中国贸易开放与通货膨胀持续性关系研究

本文分别利用修正的综合贸易强度公式和卡尔曼滤波方法估计了中国改革开放以来的贸易开放度和时变的通货膨胀持续性,并在此基础上对中国贸易开放与通货膨胀持续性关系进行了实证研究。结果表明:中国贸易开放度的变化表现出明显的阶段性特征;中国的通货膨胀持续性处于不断波动的过程中,从趋势来看,中国的通货膨胀持续性呈现出不断下降的趋势;贸易开放度的提高对中国的通货膨胀持续性具有显著的负向影响。     

Time-varying transmission effects of external shocks into inflation: how different is China from Korea?

This article examined the time-varying effects of external shocks that determine inflation on Chinese and Korean consumer price index (CPI) inflation, using data from the period 2010:1 to 2013:4. For this experimentation, we adopted the Kalman filter algorithm. Key findings include the following: first, the lagged CPI inflation is the main determinant of inflation rate in both China and Korea that is significant and has positive effects. Second, as expected, the effects of independent variables on CPI inflation rate have a considerable difference in China and Korea from the coefficients’ size and sign. Especially, China’s CPI inflation is mainly affected by domestic output growth, while Korea is more readily affected by external shocks. Third, we confirmed the time-varying effects. For instance, the positive effect of the output variable is decreasing in the Chinese inflation equation, but its negative effect is decreasing in the Korean inflation equation. Finally, we can guess Korea is a more import dependent economy than China and also the trends of estimated coefficients of China’s inflation are changing similarly to Korea. It has been proved from recent changes that there is a decreasing effect of output growth, but negatively and increasing effects of exchange rate and import dependence. Hence, those recent changes imply that this is caused by the change of the Chinese economy to be more trade dependent as well as we cannot deny the possibility of the external factors that play a role in CPI inflation, and its influence is gradually increasing in China.     

The dynamics of inflation: a study of a large number of countries

Over the last twenty years the statistical properties of inflation persistence has been the subject of intense investigation and debate without reaching a unanimous conclusion yet. In this article we attempt to shed further light to this debate using a battery of econometric techniques in order to provide robust evidence on the degree of inflation persistence and whether this has changed during the period in which several countries have followed inflation-targeting regimes or new monetary regimes. We consider the inflation rates of thirty developed and emerging economies using quarterly data for the period 1958 to 2007 which include alternative monetary policy regimes. The coefficient of the inflation parameter is estimated by Ordinary Least Squares (OLS), Autoregressive Moving Average (ARMA) and Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. Furthermore, the grid-bootstrap Median Unbiased (MUB) estimator approach developed by Hansen (1999) is used to estimate the finite sample OLS estimates coupled with the 95% symmetric confidence interval. We also examine parameter stability of persistence coefficients by estimating a model with time-varying parameters.     

Time variation in Okun’s law in Sweden

In this article we estimate an Okun’s law relationship for Sweden using a model with time-varying parameters. Employing quarterly data from 1982 to 2014, results indicate that the GDP growth needed to keep the unemployment rate unchanged in the long rung has fallen considerably over the last 10 years.     

Modelling inflation shifts and persistence in Tunisia: perspectives from an evolutionary spectral approach

This article examines the dynamic characteristics of the inflation rate in Tunisia over the last two decades, and particularly following the onset of the Arab Spring in 2010 which causes distortions in this country’s monetary policy. We focus on the two specific dimensions of the Tunisian inflation rate: inflation regimes and persistence. We tackle this issue by adopting an evolutionary spectral approach, initially proposed by Priestley and Tong (1973). Our main findings indicate a stable inflation regime in the last 10 years, with an average inflation rate of around 5.5%. It is also found that the Tunisian inflation experienced a high degree of inertia which reflects its gradual responses to shocks. We also discuss the policy implications of these results, which typically require policy-makers to implement sound institutional reforms to reduce inflation.     

通货膨胀问题国外研究进展与评述

20世纪70年代以来通货膨胀的频发,成为严重困扰世界各国经济运行的主要难题之一,引发了众多国外学者对通货膨胀的广泛关注以及从宏观层面到微观基础层面的深入研究。本文主要从通货膨胀的福利成本、通货膨胀的不确定性、持续性和通货膨胀目标制四个方面入手,着重回顾与评论20世纪90年代尤其是21世纪以来的国外学者研究通货膨胀问题的成果,以期在把握通货膨胀问题研究的进展中,总结治理经验与合理借鉴应对政策。     

On the comparison of Schwartz and Smith’s two- and three-factor models on commodity prices

Since Schwartz and Smith (2000) published their study on two-factor model on commodity prices, many studies have used this model and others have extended it. The authors also proposed the three-factor model due to the poor fitting of the two-factor one on long-term futures prices. At that time the authors had only long-term prices from a private source to calibrate, test and compare these models. No public data on long-term future contracts were available. On the other hand, during the last decade the commodity prices soared as did the liquidity of long-term contracts. This means that the interest of the agents in the management of their risk on long-term positions increased the same way and this is the motivation for this study. In this article, we revisit the comparison between two- and three-factor models using public data for short- and long-term contracts (we use up to the 67-month-ahead contract). We also provide a detailed derivation of the three-factor model differently from that of the original article. Following the original article of Schwartz and Smith, we used oil futures prices traded on the New York Mercantile Exchange to calibrate the model. The results show a better fit of the three-factor model for the term structure of prices and volatilities mainly for long maturities contracts, while the two-factor model in most portions of the curve underestimates the risk premiums. This type of analysis is important not only for daily agents negotiating the physical commodities through long-term contracts but also for investment decisions on development of real projects.     

Forecasting UK house prices: A time varying coefficient approach

Previous studies of UK house prices, developed from the demand and supply ofhousing or from the asset market approach have been poor in terms of robustness and ex-post forecasting ability. The UK housing market has suffered a number of structural changes, particularly since the early 1980s with substantial house price increases, financial market deregulation and the removal of mortgage market constraints through competition. Consequently, models which assume that the underlying data-generating process is stable and apply constant parameter techniques tend to suffer in terms of parameter instability. This article uses the Time Varying Coefficient (TVC) methodology where the underlying data-generating process in the UK housing market is treated as unstable. The estimation results of the TVC regression of UK house prices is compared with those obtained from three alternative constant parameter regressions. Comparisons of forecasting performance suggest the TVC regression out-performs forecasts from an Error Correction Mechanism (ECM), Vector Autoregressive (VAR) and an Autoregressive Time Series regression.     

State space models for the exchange rate pass-through: determinants and null/full pass-through hypotheses

In this article, we formulate linear Gaussian state space models for the estimation of the exchange rate pass-through of the Brazilian Real against the US Dollar, using monthly data from August 1999 to August 2008. The state space/Kalman filtering framework allows the investigation of some empirical aspects previously suggested in the literature, such as time-varying coefficients and null/full pass-through hypotheses. We also test whether some theoretical ‘determinants’ of the pass-through are statistically significant in the period considered. The principal findings are as follows: (1) the data offer strong support to a time-varying pass-through; and (2) the variance of the exchange rate pass-through, the monetary policy and the trade flow have shown to be relevant determinants of the exchange rate pass-through.     

Services inflation dynamics and persistence puzzle in Brazil: a time-varying parameter approach

This article analyses services inflation dynamics in Brazil, focusing on the Services Inflation Persistence Puzzle, for monthly data from January 2004 to February 2016. We apply a time-varying parameter (TVP) approach, via a Kalman filter, to estimate hybrid Phillips curves and compare inflation inertia for tradable goods and services inflation. Aggregate Brazilian Extended Consumer Price Index inflation serves as a benchmark. To justify the TVP analysis, parameter instability and structural change tests are implemented, based on OLS and Generalized Method of Moments (GMM) frameworks. The main results are as follows: (i) the TVP approach is relevant due to observed instability in some parameters estimated; (ii) inflation expectation coefficients are higher than lagged inflation in all calculations, but inflation inertia is not negligible at all; (iii) services inflation persistence ranges from 27 to 36%, whereas tradable goods inflation persistence ranges from 36 to 47%, providing evidence of the Services Inflation Persistence Puzzle in Brazil; (iv) from 2009 onwards an increase in one percentage point in real wages raises monthly services inflation rate by 0.02 to 0.03 percentage point; (v) there is evidence that cost-push pressures, due to wage increases in the service sector, are more important to explain services inflation than demand pressures from early 2009 to mid-2014.     

Modeling US inflation dynamics: persistence and monetary policy regimes

This paper employs the recently developed structural stability test with multiple regime shifts and grid bootstrapping methods to model US inflation dynamics over the past half century. Our empirical results suggest that the persistence of inflation has witnessed significant declines over the most recent period of low inflation and this helps to embed a low inflation environment. The finding is robust to a variety of measures of the inflation series and offers new insight on understanding the stationarity issue of the US inflation series. The authors gratefully acknowledge the two anonymous referees for helpful comments and suggestions, which have led to substantial improvements in the paper. They also wish to thank participants at the 3rd Symposium on Econometric Theory and Applications, and seminar participants at the University of Manchester and Renmin University of China, for useful comments, with particular thanks to Denise Osborn and Jushan Bai for their constructive suggestions. Chengsi Zhang acknowledges support from the China National Social Science Research Fund, Grant No. 08CJY048.     

基于SURADF检验的中国通货膨胀持续性实证研究

不同区域、不同子类商品往往存在较严重的通货膨胀持续性结构特征问题,在中央银行制定货币政策时是其重要的考虑因素之一。由于传统的面板数据单位根检验无法克服数据之间固有的异质性和截面相关性问题从而导致检验功效偏低。本文使用面板数据SURADF方法,在中国不同类别商品通货膨胀存在相关性和数据异质性的前提之下,分全国、城市和农村三个地区分别对八大类商品通货膨胀持续性的结构特征问题进行了实证研究。结果表明：不同地区之间、不同大类商品之间的通货膨胀持续性存在显著差异,通过比较,与传统的检验方法相比,SURADF方法更够更加准确的表现出不同大类商品间通货膨胀持续性的结构特征。并由此提出建议：央行应根据不同地区、不同种类商品间不同的通货膨胀持续性结构特征而制定出更加具有差异化的货币调控政策。     

Nonlinear regression for unit root models with autoregressive errors

This paper shows that the nonlinear least squares estimator for unit root models has the limiting distribution free of nuisance parameters and is more efficient than the augmented Dickey–Fuller estimator when the sum of coefficients for lagged variables is negative.