食品价格冲击对核心CPI的传递效应*——基于3种核心CPI的比较研究

本文利用2001—2015年的月度数据,在计算多种核心CPI的基础上,实证分析了食品价格冲击对核心CPI的传递效应。本文研究发现,我国食品CPI存在高惯性特征,其对核心CPI具有较大的冲击作用,长期传递系数为0140;这种传递效应在2008年12月前后存在内生性结构突变,突变前后两阶段的长期传递系数分别为0186和0097;虽然2008年12月以后食品价格对核心CPI的冲击下降幅度较大,但长期传递系数仍具有明显的上升趋势。这些结果表明,食品价格冲击已经显著影响我国通货膨胀的持续性成分,我国货币政策应重视食品价格冲击带来的传递效应;尽管我国政策调整的作用有所显现,但是稳定物价的压力依然很大。     

油价冲击、货币政策调整与产出波动——基于中国的经验证据

本文基于我国2001-2010年宏观经济月度数据,采用SVAR模型分析了国际油价波动时,央行货币政策在排除回应油价干扰与未排除干扰下的反应差异及油价波动对产出的影响。研究发现,在排除货币政策回应油价波动干扰后,通过脉冲响应函数反映的油价波动对产出的短期负面影响消失。方差分解结果显示,长期内产出波动由油价冲击和货币政策解释的比例分别为5716%和32480%,比排除干扰前分别下降了2569%和4560%。这说明我国油价冲击带来的经济衰退主要是因为货币政策及其回应油价冲击紧缩所致。此外,面对油价的短期冲击,CPI指数并未随着生产者购进价格指数上升而上升,产出也未发生明显的衰减;但在较长时间内,油价上升会因为相对价格的改变,而影响CPI水平和货币政策,从而对产出产生显著的负面影响。     

Hot Money Flows,Cycles in Primary Commodity Prices,and Financial Control in Developing Countries

Because the U.S. Federal Reserve’s monetary policy is at the center of the world dollar standard, it has a first-order impact on global financial stability. However, except during international crises, the Fed focuses on domestic American economic indicators and generally ignores collateral damage from its monetary policies on the rest of the world. Currently, ultra-low interest rates on short-term dollar assets ignite waves of hot money into Emerging Markets (EM) with convertible currencies. When each EM central bank intervenes to prevent its individual currency from appreciating, collectively they lose monetary control, inflate, and cause an upsurge in primary commodity prices internationally. These bubbles burst when some accident at the center, such as a banking crisis, causes a return of the hot money to the United States (and to other industrial countries) as commercial banks stop lending to foreign exchange speculators. World prices of primary products then collapse. African countries with exchange controls and less convertible currencies are not so attractive to currency speculators. Thus, they are less vulnerable than EM to the ebb and flow of hot money. However, African countries are more vulnerable to cycles in primary commodity prices because food is a greater proportion of their consumption, and—being less industrialized—they are more vulnerable to fluctuations in prices of their commodity exports. Supply-side shocks, such as a crop failure anywhere in the world, can affect the price of an individual commodity. But joint fluctuations in the prices of all primary products—minerals, energy, cereals, and so on—reflect monetary conditions in the world economy as determined by the ebb and flow of hot money from the United States, and increasingly from other industrial countries with near-zero interest rates.     

Monetary policy and commodity terms of trade shocks in emerging market economies

Commodity terms of trade shocks have continued to drive macroeconomic fluctuations in most emerging market economies. The volatility and persistence of these shocks have posed great challenges for monetary policy. This study employs a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model to evaluate the optimal monetary policy responses to commodity terms of trade shocks in commodity dependent emerging market economies. The model is calibrated to the South African economy. The study shows that CPI inflation targeting performs relatively better than exchange rate targeting and non-traded inflation targeting both in terms of reducing macroeconomic volatility and reducing the losses of a non-benevolent central bank. However, macroeconomic stabilisation comes at a cost of increased exchange rate volatility. The results suggest that the appropriate response to commodity induced exogenous shocks is to target CPI inflation.     

Inflation targeting and financial stability in emerging markets

This paper aims at investigating whether emerging market inflation targeters are more financially vulnerable than their non-targeting counterparts. It further assesses the extent to which targeting central banks are less responsive to financial imbalances, compared to those implementing alternative policy strategies. Based on a sample of 26 emerging countries, including 13 targeters, the analysis suggests that monetary policy in targeting countries is relatively more sensitive to financial risks. However, despite stronger central banks’ responses to financial imbalances, the financial sector appears to be more fragile for targeters. Our conclusion therefore challenges the view that central banks, through their policy interest rates, can guarantee the stability of the financial system. It rather suggests that the control of inflation should remain the primary monetary policy objective, while a (macro)prudential authority would be in charge of the financial stability objective.     

CONSUMERS' INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE

This article analyses the effects of monetary policy decisions on inflation expectations of European consumers. Using a novel approach, I convert qualitative survey responses of consumers in various European countries into a quantitative time series of inflation expectations. I investigate the effects of unanticipated movements in interest rates and inflation on inflation expectations across European countries. I inter alia seek to explore whether the reaction differs of consumers in countries with more credible central banks than those in less credible countries.     

Time‐Varying Dynamics of the Norwegian Economy

We use time‐varying parameter vector autoregressive models to investigate possible changes in the time‐series properties of key Norwegian macroeconomic variables since the 1980s. Notably, we find that inflation persistence falls during the inflation targeting period, while the volatility of inflation and nominal exchange rates increases. The observed time‐variation in the correlations between the interest rates and the macro variables largely reflects the prevailing monetary policy regimes. An increase in the correlations between oil prices and other macro variables over time is also documented. Using a counterfactual analysis, we discuss the observed time‐varying dynamics of the Norwegian economy in the light of monetary policy and oil price shocks.     

国际大宗商品价格会影响我国CPI吗——基于BVAR模型的分析

研究表明国际商品价格会显著影响我国CPI。因此,在制定调控物价的措施时,应关注国际大宗商品价格因素对我国价格水平的影响,其中尤其需要关注国际原材料价格的变动。此外,价格传导机制具有滞后性,因而防范通胀比治理通胀更重要。     

Monetary policy: Why money matters (and interest rates don’t)

Since the late 1980s the Fed has implemented monetary policy by adjusting its target for the overnight federal funds rate. Money’s role in monetary policy has been tertiary, at best. Indeed, several influential economists suggest that money is irrelevant for monetary policy because central banks affect economic activity and inflation by (i) controlling a very short-term nominal interest rate and (ii) influencing financial market participants’ expectation of the future policy rate. I offer an alternative perspective: Money is essential for monetary policy because it is essential for controlling the price level, and the monetary authority’s ability to control interest rates is greatly exaggerated.     

Should Commodity Exporters Peg to the Export Price?

To account for the specific situation of commodity exporters, pegging to export prices (PEP) has been proposed elsewhere as an alternative to other conventional monetary regimes such as an exchange rate peg or inflation targeting. PEP is supposed to deliver automatic accommodation to terms‐of‐trade shocks, while retaining the credibility gain from a nominal anchor. This paper analyzes the PEP proposal in a dynamic general‐equilibrium model and compares it with a standard Taylor rule, consumer price index (CPI)‐level targeting and a nominal exchange rate peg. Judged by the degree of output stabilization, PEP performs very similar to CPI targeting for export demand as well as domestic demand shocks and underperforms in the case of shocks to the export price. The results suggest that PEP is not superior to conventional CPI targeting from a macroeconomic stabilization perspective.     

Fixed exchange rates,independent central banks and price stability in postcommunist countries: Conservatism and credibility

Central bank independence (CBI) and fixed exchange rates are used by governments to achieve stable prices. This article analyzes the mechanisms through which the two monetary institutions could work: Indirectly via a disciplinary effect on money growth rates or via an additional credibility effect on inflation expectations and the cost of capital. I further explain how both discipline and credibility are affected by the distinct flaws of independent central banks and fixed exchange rates: central banks lack transparency and fixed exchange rates take many shapes and are routinely devalued. The argument is tested with quarterly data from postcommunist countries for years 1991 to 2007. The findings show a strong disciplinary effect of monetary institutions on rates of M2 change and an effect on inflation controlling for money growth, but credibility does not extend to lower real short‐term market interest rates. Political institutions do condition the effect of central bank independence, while the types of fixed exchange rates affect money growth rates and inflation to different degrees.     

房地产价格、泰勒规则与宏观经济调控——基于2000-2010年我国宏观经济数据的检验

央行是否应该针对房地产价格制定货币政策进行调控,一直是学者们关注的焦点,但研究结果仍存在分歧。基于2000-2010年我国季度经济数据,对比检验了融入房地产价格的泰勒规则与标准泰勒规则对我国制定货币政策调控宏观经济的适用性。实证结果表明,依据标准泰勒规则所制定的利率政策,可以降低央行损失函数值,提高利率政策有效性。这一结果意味着,在房地产价格波动不影响物价稳定和经济增长的情况下,央行不应针对房地产价格进行调控。也就是说,央行需考虑房地产价格波动与通货膨胀和产出之间的相关关系,判断其对政策目标的潜在影响,制定利率政策对宏观经济进行调控。     

利率、魏克赛尔累积过程与资产价格

通货膨胀目标制的理论基础直接来源于魏克赛尔的累积过程理论。央行的利率政策不但会影响一般价格的上涨,而且会导致资产价格出现泡沫。现时的房产价格与未来的产出和通货膨胀关系密切,应该在CPI中给予一定的权重。低利率、低通胀和资产价格膨胀共存并不意味着累积过程理论失效,而是因为其反馈机制和通胀度量出现了问题。     

Inflation targeting and the need for a new central banking framework

This article critically analyzes inflation targeting (IT) both theoretically and empirically. IT came into prominence in the 1990s and 1 central bank after another adopted this regime in the 1990s and 2000s. Proponents of IT mainly argued that IT regime was successful on the grounds that it resulted in lower inflation rates and hence better economic performances. However, inflation rates in the world were in a downward trend from the 1980s well into the 2000s, and both IT and non-IT regimes managed to decrease their inflation rates. In addition, focusing too much on price stability through IT paved the way for permanently higher than necessary interest rates and disinflationary “tight” monetary policy periods when inflation rate was above an arbitrarily targeted level. Tight monetary policy can and do affect the real economy negatively and overemphasizing price stability may hurt the economy in terms of lower potential output, decreasing investment and more unequal income distribution. Post Keynesians offer valuable alternatives within the framework of parking-it approach to the existing monetary policy paradigm. Our main conclusion is that central banks should set the policy interest rate as low as possible and keep it there, in line with Keynesian “cheap money” policy.     

Quantitative easing tilts the balance between monetary and macroprudential policy

Quantitative easing by central banks has stimulated risk-taking in financial markets and contributed to a liquidity-driven boom in asset prices. It puts the relation between monetary policy and financial stability into a new perspective. We show by a regression analysis for a panel of 11 advanced economies that an asset price bust has adverse effects on inflation. The effect of stock prices and corporate bond rates on inflation is significant, also if we control for developments in credit. This insight implies that in conducting and implementing quantitative easing, central banks should closely monitor and take into account asset bubbles.     

Impact of asset price fluctuation on China’s monetary policy: An empirical analysis based on quarterly data, 1994–2006

The strenuous fluctuation in global asset price in recent years has had a profound impact on the economic and social development of every country. An empirical analysis indicates that asset prices (the stock price index and real estate prices) are important endogenous variables affecting the interest rate reaction function of central bank monetary policy. With expected inflation as a given, each one percentage point rise in output gap will cause a 0.79 percentage point reduction in interest rates by the central bank and each one percentage point rise in real estate price will result in a 2.2 percentage point rise in interest rates. The stock price index does have an influence on the trends in monetary policy, but it is less salient than the impact of housing prices. We also show that monetary policy that employs asset price as an endogenous variable increases the central bank’s control in seeking to attain its objectives. Therefore we suggest that the central bank should make asset price fluctuation an endogenous variable and incorporate it into its forward-looking interest rate rule, in order to facilitate the healthy development of China’s markets for real estate, stocks and derivatives, energy and bulk commodities and maintain rapid, smooth, sustainable and harmonious economic development.     

Price and liquidity puzzles of a monetary shock: Evidence from indebted African economies

Price and liquidity puzzles have been identified as two major counterintuitive findings arising from monetary shocks. We investigate their presence in eleven African countries, using a dynamic stochastic general equilibrium model designed for indebted small open-economies. Our simulations reveal that the majority of African countries report a price puzzle whereas only three countries exhibit liquidity effect. In many of the sampled countries, a positive money growth shock drives interest rates up, but consumption and output fall in contrast to the conventional view. External debt increases in response to money growth shock, exchange rate appreciates and inflation falls. Money growth shocks are transmitted to the economy through the exchange rate channel when uncovered interest rate parity condition holds. Our findings therefore appear to suggest that monetary policy in Africa should prioritize foreign debt stabilization by reacting more to output gap than to inflation.     

Inflation in Open Economies with Complete Markets

This paper uses an overlapping generations model to analyze monetary policy in a two-country model with asymmetric shocks. Agents insure against risk through the exchange of a complete set of real securities. Each central bank is able to commit to the contingent monetary policy rule that maximizes domestic welfare. In an attempt to improve their country’s terms of trade of securities, central banks choose to commit to costly inflation in favorable states of nature. In equilibrium the effects on the terms of trade wash out, leaving both countries worse off. Countries facing asymmetric shocks may therefore gain from monetary cooperation.     

Optimal Monetary Policy

Optimal monetary policy maximizes the welfare of a representative agent, given frictions in the economic environment. Constructing a model with two sets of frictions—costly price adjustment by imperfectly competitive firms and costly exchange of wealth for goods—we find optimal monetary policy is governed by two familiar principles. First, the average level of the nominal interest rate should be sufficiently low, as suggested by Milton Friedman, that there should be deflation on average. Yet, the Keynesian frictions imply that the optimal nominal interest rate is positive. Second, as various shocks occur to the real and monetary sectors, the price level should be largely stabilized, as suggested by Irving Fisher, albeit around a deflationary trend path. Since expected inflation is roughly constant through time, the nominal interest rate must therefore vary with the Fisherian determinants of the real interest rate. Although the monetary authority has substantial leverage over real activity in our model economy, it chooses real allocations that closely resemble those which would occur if prices were flexible. In our benchmark model, there is some tendency for the monetary authority to smooth nominal and real interest rates.     

Do natural disasters affect monetary policy? A quasi-experiment of earthquakes

This study explores whether the economic consequences of earthquakes affect the policy interest rate set by the central bank. The direction of this effect is not immediately clear beforehand since earthquakes create a classic monetary policy dilemma: how to accommodate the real shock in the short-run with the objective of anchoring inflation when these two competing objectives demand opposite policy actions. One can therefore argue that the question of whether, and if so, in which direction natural disasters influence monetary policy is ultimately an empirical one. For this purpose, I estimate a dynamic panel model including about 400 major earthquakes from about 85 countries that occurred between 1960 and 2015. The key findings of this study clearly point out that on average the short-run policy interest rate falls in the first year after the earthquake. This result implies that monetary authorities prioritize short-run economic recovery above price stability. However, this interest rate effect is not the same across countries. It turns out that central banks that have a specific policy target, such as a fixed exchange rate, are more likely to raise the interest rate in the period following a disaster to fight the inflationary pressure. In turn, monetary authorities that have much freedom in their policy decisions are more inclined to lower the interest rate to stimulate economic recovery.