持续性加权核心通货膨胀的测度及其货币政策涵义

核心通货膨胀对于宏观经济决策具有重要参考价值,测度核心通货膨胀是完善我国货币政策目标和框架的重要环节。本文采用自回归和均值回归方法构造的持续性加权核心通货膨胀指数具有低波动性特征,与总体通货膨胀的动态变化高度相关,无论对判断总体通货膨胀趋势还是对确定货币政策取向,都具有一定的参考价值。研究还发现,CPI成分中服务类成分相对于食品的持续性高、权重偏低,短期内可能会增加CPI波动性,长期将造成CPI低估,为此应在降低食品在CPI权重的同时,逐步提高服务类的权重以充分反映我国不同部门生产率相对变化的长期效应。     

券商大看台

上海证券通胀继续走低投资微增物价变动趋势不变,CPI继续下降、PPI略有增加。上个月油价上调的影响将继续延续,国内PPI将在高位维持。受夏粮丰收影响,预计粮食价格保持稳定,食品价格持续回落。由于去年同期物价上涨较快,基数抬高,故预计7月CPI将继续回落至6.3%的水平。     

外汇储备、CPI与汇率的多尺度影响分析

论文首先运用db2小波对取对数后的数据分3层进行降噪,然后建立外汇储备、汇率以及CPI的VEC模型,并在VEC模型估计的基础上,使用脉冲响应和方差分解对他们的动态关系进行实证分析。结果表明,我国外汇储备与汇率之间不仅存在因果关系,还存在长期的协整关系;CPI与外汇储备之间不仅存在协整关系而且变动方向保持一致,外汇储备规模的快速增长对CPI上涨也产生一定的影响;汇率的变动对CPI也有一定的影响,但影响力度较小。     

货币供应量对CPI的影响研究

货币供应量是一国在某一时点上为社会经济运转服务的货币存量,它的增长必须与经济增长相适应,这样才能促进国民经济稳定持续的发展.CPI是一定时期内居民所消费商品及服务项目的价格水平的变动趋势和变动程度,它受经济增长率和货币供应量的影响,货币供应量主要通过物价水平影响CPI.由于货币供应量的三个层次M0、M1、M2所涵盖的范围不同,各个内部组成因素对物价水平的影响程度不一,因而M0、M1、M2对CPI的影响过程与效果也不同.     

通胀传导压力大 企业利润受挤压——7月份PPI、CPI数据点评

随着PPI在年内不断创新高,未来核心CPI上扬趋势将继续保持,PPI向CPI传导的压力未减。PPI在今后一段时间里仍将维持高位,继续高于CPI涨幅,导致中下游尤其是下游消费类行业利润增速下降,企业利润被挤压之势不改。     

我国CPI、PPI差值与股票指数关系的实证研究——以上证指数为例

本文以A股市场的驱动方式逐渐由政策推动转变为业绩驱动为假设,定量分析了反映上市公司单位产品毛盈利的CPI、PPI差值与上证指数之间的关系。实证结果显示：CPI、PPI差值与上证指数之间关系稳定,并且其变动对上证指数的变动构成显著影响,可将此模型作为传统预测指数方法的拓展。     

股票价格具有货币政策指示器功能吗——来自中国1997～2006年的经验证据

本文运用VAR模型考察了以股票价格为代表的金融资产价格对我国通货膨胀的影响。实证分析表明,我国股票价格的变动对产出缺口存在一定的正向影响,但是这种影响不太稳定,说明我国股票价格通过总需求渠道对未来通货膨胀产生的影响比较微弱。同时,我国股票价格的变动能引起未来CPI和WPI的同向变化,尤其与CPI的关系非常稳定,说明股票价格在一定程度上包含了我国未来通货膨胀的信息。因此,我国股票价格可以作为一个帮助判断未来经济走势和通货膨胀变动趋势的货币政策指示器。     

房地产价格与CPI相关性：实证分析

在考察时间殷内(1999年第一季度末-2004年第三季度末)，房地产价络与CPI变动趋势明显不一致。在CPI呈现紧缩趋势时，虽然房地产价格增长也较低迷，但房地产价格高于CPI呈上升状态，且上升速度较快。在CPI较快上升时，房地产价格涨幅变化相对趋缓，但是上升的绝对幅度依然是较大的(图1)。     

我的CPI观

贵刊前一期所刊登的《全面解读中国CPI》是一篇很值得一读的文章，它既是一篇CPI研究性文章，又是一篇CPI知识普及性文章，有助于广大读者全面了解和正确解读我国的CPI指标体系，从而对价格变动的客观影响及国家经济发展的趋势作出正确的判定；[第一段]     

认识2021年CPI基期轮换——CPI权重的主动调整和被动变化

2021年,我国CPI迎来五年一次的基期轮换。基期轮换,就是调整CPI调查的"固定篮子",使其组合更接近居民消费结构,从而反映真实的物价水平变动。我国CPI将逢"5"和"0"的年份作为基期,在基期年选取"一篮子"商品和服务,五年保持不变,换言之,2021~2025年,国家统计局将编制和发布以2020年为基期的CPI。     

An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate period

This study reexamines the international linkage of ex-ante real interest rates using the theory of cointegrated processes. The univariate unit root tests suggest the existence of a nonstationary real interest rate in the United States, Canada, and (the former) West Germany. An ex-ante real interest rate is obtained by subtracting estimates of inflation from the nominal interest rate. The expected inflation rates are obtained by modeling changes in monthly CPI values as autoregressive moving average (ARMA) processes. A multivariate test for unit roots indicates that there are two cointegrating vectors, or one common stochastic trend, for the system of three nonstationary real interest rates. In addition, the log-likelihood ratio test fails to reject the null hypothesis that, in the long run, real interest rates in the United States are equal to those in Canada and West Germany.     

A New Model of Inflation,Trend Inflation,and Long‐Run Inflation Expectations

This paper develops a bivariate model of inflation and a survey‐based long‐run forecast of inflation that allows for the estimation of the link between trend inflation and the long‐run forecast. Thus, our model allows for the possibilities that long‐run forecasts taken from surveys can be equated with trend inflation, that the two are completely unrelated, or anything in between. Using a variety of inflation measures and survey‐based forecasts for several countries, we find that long‐run forecasts can provide substantial help in refining estimates and fitting and forecasting inflation. It is less helpful to simply equate trend inflation with the long‐run forecasts.     

The Impact of Inflation Measures on the Real Returns and Risk of U.S. Stocks

Using different inflation measures produces economically significant differences in both the inflation record and inflation‐adjusted stock returns. We introduce a more consistent measure of the monthly Consumer Price Index (CPI) inflation rate to better measure real returns over 1913–2004, for which the official CPI exists. We also extend the series backward to 1871 on a monthly basis, an important addition to the data series. We analyze the impact of inflation on the real standard deviation of stock returns and find that, in contrast to the results for geometric mean returns, inflation adjustments have little impact on estimates of return variability.     

通货膨胀目标制的目标标准设计比较研究

通货膨胀目标标准设计是通货膨胀目标制实施过程中一个关键性问题.不同类别的国家所选择的目标标准表现出不同特征.就目标而言,大多数国家选择是区间目标,或一个点目标,允许一定百分点的上下浮动幅度范围.目标取值都在零通货膨胀率以上.在初期阶段目标期限偏短,在通货膨胀稳定时期,目标期限有加长的倾向.大多数国家使用总CPI指数作为度量标准,可调整的CPI如核心通货膨胀指标也逐渐受到一些国家的重视.     

通货膨胀与房地产市场的相关性分析

本文通过对我国居民消费价格指数与房地产市场的价格指数之间的相关性进行统计分析,结果表明两者之间存在显著的正相关。文章进而分析了我国近年来房地产市场的发展对CPI的主要影响渠道,并指出房地产市场的理性调整有利于控制当前的通货膨胀。     

Following the leader? The relevance of the Fed funds rate for inflation targeting countries

In a New-Keynesian model for a small open economy, we derive a CPI inflation-based Taylor rule that implements the flexible price allocation. We conclude that, in this rule, the natural rate of interest should be linked to the foreign interest rate and to domestic productivity shocks. This rule ensures that the CPI real rate moves in order to induce movements in consumption that are coherent with the flexible price allocation. The empirical evidence shows that inflation-targeting central banks respond to movements in the Fed funds rate, besides reacting to expected CPI inflation and to the domestic output gap. This is true for developed and emerging economies. Furthermore, we find that in emerging countries the response to foreign variables is not different from zero, as suggested by theory, when domestic inflation, rather than CPI inflation, is introduced in the policy rule.     

人民币汇率变动对我国通货膨胀的影响：汇率传递视角的研究

在开放经济条件下,汇率变动对一国通货膨胀水平的决定具有重要作用。本文利用自回归分布滞后(ARDL)模型研究了人民币汇率变动对以消费者价格指数(CPI)衡量的国内通货膨胀的传递效应。研究结果表明,人民币汇率变动对以CPI衡量的通货膨胀水平的传递是不完全的且存在明显的时滞,长期和短期汇率传递效应都很低;汇率变动对我国CPI的传递效应受食品价格冲击的影响非常大。本文的研究结论对于我国的汇率制度改革和货币政策实施等具有重要的启示意义。     

Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while co-integration tests on the same markets display a positive relationship between the same variables over the long run. The time path of the response of stock prices plotted against corresponding changes in consumer price indices validates this dichotomy in time-related response patterns of stock prices to inflation; namely, a blip of negative responses at the beginning changes to a positive response over a longer period of time. Stock prices in Asia, like those in the U.S. and Europe, appear to reflect a time-varying memory associated with inflation shocks that make stock portfolios a reasonably good hedge against inflation in the long run.     

Endogenous Price Stickiness,Trend Inflation,and Macroeconomic Stability

Previous studies show that higher trend inflation is more likely to induce indeterminacy of equilibrium in sticky‐price models based on micro evidence that each period a fraction of prices is kept unchanged. This paper demonstrates that when the degree of price stickiness is endogenously determined in a Calvo model, indeterminacy caused by higher trend inflation is less likely. A key factor for determinacy is the long‐run inflation elasticity of output implied by the New Keynesian Phillips curve. This elasticity declines substantially with higher trend inflation in the case of exogenously given price stickiness, whereas in the case of endogenous price stickiness the decline in the elasticity is mitigated because higher trend inflation leads to a higher probability of price adjustment.