的相对重要性在金融危机前后出现明显转变。据此,本文建议提高内需对经济的拉动作用,建立国际大宗商品价格预警监测机制,增强大宗商品供给能力和定价权,发挥大宗商品期货市场的价格发现功能。