Economic growth,inflation and oil shocks: are the 1970s coming back?

This article analyses the relationship between oil price shocks and the macroeconomic evolution of the Group of Seven (G7) countries. Using the Qu and Perron (2007) methodology, we endogenously identify three breaks in the nonlinear relationship across our 1970 to 2008 sample. We compute long-term multipliers and find that the response of output and inflation to oil price shocks is greatest in the 1970s and progressively disappears until the late 1990s. In contrast to the previous literature, we observe that both effects reappear in the 2000s, especially on inflation. Nevertheless, the transmission of oil price shocks to the economy is weaker than in the 1970s, which means that oil price shocks have lost some of their explanatory power. Precisely identifying these effects is crucial for the design of adequate economic measures to control or smoothen them.     

Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?

While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real price of oil in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification, which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries’ real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.     

Cointegration and common trends on the West German labour market

In this paper we analyze the West German labour market by means of a cointegrated structural VAR model. We find sensible stable long-run relationships that are interpreted as a labour demand, a wage setting and a goods market equilibrium. In order to study the dynamic behaviour of the model we identify two common trends that push unemployment. We find that goods market shocks have only transitory impacts on unemployment. In the long run, it is almost equally determined by technology and labour supply factors. However, transitory shocks have major importance in the shorter run since adjustment processes are rather sluggish. First version received: Sept. 1998/Final version accepted: Feb. 2000     

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.     

基于VAR模型的通货膨胀与经济增长关系研究

通货膨胀是衡量宏观经济运行是否稳定和健康的重要指标。通货膨胀与经济增长之间的关系,是当前理论界密切关注的重大经济问题。计量经济分析结果表明,通货膨胀与经济增长具有双向的格兰杰因果关系,通货膨胀受自身波动的影响较大,上游产品价格明显上涨会对未来通货膨胀形成较大的压力,货币供应量较快增长会对通货膨胀产生一定的影响。     

财政支出与广义货币关系的协整分析及其政策含义

文章利用协整分析讨论了财政支出与广义货币的相互关系,发现在1978～2002年间,中国的财政支出和广义货币具有二阶差分平稳的特征,二者之间存在显著的协整关系.财政支出的变动速度是广义货币变动速度的Granger因,但不能说广义货币变动速度是财政支出变动速度的Granger因.财政支出的短期变化对广义货币的短期变化影响较大,并且是同方向的.广义货币供给的增长速度具有一定惯性,且具有向长期值的自我恢复功能.财政支出的增长速度并不具有自我恢复功能,这意味着政府应对财政支出施加一定约束,以避免财政支出在经济过热或不景气时发生过度扩张或紧缩.     

Assessing the role of aggregate demand and supply shocks in China’s macroeconomic fluctuation

The combination of a high growth rate and low information has been observed since the late 1990s in the Chinese economy. Should the fact be considered as a result of greatly improved supply capability or should the fact reflect the improvement in the government’s aggregate demand management? In this paper, we try to assess the role of aggregate demand and supply shocks in China’s macroeconomic fluctuation. We use a bivariate structural VAR model to investigate macroeconomic dynamics for China within the aggregate-demand and aggregate-supply framework, using the quarterly data in the period of 1996Q1–2005Q4. Our principal findings are following: (1) China’s high growth shall be associated more with greatly improved supply capability, especially after its WTO entrance. The expansionary aggregate demand policies may have limited effects to raise the growth rate in the post-1996 in China. This result suggests that we need a more pro-growth policy stance in order to maintain a high and stable growth. (2) The low inflation in that period is driven primarily by weak aggregate demand rather than supply factors.     

中国经济高位运行对近期通货膨胀压力的实证分析

本文使用2005年1-2007年6月月度数据,借助VAR计量分析方法,分析了近期通货膨胀压力与中国经济高位运行之间的关系.研究结果显示,经济高位运行所释放出来的通货膨胀压力不容忽视.其中投资需求、消费需求对物价上涨的影响比较大,但净出口(双顺差)对物价上涨的影响并不显著.     

Oil prices and economic downturns: the case of Spain

We address the macroeconomic effects of an oil price shock in Spain. We apply a vector autoregression model (VAR) analysis to quarterly data for the Spanish economy since 1986, to elucidate the effects of variations in the oil price on the economy, considering the three main causes of disruptions in the oil markets: oil supply shocks, oil demand shocks and oil-specific (precautionary) demand shocks. We conclude that the effects in Spain strongly depend on the type of shock: the consumer price index (CPI) has mainly been influenced by oil demand shocks; output has only reacted to oil supply shocks; and monetary policy has mainly reacted after precautionary shocks. Second-round effects caused by the behaviour of nominal wages have not been found. Additionally, we discuss two facts: the ability of firms to increase markups in a context of rising demand and the procyclical role of monetary policy when faced with oil demand shocks.     

外汇储备快速增加与物价指数变动

本文运用多变量向量自回归模型（VAR）的协整分析方法与向量误差修正模型对我国外汇储备与物价指数之间的关系进行了实证检验。结果表明。外汇储备与物价指数之阃存在正相关关系，且长期内存在稳定的均衡关系。同时，外汇储备的快速增长虽然对一般物价指数上涨的直接影响程度较小。但不能因此而忽视外汇储备对物价指数上涨的间接影响。     

我国通货膨胀、FDI及进出口的关联性研究——基于VAR模型的实证分析

我国的通货膨胀水平与FDI、进出口具有协整关系。其中出口、FDI对通货膨胀的影响微弱,而进口对通货膨胀的贡献率较高,达10%左右。VAR模型的方差分解表明,在通货膨胀、FDI、进口和出口四个变量中,引起CPI持续变化的是CPI本身,即我国的通货膨胀有明显的自循环特征。研究表明,我国并不存在明显的输入型通货膨胀,相反,进口有利于抑制我国的通胀水平。