中国通货膨胀动态路径的结构性转变及其启示

This article employs recently developed unknown structural break tests to investigate intrinsic structural instability in China inflation dynamics over 1981–2007. In order to capture accurately the statistical nature of potential structural beak, we use asymptotic p-value function under the non-standard distribution condition to compute the p-values for structural change tests in the presence of nuisance parameter. Empirical results suggest that China inflation dynamics witnessed a significant structural change at the end of 1994 and the instability appears to be originated from the dynamic parameters in the underlying model. The paper discusses important policy implications of the empirical findings through impulse response analyses.      

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.     

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.     

A common trends model of UK core inflation

In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system. First version received: September 1999/Final version received: October 2001 RID="*" ID="*"  We thank two anonymous referees for many helpful comments and suggestions. Work on this paper was partially conducted when C. Morana was at Heriot-Watt University.     

Empirical research on monetary policy,asset prices and inflation: an analysis based on provincial panel data in China

In this article, we investigate the dynamic correlations among monetary policy, asset prices and inflation and assess the regional effects of monetary policy in China for the period October 2007 to July 2013. We focus on the interdependencies among monetary policy and asset price fluctuations by using the Shanghai Interbank Offered Rate as the preferred variable for analysing monetary policy movement. In particular, we apply a vector autoregressive model in a panel setting, which allows researchers to examine variations over time or across individual regions. The empirical results presented herein indicate that monetary policy reacts actively to asset prices, although it is still shown to be ineffective. In addition, we find that asset prices display some regional differences in their response to an unexpected monetary policy shock.     

The government's time discount rate: Choices and consequences in a dynamic framework

This paper considers a closed macroeconomy where the monetary authority pursues an inflation target and policy outcomes are the consequence of a Nash game between fiscal and monetary authorities. The specification of the macroeconomic framework is characterized by nonlinearities which lead to multiple equilibria with differing stability properties. Employing a calibrated model and simulations derived using the Mathematica package, the stability properties of the economy and the likely choice of equilibrium are examined. Within this framework, the dynamic consequences of different time discount rates for the fiscal authority are investigated, both in a world of certainty and also in a world of uncertainty. It is shown that, in a world of certainty, it will be optimal to choose the fiscal authority's time discount rate equal to the market rate of interest. However, depending on the degree of uncertainty in evaluating the time discount rates of consumers and of the fiscal authority, it may be appropriate to bias the fiscal authority's discount rate above or below the expected interest rate.     

我国货币政策中介目标研究——一个文献综述

近年来,一些西方发达国家相继放弃了货币供应量目标,转向了利率、通货膨胀等目标,进而在我国也引发了货币供应量能否继续充当货币政策中介目标的争论.本文认为,尽管大多数实证研究均已表明货币供应量作为中介目标的有效性正不断降低,然而从我国当前的经济金融发展情况来看,选择利率或通货膨胀目标还缺乏可行性.因此,我国面临的现实选择只能是继续以货币供应量为目标,同时稳步推进金融体系、金融制度的改革,为中介目标的转变奠定基础.     

The dynamics of persistence in US inflation

Using a recently developed time-series approach, we show that post-WWII US inflation became highly persistent during the ‘Great Inflation’ period, and then switched back to a low persistence process during 1984, and has remained stationary until the present day.     

关于地租推进型通货膨胀的价格传导机制研究

本文认为,地租推进型通货膨胀是土地产品价格上涨推动的通货膨胀,是土地产品价值上升的结果,是土地产品价值实现的要求,不是传统意义上的通货膨胀。不同类型的货币政策下,尽管地租推进型通货膨胀的价格传导机制是不同的,其基本内容都是剩余产品在初次分配中向土地所有者的倾斜。因此,地租推进型通货膨胀的治理,核心不在于消灭地租推进型通货膨胀本身,而在于缓解收入分配带来的社会阵痛。地租推进型通货膨胀在投机资本的影响下往往呈现复合式发展的特征。地租推进型通货膨胀研究的新视角,为政府宏观调控应对土地产品价格上涨提供了全新的思路。     

Causes of Inflation in Europe, the United States and Japan: Some Lessons for Maintaining Price Stability in the EMU from a Structural VAR Approach

Price stability being among the primary goals of EMU monetary policy,it should be interesting to analyse thefactors that led to the disinflationarydevelopments of the last years. Using a structural VAR approach withlong-run identifying restrictions derived from an open-economy macromodel, various factors of inflation for Austria, Germany, Italy, the UnitedKingdom, the United States and Japan and the extent to which they havecontributed to inflation are analysed. These factors are energy price shocks, supply shocks, wage setting influences, demand and exchange rate disturbances and money supply surprises. The latter three are also used to calculate core inflation. Within a smaller model for aggregate EMU data, supply and demand influences are analysed. While supply and demand factors have generally contributed to the inflation decline, monetary policy, enhanced competition, low energy prices and moderate wage setting are featuring most prominent in the recent disinflation process.     

全球流动性膨胀的历史和逻辑

当代的全球流动性膨胀根源于布雷顿森林体系崩溃后的国际货币体系安排,黄金非货币化为美国向世界提供大量美元敞开了大门,美国通过持续的经常项目逆差对外提供美元流动性.全球流动性膨胀可分为三个层次,美国增加一美元的对外债务,将导致世界扩张大致两到三倍的流动性.中国作为经常项目和资本项目的双顺差国,全球流动性的输入直接导致了人民币面临国际贬值、国内升值的双重压力.     

The transmission mechanism of monetary policy: Microeconomic aspects of macroeconomic issues

The article analyzes the transmission mechanism of monetary policy in light of microeconomic theory. We address the influence of microeconomic factors on the transmission of monetary policy while taking into account the contributions of conventional price formation and competition theory and heterodox microeconomic theories, including work inspired by the post Keynesians. We found a multiplicity of results regarding changes in price levels and inflation derived from shifts in demand and costs. These results challenge the conventional view, which postulates a single behavior in the circuit from changes in interest rates to demand, prices, and inflation. We conclude that microeconomic and macroeconomic aspects should be integrated to properly explain monetary policy and analyze its effects and transmission mechanism.     

通货膨胀对我国信贷渠道有效性的影响

学术界一般认为,由金融市场信息不对称所产生的逆向选择、道德风险和监控成本是信贷渠道存在的主要前提条件。在我国当前经济背景下,研究通货膨胀是否影响了我国货币政策信贷渠道的传导效率。结果表明,通货膨胀导致了我国货币政策信贷渠道效率的下降。     

An assessment of inflation targeting in a quantitative monetary business cycle framework: evidence from four early adopters

This article examines the effectiveness of inflation targeting (IT) to stabilize the real economy in advanced countries where IT was adopted in the early 1990s. To quantitatively assess IT, this article employs the monetary business cycle accounting methodology recently developed by ?ustek (2011), which is an extended version of Chari, Kehoe, and McGrattan (2007), to monetary models. Our main finding is that the monetary policy wedge that captures economic fluctuations caused by monetary policy has significantly declined since the implementation of IT in the early 1990s. The results suggest that advanced economies, such as Australia, Canada, Sweden and the United Kingdom, that adopted IT in the early 1990s have been successful in stabilizing business cycle fluctuations.     

The information content of market-based measures for the long-term inflation expectations of professionals: evidence from a midas analysis

Long-term inflation expectations taken from the Survey of Professional Forecasters are a major source of information for monetary policy. Unfortunately, they are published only on a quarterly basis. This article investigates the daily information content of market-based measures, such as inflation-linked swaps and breakeven inflation rates, for the next survey outcome. Using a mixed data sampling approach, we find that professionals account for the daily dynamics of market-based measures when they submit their long-term inflation expectations. We propose a daily indicator of professionals’ inflation expectations that outperforms alternative indicators that ignore the high-frequency dynamics of market-based measures. To illustrate the usefulness of the new indicator, we provide new evidence on the (re-)anchoring of U.S. inflation expectations.     

渐进性通货膨胀与我国货币政策失灵——以区域金融差异为视角

作为应对通货膨胀的主要宏观调控措施,货币政策历来都受到各国中央银行的重视.但是,从2006年开始的本轮通货膨胀中,中国政府屡次动用紧缩性货币政策的结果是消费物价指教的渐进攀升.本文从中国区域金融差异的角度分析了渐进性通货膨胀的原因,并在分析全国统一货币政策失灵机制的基础上为将来可能的区域性货币政策的实施提出了相关建议.     

Global slack and domestic inflation rates: A structural investigation for G-7 countries

Recent papers have argued that one implication of globalization is that domestic inflation rates may have now become more a function of “global”, rather than domestic, economic conditions, as postulated by closed-economy Phillips curves.This paper aims to assess the empirical importance of global output in determining domestic inflation rates by estimating a structural model for a sample of G-7 economies. The model can capture the potential effects of global output fluctuations on both the aggregate supply and the aggregate demand relations in the economy and it is estimated using full-information Bayesian methods.The empirical results reveal a significant effect of global output on aggregate demand in most countries. Through this channel, global economic conditions can indirectly affect inflation. The results, instead, do not seem to provide evidence in favor of altering domestic Phillips curves to include global slack as an additional driving variable for inflation.     

Nonlinearity and stationarity of inflation rates: evidence from the euro-zone countries

Earlier studies hardly reject the hypothesis of a unit root in inflation. Few studies have examined the possibility of nonlinearity in inflation and tested nonlinear stationarity of the inflation rates. This study thus intends to fill the gap. This study utilizes the tests for nonlinearity along with the unit root tests that allow for nonlinearity in the variables to examine the stationarity of inflation rates of 12 European countries that formed the Euro Zone (EZ) later in the sample period. The results suggest that the majority of these countries’ inflation rates can be characterized by mean reversion during the floating exchange rate period. Many of them appear to be nonlinear stationary. This finding is essential in conducting applied economic studies for these countries, when constructing models whose validity relies on whether or not inflation is stationary. The results of this study also imply that shocks to inflation have a transitory effect on inflation in the euro area. Therefore, it would be less costly in exercising the policies of disinflation for the monetary authorities of the euro area than for those of the countries with nonstationary inflation.     

Selecting Your Inflation Targeters: Background and Performance of Monetary Policy Committee Members

Abstract. This paper starts by describing the composition of monetary policy committees (MPCs) in inflation‐targeting and non‐targeting countries. The experience of MPC members on their inflation performance is then compared, opposing inflation targeters with non‐targeters. Our sample covers the major Organization for Economic Cooperation and Development countries, in the period 1999–2008. Our results first show that MPCs are different in inflation‐targeting (versus non‐targeting) countries. They also reveal that policy‐makers' backgrounds influence inflation, and that the influence of MPCs' experience is much greater in inflation‐targeting countries, while size effects are more important for committees that do not target inflation.